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A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
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An efficient binomial method for pricing American options
Gaudenzi, Marcellino; Pressacco, Flavio - In: Decisions in economics and finance : DEF ; a journal of … 26 (2003) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10003837087
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An application of nonparametric volatility estimators to option pricing
Kenmoe, Romuald N.; Sanfelici, Simona - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 393-412
Persistent link: https://www.econbiz.de/10010412432
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Some evidence in the trading and pricing of equity LEAPS
Guo, Weiyu - In: International review of economics & finance : IREF 13 (2004) 4, pp. 407-426
Persistent link: https://www.econbiz.de/10002222904
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Weak convergence of tree methods to price options on defaultable assets
Nieuwenhuis, J. H.; Vellekoop, Michel - In: Decisions in economics and finance : DEF ; a journal of … 27 (2004) 2, pp. 87-107
Persistent link: https://www.econbiz.de/10003095202
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Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
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Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien; Tan, Shih-Hau - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
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A note on the implied volatility of floating strike Asian options
Alòs, Elisa; León, Jorge A. - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
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Pricing discrete barrier options under jump-diffusion model with liquidity risk
Li, Zhe; Zhang, Wei-guo; Liu, Yong-Jun; Zhang, Yue - In: International review of economics & finance : IREF 59 (2019), pp. 347-368
Persistent link: https://www.econbiz.de/10012202898
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A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235
Persistent link: https://www.econbiz.de/10014424191