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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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On a neural network to extract implied information from american options
Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; … - In: Applied mathematical finance 28 (2021) 5, pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
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Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
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Simulation of arbitrage-free implied volatility surfaces
Cont, Rama; Vuletić, Milena - In: Applied mathematical finance 30 (2023) 2, pp. 94-121
Persistent link: https://www.econbiz.de/10014443387
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Short-time asymptotics for non-self-similar stochastic volatility models
Giorgio, Giacomo; Pacchiarotti, Barbara; Pigato, Paolo - In: Applied mathematical finance 30 (2023) 3, pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
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On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa; Nualart, Eulalia; Pravosud, Makar - In: Applied mathematical finance 30 (2023) 5, pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
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Short maturity forward start Asian options in local volatility models
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong - In: Applied mathematical finance 26 (2019) 3, pp. 187-221
Persistent link: https://www.econbiz.de/10012210271
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Combinatorial implications of nonlinear uncertain volatility models : the case of barrier options
Avellaneda, Marco; Buff, Robert - In: Applied mathematical finance 6 (1999) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001449223
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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010