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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
Elliott, Robert; Siu, Tak Kuen; Chan, Leunglung - In: Applied mathematical finance 14 (2007) 1, pp. 41-62
Persistent link: https://www.econbiz.de/10008222007
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Pricing Parisian and Parasian options analytically
Zhu, Song-Ping; Chen, Wen-Ting - In: Journal of economic dynamics & control 37 (2013) 4, pp. 875-896
Persistent link: https://www.econbiz.de/10010074104
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An inverse finite element method for pricing American options
Zhu, Song-Ping; Chen, Wen-Ting - In: Journal of economic dynamics & control 37 (2013) 1, pp. 231-250
Persistent link: https://www.econbiz.de/10010054578