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Convergence of numerical methods for valuing path-dependent options using interpolation
Forsyth, Peter; Vetzal, Kenneth R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273-314
Persistent link: https://www.econbiz.de/10001743284
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Lean Trees : a general approach for improving performance of lattice models for option pricing
Baule, Rainer; Wilkens, Marco - In: Review of derivatives research 7 (2004) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10002012150
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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
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Analytical approximations for the critical stock prices of American options : a performance comparison
Li, Minqiang - In: Review of derivatives research 13 (2010) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10008695500
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009272496
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Credit risk and credit derivatives : special issue
Brenner, Menachem (contributor);  … - 1998
Persistent link: https://www.econbiz.de/10001497906
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On Cox processes and credit risky securities
Lando, David - In: Review of derivatives research 2 (1998) 2/3, pp. 99-120
Persistent link: https://www.econbiz.de/10001497926
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Pricing the risks of default
Madan, Dilip B.; Unal, Haluk - In: Review of derivatives research 2 (1998) 2/3, pp. 121-160
Persistent link: https://www.econbiz.de/10001497930