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Numerical methods for Lévy processes
Hilber, N.; Reich, N.; Schwab, C.; Winter, C. - In: Finance and stochastics 13 (2009) 4, pp. 471-500
Persistent link: https://www.econbiz.de/10003899475
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Fast and accurate pricing of barrier options under Lévy processes
Kudryavtsev, Oleg; Levendorskiǐ, Sergei - In: Finance and stochastics 13 (2009) 4, pp. 531-562
Persistent link: https://www.econbiz.de/10003899529
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul; Zhao, Xiaoliang - In: Finance and stochastics 4 (2000) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
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Local time, coupling and the passport option
Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10001486624
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A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
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Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 4 (2000) 2, pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
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Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang; Hafner, Christian M. - In: Finance and stochastics 4 (2000) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10001486714
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Incomepleteness of markets driven by a mixed diffusion
Bellamy, N.; Jeanblanc, Monique - In: Finance and stochastics 4 (2000) 2, pp. 209-222
Persistent link: https://www.econbiz.de/10001487034