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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca; Bianchi, Michele Leonardo - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10010391513
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Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
Catalão, André; Rosenfeld, Rogério - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-52
Persistent link: https://www.econbiz.de/10012270883
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Closed form formulas for exotic options and their lifetime distribution
Douady, Raphae͏̈l - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10001372087
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Asian options with the American early exercise feature
Wu, Lixin; Kwok, Yue-Kuen; Yu, Hong - In: International journal of theoretical and applied finance 2 (1999) 1, pp. 101-111
Persistent link: https://www.econbiz.de/10001372098
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Pricing multi-asset options with an external barrier
Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 523-541
Persistent link: https://www.econbiz.de/10001255555
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From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
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Refining the quadratic approximation formula for an American option
Wong, Woon Kwong; Xu, Kai - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 773-781
Persistent link: https://www.econbiz.de/10001612221
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Pricing barrier options with square root process
Lo, C. F.; Yuen, P. H.; Hui, Cho H. - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 805-818
Persistent link: https://www.econbiz.de/10001612240
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Replication of American contingent claims in incomplete markets
Yong, Jiongmin - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 439-466
Persistent link: https://www.econbiz.de/10001584362