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An option pricing formula for the GARCH diffusion model
Barone-Adesi, Giovanni; Rasmussen, Henrik; Ravanelli, … - 2003
Persistent link: https://www.econbiz.de/10009581652
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Achieving smooth asymptotics for the prices of European options in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632920
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Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003632930
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Barrier options
Howison, Sam; Mario Steinberg - 2005
Persistent link: https://www.econbiz.de/10009582368
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Uncertain parameters, an empirical stochastic volatility model and confidence limits
Oztukel, Asli; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582829
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Asian and basket asymptotics
Dufresne, Daniel (contributor) - 2002
Persistent link: https://www.econbiz.de/10001696644
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The convergence of binomial trees for pricing the American put
Joshi, Mark S. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003797784
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - 2008
Persistent link: https://www.econbiz.de/10003797820
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A general formula for option prices in a stochastic volatility model
Ching, Stephen; Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901912