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Option pricing theory
Closed-form approximation
7
closed-form approximation
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Optionspreistheorie
4
Stochastic process
4
Stochastischer Prozess
4
Efficient importance sampler
3
Option trading
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Optionsgeschäft
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Option pricing
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Timer options
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Volatility
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Volatilität
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asymptotic expansion
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models
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stochastic volatility
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2D derivatives
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Barndorff-Nielsen and Shephard models
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Basket option
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Estimation theory
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Monte Carlo simulation
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Normal tempered stable Lévy model
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Boukhetala, Kamal
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Guinea Juliá, Álvaro
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Kacef, Mohamed Amine
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Li, Minqiang
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Roux, Alet
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Sayit, Hasanjan
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International journal of revenue management : IJRM
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International journal of theoretical and applied finance
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Quantitative finance
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The North American journal of economics and finance : a journal of theory and practice
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ECONIS (ZBW)
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Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
Guinea Juliá, Álvaro
;
Roux, Alet
- In:
Quantitative finance
24
(
2024
)
8
,
pp. 1057-1076
Persistent link: https://www.econbiz.de/10015196870
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2
Closed-form approximations for basket option pricing under normal tempered stable Lévy model
Hu, Dongdong
;
Sayit, Hasanjan
;
Yao, Jing
;
Zhong, Qifeng
- In:
The North American journal of economics and finance : a …
74
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10015134981
Saved in:
3
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
Saved in:
4
A closed-form approximation for pricing geometric Istanbul options
Kacef, Mohamed Amine
;
Boukhetala, Kamal
- In:
International journal of revenue management : IJRM
11
(
2020
)
4
,
pp. 297-315
Persistent link: https://www.econbiz.de/10012521669
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