Narrow search
Showing 1 - 10 of 99
Cover Image
Subleading correction to the Asian options volatility in the black-scholes model
Pirjol, Dan - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
Cover Image
Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
Cover Image
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Cover Image
Optimal investment and utility indifference pricing in the presence of small fixed transaction costs
Feodoria, Mark-Roman - 2016
Persistent link: https://www.econbiz.de/10012388607
Cover Image
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil; Horvath, Blanka Nora; Jacquier, … - In: Quantitative finance 18 (2018) 10, pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
Cover Image
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.; Pirjol, Dan - In: Quantitative finance 22 (2022) 9, pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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