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Search: subject:"European call option"
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Option pricing theory
12
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12
Derivat
8
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8
European call option
8
Stochastic process
8
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8
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5
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3
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3
European Call Option
3
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pentanomial lattice
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Sviščuk, Anatolij
2
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2
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1
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1
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1
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1
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1
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1
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1
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Journal of mathematical finance
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ECONIS (ZBW)
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EconStor
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Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel
;
Girón, Luis Eduardo
- In:
Computational economics
61
(
2023
)
4
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014327069
Saved in:
2
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
3
Adaptive risk hedging for call options under Cox-Ingersoll-Ross interest rates
Ghorbani, Niloofar
;
Korzeniowski, Andrzej
- In:
Inventi impact: microfinance & banking
(
2021
)
2
,
pp. 83-90
Persistent link: https://www.econbiz.de/10012816013
Saved in:
4
On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure
Mwaniki, Ivivi J.
- In:
Cogent Economics & Finance
5
(
2017
)
1
,
pp. 1-16
measure P. Minimal entropy martingale measure (MEMM) is used to value
European
call
option
with a view of comparing the …
Persistent link: https://www.econbiz.de/10011988781
Saved in:
5
On the Heston model with stochastic volatility : analytic solutions and complete markets
Alziary, Bénédicte
;
Takáč, Peter
-
2017
Persistent link: https://www.econbiz.de/10012265761
Saved in:
6
On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure
Mwaniki, Ivivi Joseph
- In:
Cogent economics & finance
5
(
2017
)
1
,
pp. 1-16
measure P. Minimal entropy martingale measure (MEMM) is used to value
European
call
option
with a view of comparing the …
Persistent link: https://www.econbiz.de/10011883226
Saved in:
7
Option pricing in markets with informed traders
Hu, Yuan
;
Shirvani, Abootaleb
;
Stoyanov, Stoyan V.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496747
Saved in:
8
Option pricing under multifractional Brownian motion in a risk neutral framework
Di Sciorio, Fabrizio
;
Mattiozzi, Silvia
- In:
Estudios de economía aplicada : revista promovida por …
38
(
2020
)
3
,
pp. 273-283
Persistent link: https://www.econbiz.de/10012618054
Saved in:
9
Valuation of European call options via the fast Fourier transform and the improved Mellin transform
Fadugba, Sunday Emmanuel
;
Nwozo, Chuma Raphael
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 338-359
Persistent link: https://www.econbiz.de/10011544533
Saved in:
10
Market calibration under a long memory stochastic volatility model
Pospíšil, Jan
;
Sobotka, Tomáš
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 323-343
Persistent link: https://www.econbiz.de/10011704252
Saved in:
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