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Option valuation with liquidity risk and jumps

Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387

Persistent link: https://www.econbiz.de/10011854549

Application of fast N-body algorithm to option pricing under CGMY model

Sakuma, Takayuki - In: Journal of mathematical finance 7 (2017) 2, pp. 308-318

Persistent link: https://www.econbiz.de/10011673900

Perpetual options on multiple underlyings

Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200

Persistent link: https://www.econbiz.de/10010352003

American option pricing under the double Heston model based on asymptotic expansion

Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226

Persistent link: https://www.econbiz.de/10012194649

Pricing the exotic : path-dependent American options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24

We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the...

Persistent link: https://www.econbiz.de/10012545887