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Jump-diffusion processes : volatility smile fitting and numerical methods for option pricing
Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Review of derivatives research 4 (2000) 3, pp. 231-262
Persistent link: https://www.econbiz.de/10001596719
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Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing
Andersen, Leif; Andreasen, Jesper - In: Review of derivatives research 4 (2000) 3, pp. 231-262
Persistent link: https://www.econbiz.de/10005953185
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Discount curve construction with tension splines
Andersen, Leif B. G. - In: Review of derivatives research 10 (2007) 3, pp. 227-267
Persistent link: https://www.econbiz.de/10003748110