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A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif - In: The journal of computational finance 3 (1999/2000) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
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Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
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Volatility skews and extensions of the libor market model
Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Applied mathematical finance 7 (2000) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
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Factor dependence of Bermudan swaptions : factor or fiction?
Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Journal of financial economics 62 (2001) 1, pp. 3-37
Persistent link: https://www.econbiz.de/10001608806
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The passport option
Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 1 (1998) 3, pp. 15-36
Persistent link: https://www.econbiz.de/10001632699
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Spike and hike modeling for interest rate derivatives : with an application to SOFR caplets
Andersen, Leif B. G.; Bang, Dominique - In: Quantitative finance 24 (2024) 8, pp. 1017-1033
Persistent link: https://www.econbiz.de/10015196868
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The equity option volatility smile : an implicit finite-difference approach
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 1 (1997/1998) 2, pp. 5-37
Persistent link: https://www.econbiz.de/10001633250
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Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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High-performance American option pricing
Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87
Persistent link: https://www.econbiz.de/10011639531