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Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model

Hout, Karel J. in 't; Lamotte, Pieter - In: The journal of computational finance 26 (2023) 4, pp. 101-137

Persistent link: https://www.econbiz.de/10014342075

Arbitrage-free neural-SDE market models

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 30 (2023) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10014390284

Analytically pricing European options in dynamic markets : incorporating liquidity variations and economic cycles

He, Xin-Jiang; Pasricha, Puneet; Lin, Sha - In: Economic modelling 139 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015189810

Applying the Model Order Reduction method to a European option pricing model

Lin, Shao-bin; Chen, Chun-Da - In: Economic modelling 33 (2013), pp. 533-536

Persistent link: https://www.econbiz.de/10010193332

Asymmetry in the jump-size distribution of the S&P 500 : evidence from equity and option markets

Kaeck, Andreas - In: Journal of economic dynamics & control 37 (2013) 9, pp. 1872-1888

Persistent link: https://www.econbiz.de/10009786062

An exceedingly simple method of pricing American options

Alghalith, Moawia - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 75-76

Persistent link: https://www.econbiz.de/10010209499

Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework

Nteumagné, B. F.; Pindza, E.; Maré, Eben - In: Journal of mathematical finance 4 (2014) 1, pp. 35-46

Persistent link: https://www.econbiz.de/10010422895

Option pricing : very simple formulas

Alghalith, Moawia - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 71-73

Persistent link: https://www.econbiz.de/10010463001

On the application of spectral filters in a Fourier option pricing technique

Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106

Persistent link: https://www.econbiz.de/10011480718

A general closed form option pricing formula

Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016

A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the Gauss-Hermite expansion. This expansion converges for...

Persistent link: https://www.econbiz.de/10011506359