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Corrigendum to "Universal option valuation using quadrature methods" - (Journal of Financial Economics 67 (2003) 447-471)
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of financial economics 73 (2004) 3, pp. 603-604
Persistent link: https://www.econbiz.de/10006503431
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Universal option valuation using quadrature methods
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of financial economics 67 (2003) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10006507472
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On the Enhanced Convergence of Standard Lattice Methods for Option Pricing
Widdicks, Martin; Andricopoulos, Ari D.; Newton, David P.; … - In: The journal of futures markets 22 (2002) 4, pp. 315-338
Persistent link: https://www.econbiz.de/10006828682
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Curtailing the Range for Lattice and Grid Methods
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 55-61
Persistent link: https://www.econbiz.de/10005926804
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THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
Widdicks, Martin; Duck, Peter W.; Andricopoulos, Ari D.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 373
Persistent link: https://www.econbiz.de/10008214489
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Extending quadrature methods to value multi-asset and complex path dependent options
Andricopoulos, Ari D.; Widdicks, Martin; Newton, David P.; … - In: Journal of financial economics 83 (2007) 2, pp. 471-500
Persistent link: https://www.econbiz.de/10007596588
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Enhancing the Accuracy of Pricing American and Bermudan Options
Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2005) 4, pp. 34-44
Persistent link: https://www.econbiz.de/10005921778
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SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
Duck, Peter W.; Yang, Chao; Newton, David P.; Widdicks, … - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 457-486
Persistent link: https://www.econbiz.de/10008270130
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An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options
Sharp, Nicholas J.; Newton, David P.; Duck, Peter W. - In: The journal of real estate finance and economics 36 (2008) 3, pp. 307-342
Persistent link: https://www.econbiz.de/10007916453
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A New Prepayment Model (with Default): An Occupation-time Derivative Approach
Sharp, Nicholas J.; Johnson, Paul V.; Newton, David P.; … - In: The journal of real estate finance and economics 39 (2009) 2, pp. 118-145
Persistent link: https://www.econbiz.de/10008273921