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Pricing autocallables under local-stochastic volatility
Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - In: Frontiers of mathematical finance : FMF 1 (2022) 4, pp. 575-610
Persistent link: https://www.econbiz.de/10015373954
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Geometric step options and Lévy models : duality, PIDEs, and semi-analytical pricing
Farkas, Walter; Mathys, Ludovic - In: Frontiers of mathematical finance : FMF 1 (2022) 1, pp. 1-51
Persistent link: https://www.econbiz.de/10015373348