Search Results - subject:"approximation formula"

Spread option pricing under finite liquidity framework

Pirvu, Traian A.; Zhang, Shuming - In: Risks : open access journal 12 (2024) 11, pp. 1-14

This work explores a finite liquidity model to price spread options and assess the liquidity impact. We employ Kirk approximation for computing the spread option price and its delta. The latter is needed since the liquidity impact is caused by the delta hedging of a large investor. Our main...

Persistent link: https://www.econbiz.de/10015135789

Effective stochastic local volatility models

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 23 (2023) 12, pp. 1731-1750

Persistent link: https://www.econbiz.de/10014452467

Effective Markovian projection : application to CMS spread options and mid-curve swaptions

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 22 (2022) 6, pp. 1169-1192

Persistent link: https://www.econbiz.de/10013367891

Effective stochastic volatility : applications to ZABR-type models

Felpel, Mike; Kienitz, Jörg; McWalter, Thomas A. - In: Quantitative finance 21 (2021) 5, pp. 837-852

Persistent link: https://www.econbiz.de/10012500196

An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models

Shiraya, Kenichiro - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-20

Persistent link: https://www.econbiz.de/10012496929

Pricing average and spread options under local-stochastic volatility jump-diffusion models

Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333

Persistent link: https://www.econbiz.de/10012001122

An accurate approximation formula for pricing European options with discrete dividend payments

Zhu, Song-Ping; He, Xin-Jiang - In: IMA journal of management mathematics 29 (2018) 2, pp. 175-188

Persistent link: https://www.econbiz.de/10011888608

An explicit implied volatiltiy formula

Stefanica, Dan; Radoičić, Radoš - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-32

Persistent link: https://www.econbiz.de/10011763940

A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD

TAKAHASHI, AKIHIKO; TAKEHARA, KOHTA; TODA, MASASHI - In: International Journal of Theoretical and Applied … 15 (2012) 06, pp. 1250044-1

This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary order. The asymptotic expansion method in finance initiated by Kunitomo and Takahashi (1992), Yoshida (1992b) and Takahashi (1995, 1999) is a widely applicable methodology for an analytic...

Persistent link: https://www.econbiz.de/10011011275

A general computation scheme for a high-order asymptotic expansion method

Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10009672591