Similar Search Results - EconBiz

Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process

Carr, Peter; Itkin, Andrey - In: The journal of derivatives : JOD 29 (2021) 1, pp. 9-26

Persistent link: https://www.econbiz.de/10012612941

New solvable stochastic volatility models for pricing volatility derivatives

Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134

Persistent link: https://www.econbiz.de/10009774404

Pricing derivatives under Lévy models : modern finite-difference and pseudo-differential operators approach

Itkin, Andrey - 2017

This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to...

Persistent link: https://www.econbiz.de/10011789530

Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging

Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17

Persistent link: https://www.econbiz.de/10010233264

The valuation of sequential exchange opportunities

Carr, Peter - In: The journal of finance : the journal of the American … 43 (1988) 5, pp. 1235-1256

Persistent link: https://www.econbiz.de/10001073000

Deriving derivatives of derivative securities

Carr, Peter - In: The journal of computational finance 4 (2000/2001) 2, pp. 5-29

Persistent link: https://www.econbiz.de/10001553928

A note on the pricing of commodity-linked bonds

Carr, Peter - In: The journal of finance : the journal of the American … 42 (1987) 4, pp. 1071-1076

Persistent link: https://www.econbiz.de/10001055592

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

A discrete time synthesis of derivative security valuation using a term structure of futures prices

Carr, Peter - In: Finance, (pp. 225-249). 1995

Persistent link: https://www.econbiz.de/10001318017

The stop-loss start-gain paradox and option valuation : a new decomposition into intrinsic and time value

Carr, Peter - In: The review of financial studies 3 (1990) 3, pp. 469-492

Persistent link: https://www.econbiz.de/10001105894

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