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A simple two-period model for option pricing with market imperfections
Mercurio, Fabio - In: PhD research bulletin / Tinbergen Institute 9 (1997) 1, pp. 39-48
Persistent link: https://www.econbiz.de/10001220781
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Option pricing with hedging at fixed trading dates
Mercurio, Fabio; Vorst, Ton - 1997
Persistent link: https://www.econbiz.de/10000969030
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Option pricing for jump diffusions : approximations and their interpretation
Mercurio, Fabio - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 191-200
Persistent link: https://www.econbiz.de/10001333345
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Option pricing with hedging at fixed trading dates
Mercurio, Fabio - In: Applied mathematical finance 3 (1996) 2, pp. 135-158
Persistent link: https://www.econbiz.de/10001219285
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Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 4 (2000) 2, pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
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A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 5 (2001) 3, pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
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Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano; Mercurio, Fabio - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
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Consistent pricing and hedging of an FX options book
Bisesti, Lorenzo; Castagna, Antonio; Mercurio, Fabio - In: The Kyoto economic review 74 (2005) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10003379596
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Analytic approximation of finite-maturity timer option prices
Li, Minqiang; Mercurio, Fabio - In: The journal of futures markets 35 (2015) 3, pp. 245-273
Persistent link: https://www.econbiz.de/10011348432
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Closed-form approximation of perpetual timer option prices
Li, Minqiang; Mercurio, Fabio - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10010391503