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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach

Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363

Persistent link: https://www.econbiz.de/10010357372

On the credibility of the Euro/Swiss Franc floor : a financial market perspective

Zimmermann, Heinz; Hertrich, Markus - 2015

, challenged the full credibility of the Swiss National Bank (SNB) in enforcing the lower barrier implemented in September 6, 2011 … security price exhibits a lower barrier. We estimate probabilities considerably different from zero, even when the exchange …

Persistent link: https://www.econbiz.de/10011569649

Closed-form solutions for options with random initiation under asset price monitoring

Jun, Doobae; Ku, Hyejin - In: Finance research letters 20 (2017), pp. 68-74

Persistent link: https://www.econbiz.de/10011806786

Path independence of exotic options and convergence of binomial approximations

Leduc, Guillaume; Palmer, Kenneth J. - In: The journal of computational finance 23 (2019) 2, pp. 73-102

Persistent link: https://www.econbiz.de/10012111264

Semi-robust replication of barrier-style claims on price and volatility

Carr, Peter; Lee, Roger; Lorig, Matthew - In: Applied mathematical finance 28 (2021) 6, pp. 534-559

Persistent link: https://www.econbiz.de/10013411770