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Analytical approximations for the critical stock prices of American options : a performance comparison
Li, Minqiang - In: Review of derivatives research 13 (2010) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10008695500
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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Efficient quadrature and node positioning for exotic option valuation
Chung, San-lin; Ko, Kunyi; Shackleton, Mark B.; Yeh, … - In: The journal of futures markets 30 (2010) 11, pp. 1026-1057
Persistent link: https://www.econbiz.de/10008900940
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Stable and efficient computational methods for dynamics programming
Cai, Yongyang; Judd, Kenneth L. - In: Journal of the European Economic Association 8 (2010) 2/3, pp. 626-634
Persistent link: https://www.econbiz.de/10008902607
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Some important issues involving real options : an overview
Sick, Gordon A.; Gamba, Andrea - In: Multinational finance journal : MF ; quarterly … 14 (2010) 1/2, pp. 73-123
Persistent link: https://www.econbiz.de/10008905059
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Stochastic finance : a numeraire approach
Večeř, Jan - 2011
Persistent link: https://www.econbiz.de/10008810532
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Another numerical method of finding critical values for the Andrews stability test
Anatolyev, Stanislav; Kosenok, Grigory - In: Econometric theory 28 (2012) 1, pp. 239-246
Persistent link: https://www.econbiz.de/10009520953
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009563383