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Pricing double-barrier Parisian options
Liu, Chun-Yang; Zhu, Song-Ping; Zhang, Shu-Hua - In: IMA journal of management mathematics 34 (2023) 4, pp. 633-660
Persistent link: https://www.econbiz.de/10014389016
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Pricing Parisian and Parasian options analytically
Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 4, pp. 875-896
Persistent link: https://www.econbiz.de/10009726170
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Vulnerable options with regime switching and stochastic liquidity
He, Xin-Jiang; Pasricha, Puneet; Lu, Tuantuan; Lin, Sha - In: The quarterly review of economics and finance 98 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10015188648
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Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John; Frau, Carme - In: Energy economics 114 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
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Analytically pricing exchange options with stochastic liquidity and regime switching
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676
Persistent link: https://www.econbiz.de/10014293179