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Edgeworth binomial trees
Rubinstein, Mark - In: The journal of derivatives : the official publication … 5 (1998) 3, pp. 20-27
Persistent link: https://www.econbiz.de/10001242387
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On pricing Asian options under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps
Su, Haozhe; Chen, Ding; Newton, David P. - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10011687339
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Option valuation with liquidity risk and jumps
Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
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A financially motivated extension of the Heston model for a joint P- and Q-dynamics analysis of variance
Rebonato, Riccardo; Ng, Chu Ming - In: The journal of derivatives : the official publication … 25 (2018) 3, pp. 55-80
Persistent link: https://www.econbiz.de/10011941367
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Stochastic alpha-beta-rho hedging for foreign exchange options : is it worth the effort?
Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 76-89
Persistent link: https://www.econbiz.de/10011404590
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A Markov chain model with stochastic default rate for valuation of credit spreads
Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18
Persistent link: https://www.econbiz.de/10001613575
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Stock evolution under stochastic volatility : a discrete approach
Leisen, Dietmar - In: The journal of derivatives : the official publication … 8 (2000) 2, pp. 9-27
Persistent link: https://www.econbiz.de/10001545160
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Calculation of volatility in a jump-diffusion model
Navas, Javier F. - In: The journal of derivatives : the official publication … 11 (2003) 2, pp. 66-72
Persistent link: https://www.econbiz.de/10001861586
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Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.; Nawalkha, Sanjay K.; Soto, Gloria M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10003771447