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The valuation and information content of options on crude-oil futures contracts
Murphy, Finbarr; Ronn, Ehud I. - In: Review of derivatives research 18 (2015) 2, pp. 95-106
Persistent link: https://www.econbiz.de/10011477287
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On improving the least squares Monte Carlo option valuation method
Areal, Nelson; Rodrigues, Artur; Rocha Armada, Manuel da - In: Review of derivatives research 11 (2008) 1/2, pp. 119-151
Persistent link: https://www.econbiz.de/10003829564
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On rational jump diffusion models : an approach using potentials
Burnetas, Apostolos N. - In: Review of derivatives research 1 (1997) 4, pp. 325-349
Persistent link: https://www.econbiz.de/10001238756
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Efficient option replication in the presence of transactions costs
Martellini, Lionel - In: Review of derivatives research 4 (2000) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10001566793
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Effects of callable feature on early exercise policy
Kwok, Yue-Kuen; Wu, Lixin - In: Review of derivatives research 4 (2000) 2, pp. 189-211
Persistent link: https://www.econbiz.de/10001566802
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Valuation of commodity derivatives in a new multi-factor model
Yan, Xuemin Sterling - In: Review of derivatives research 5 (2002) 3, pp. 251-271
Persistent link: https://www.econbiz.de/10001743281
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Efficient, exact algorithms for Asian options with multiresolution lattices
Dai, Tian-Shyr; Lyuu, Yuh-dauh - In: Review of derivatives research 5 (2002) 2, pp. 181-203
Persistent link: https://www.econbiz.de/10001722147
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A recombining lattice option pricing model that relaxes the assumption of lognormality
Ji, Dasheng; Brorsen, Wade - In: Review of derivatives research 14 (2011) 3, pp. 349-367
Persistent link: https://www.econbiz.de/10009349984
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A remark on static hedging of options written on the last exit time
Imamura, Yuri - In: Review of derivatives research 14 (2011) 3, pp. 333-347
Persistent link: https://www.econbiz.de/10009349985
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987