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High order splitting methods for forward PDEs and PIDEs
Itkin, Andrey - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10011403866
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Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17
Persistent link: https://www.econbiz.de/10010233264
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Semi-static hedging of barrier options under poisson jumps
Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
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The forward PDE for European options on stocks with fixed fractional jumps
Carr, Peter; Javaheri, Alireza - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 239-253
Persistent link: https://www.econbiz.de/10002679581
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Hedging under the Heston model with jump-to-default
Carr, Peter; Schoutens, Wim - In: International journal of theoretical and applied finance 11 (2008) 4, pp. 403-414
Persistent link: https://www.econbiz.de/10003746726