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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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Extreme at-the-money skew in a local volatility model
Pigato, Paolo - In: Finance and stochastics 23 (2019) 4, pp. 827-859
Persistent link: https://www.econbiz.de/10012114660
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Model uncertainty and the pricing of American options
Hobson, David G.; Neuberger, Anthony - In: Finance and stochastics 21 (2017) 1, pp. 285-329
Persistent link: https://www.econbiz.de/10011944370
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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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Bounds for VIX futures given S&P 500 smiles
Guyon, Julien; Menegaux, Romain; Nutz, Marcel - In: Finance and stochastics 21 (2017) 3, pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
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Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei; Linetsky, Vadim - In: Finance and stochastics 19 (2015) 4, pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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A direct solution method for pricing options involving the maximum process
Egami, Masahiko; Oryu, Tadao - In: Finance and stochastics 21 (2017) 4, pp. 967-993
Persistent link: https://www.econbiz.de/10011944460
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Robust bounds for the American put
Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395
Persistent link: https://www.econbiz.de/10012023741