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Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
O'Sullivan, Conall; O'Sullivan, Stephen - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10009756043
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An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi; Wang, Wansheng; Xiao, Aiguo - In: Computational economics 53 (2019) 4, pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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Option prices in a model with stochastic disaster risk
Seo, Sang Byung; Wachter, Jessica - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3449-3469
Persistent link: https://www.econbiz.de/10012062624
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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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American and exotic options in a market with frictions
Junike, Gero; Arratia, Argimiro; Cabaña, Alejandra; … - In: The European journal of finance 26 (2020) 2/3, pp. 179-199
Persistent link: https://www.econbiz.de/10012207193
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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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American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
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A method for pricing American options using semi-infinite linear programming
Christensen, Sören - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 156-172
Persistent link: https://www.econbiz.de/10010256174
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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161
Persistent link: https://www.econbiz.de/10010190161
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Pricing and static hedging of American-style options under the jump to default extended CEV model
Ruas, João Pedro; Dias, José Carlos; Nunes, Joaõ … - In: Journal of banking & finance 37 (2013) 11, pp. 4059-4072
Persistent link: https://www.econbiz.de/10010244898