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Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms
Chiarella, Carl - 2012
We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston's stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327–343, 1993). We solve the Kolmogorov partial differential equation associated with...
Persistent link: https://www.econbiz.de/10013109439
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Pricing European options in a delay model with jumps
Imdad, Zaheer; Zhang, Tusheng - In: Journal of financial engineering 1 (2014) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10010508745
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The British knock-out put option
Al-Fagih, Luluwah - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10011403188
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Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, M. C.; Ehrhardt, Matthias; Vázquez, Carlos - In: The journal of computational finance 20 (2016/2017) 3, pp. 81-107
Persistent link: https://www.econbiz.de/10011689686
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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Options on a traded account : symmetric treatment of the underlying assets
Večeř, Jan; Kampen, Joerg; Navratil, Robert - In: Quantitative finance 20 (2020) 1, pp. 37-47
Persistent link: https://www.econbiz.de/10012194853
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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On the multidimensional Black-Scholes partial differential equation
Guillaume, Tristan - In: Decision making and risk/return optimization in …, (pp. 229-251). 2019
Persistent link: https://www.econbiz.de/10012134802
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012424632