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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Third-order extensions of Lo's semiparametric bound for European call options
Zuluaga, Luis F.; Peña, Javier; Du, Donglei - In: European journal of operational research : EJOR 198 (2009) 2, pp. 557-570
Persistent link: https://www.econbiz.de/10003852612
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The pricing and optimal strategies of callable warrants
Yagi, Kyoko; Sawaki, Katsushige - In: European journal of operational research : EJOR 206 (2010) 1, pp. 123-130
Persistent link: https://www.econbiz.de/10003968462
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A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
Toivanen, Jari - In: The journal of computational finance 13 (2009/10) 3, pp. 61-79
Persistent link: https://www.econbiz.de/10003971914
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Unbiased Monte Carlo valuation of lookback, swing and barrier options with continous monitoring under variance gamma models
Becker, Martin - In: The journal of computational finance 13 (2009/10) 4, pp. 35-61
Persistent link: https://www.econbiz.de/10003996072
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A simple model of deferred callability in defaultable debt
Mjøs, Aksel; Persson, Svein-Arne - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1350-1357
Persistent link: https://www.econbiz.de/10008702254
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The singular points binominal method for pricing American path-dependent options
Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, … - In: The journal of computational finance 14 (2010/11) 1, pp. 29-56
Persistent link: https://www.econbiz.de/10008736753
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Generalized control variate methods for pricing Asian options
Han, Chuan-Hsiang; Lai, Yongzeng - In: The journal of computational finance 14 (2010/11) 2, pp. 87-118
Persistent link: https://www.econbiz.de/10008810127
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Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S.; Leung, Terence S. - In: The journal of computational finance 10 (2006/07) 4, pp. 93-105
Persistent link: https://www.econbiz.de/10003542264
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Efficient pricing of Asian options by the PDE approach
Dubois, François; Lelièvre, Tony - In: The journal of computational finance 8 (2004/2005) 2, pp. 55-63
Persistent link: https://www.econbiz.de/10002597580