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Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
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Optimal portfolio under state-dependent expected utility
Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011889433
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Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z.; … - In: International journal of theoretical and applied finance 24 (2021) 8, pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
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Simplified hedge for path-dependent derivatives
Bernard, Carole; Tang, Junsen - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10011568749
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Bounds on multi-asset derivatives via neural networks
De Gennaro Aquino, Luca; Bernard, Carole - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-31
Persistent link: https://www.econbiz.de/10012496914