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Option pricing for jump diffussion model with random volatility
Thavaneswaran, A.; Singh, Jagbir - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 496-507
Persistent link: https://www.econbiz.de/10008778699
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A regularized fourier transform approach for valuing options under stochastic dividend yields
Dia, Baye M. - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 211-240
Persistent link: https://www.econbiz.de/10008860410
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Approximating Lévy processes with a view to option pricing
Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 63-91
Persistent link: https://www.econbiz.de/10008860423
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Pricing and filtering in a two-dimensional dividend switching model
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1001-1017
Persistent link: https://www.econbiz.de/10008906248
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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Albanese, Claudio; Lo, Harry; Tompaidis, Stathis - In: European journal of operational research : EJOR 222 (2012) 2, pp. 361-368
Persistent link: https://www.econbiz.de/10009570404
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On pricing contingent capital notes
Madan, Dilip B. - In: Recent advances in financial engineering 2011: …, (pp. 21-42). 2012
Persistent link: https://www.econbiz.de/10009573490
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Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina; Reisinger, Christoph - In: The journal of computational finance 15 (2011/12) 4, pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
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Stochastic control in limit order markets : curve following, portfolio liquidation and derivative valuation
Naujokat, Felix - 2011
Persistent link: https://www.econbiz.de/10009552027
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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang; Fu, Michael; Marcus, Steven I. - In: Operations research 60 (2012) 2, pp. 447-460
Persistent link: https://www.econbiz.de/10009554759