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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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Hedging option books using neural-sde market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
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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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Characterization of the American put option using convexity
Xie, Dejun; Edwards, David A.; Schleiniger, Gilberto; … - In: Applied mathematical finance 18 (2011) 3/4, pp. 353-365
Persistent link: https://www.econbiz.de/10009381899
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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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Bias reduction for pricing American options by least-squares Monte Carlo
Kan, Kin Hung Felix; Reesor, R. Mark - In: Applied mathematical finance 19 (2012) 3/4, pp. 195-217
Persistent link: https://www.econbiz.de/10009711007
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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
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General lower bounds for arithmetic Asian option prices
Albrecher, H.; Mayer, Philipp; Schoutens, W. - In: Applied mathematical finance 15 (2008) 1/2, pp. 123-149
Persistent link: https://www.econbiz.de/10003751123
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Perpetual exchange options under jump-diffusion dynamics
Cheang, Gerald H. L.; Lian, Guanghua - In: Applied mathematical finance 22 (2015) 5/6, pp. 450-462
Persistent link: https://www.econbiz.de/10011490614