Similar Search Results

Asymptotic expansion formula of option price under multifactor Heston model

Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396

Persistent link: https://www.econbiz.de/10010511560

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

Alternative methods to derive option pricing models : review and comparison

Lee, Cheng F.; Chen, Yibing; Lee, John - In: Review of quantitative finance and accounting 47 (2016) 2, pp. 417-451

Persistent link: https://www.econbiz.de/10011595634

Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model

Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24

We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...

Persistent link: https://www.econbiz.de/10015065971