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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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Solving high-dimensional optimal stopping problems using optimization based model order reduction
Redmann, Martin - In: Applied mathematical finance 29 (2022) 2, pp. 110-140
Persistent link: https://www.econbiz.de/10013554791
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Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach
Zhuang, Yangyang; Tang, Pan - In: The journal of futures markets 43 (2023) 10, pp. 1469-1496
Persistent link: https://www.econbiz.de/10014339456
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Exchange option pricing under variance gamma-like models
Gardini, Matteo; Sabino, Piergiacomo - In: Applied mathematical finance 29 (2022) 6, pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
Sarhangian, Vahid; Balcıog˜lu, Barış - In: Operations research letters 41 (2013) 6, pp. 659-663
Persistent link: https://www.econbiz.de/10010236055
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Option pricing with time-changed Lévy processes
Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238
Persistent link: https://www.econbiz.de/10010204746
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A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009624464