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Pricing perpetual American lookback options under stochastic volatility
Lee, Min-Ku - In: Computational economics 53 (2019) 3, pp. 1265-1277
Persistent link: https://www.econbiz.de/10012135129
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Approximation methods for inhomogeneous geometric Brownian motion
Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10012012939
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
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One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka; Kennedy, Joanne E. - In: The journal of computational finance 23 (2019) 3, pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
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CVA for Cliquet options under Heston model
Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
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A four-factor stochastic volatility model of commodity prices
Schöne, Max F.; Spinler, Stefan - In: Review of derivatives research 20 (2017) 2, pp. 135-165
Persistent link: https://www.econbiz.de/10011935975
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Wavelet-based option pricing : an empirical study
Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
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Analysis of variance based instruments for Ornstein-Uhlenbeck type models : swap and price index
Issaka, Aziz; SenGupta, Indranil - In: Annals of finance 13 (2017) 4, pp. 401-434
Persistent link: https://www.econbiz.de/10011945581
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Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
Krasin, Vladislav Y.; Smirnov, Ivan; Melʹnikov, … - In: Annals of finance 14 (2018) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10011945591
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An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model
Kilianová, Soňa; Letko, Boris - In: Risk and decision analysis 7 (2018) 1/2, pp. 51-62
Persistent link: https://www.econbiz.de/10011945645