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The pricing of credit derivatives and estimation of default probability

Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248

Persistent link: https://www.econbiz.de/10011438503

Stratified approximations for the pricing of options on average

Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113

Persistent link: https://www.econbiz.de/10011603193

The convergence rate of option prices in trinomial trees

Leduc, Guillaume; Palmer, Kenneth J. - In: Risks : open access journal 11 (2023) 3, pp. 1-33

We study the convergence of the binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain European path-independent options in the Black-Scholes setting. To our knowledge, the results here are the first for trinomial trees. Our main result provides formulae for the...

Persistent link: https://www.econbiz.de/10014246348

Evaluating callable and putable bonds : an eigenfunction expansion approach

Lim, Dongjae; Li, Lingfei; Linetsky, Vadim - In: Journal of economic dynamics & control 36 (2012) 12, pp. 1888-1908

Persistent link: https://www.econbiz.de/10009701917

Biodiversity linked bonds : an option pricing based valuation approach

Chan-Lau, Jorge A. - 2025

Persistent link: https://www.econbiz.de/10015407861

Closed-form approximations for basket option pricing under normal tempered stable Lévy model

Hu, Dongdong; Sayit, Hasanjan; Yao, Jing; Zhong, Qifeng - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015134981

A recombining lattice option pricing model that relaxes the assumption of lognormality

Ji, Dasheng; Brorsen, Wade - In: Review of derivatives research 14 (2011) 3, pp. 349-367

Persistent link: https://www.econbiz.de/10009349984

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

A simple time-consistent model for the forward density process

Hult, Henrik; Lindskog, Filip; Nykvist, Johan - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-29

Persistent link: https://www.econbiz.de/10010243619

Hermite binomial trees : a novel technique for derivatives pricing

Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36

Persistent link: https://www.econbiz.de/10009707095