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Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis - In: Economic modelling 58 (2016), pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
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Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses
Kim, Hwa-sung; Kim, Bara; Kim, Jerim - In: Economic modelling 41 (2014), pp. 15-22
Persistent link: https://www.econbiz.de/10010438507
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Pricing stock and bond derivatives with a multi-factor Gaussian model
Bajeux-Besnainou, Isabelle; Portait, Roland - In: Applied mathematical finance 5 (1998) 3/4, pp. 207-225
Persistent link: https://www.econbiz.de/10001446813
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Calibrating volatility surfaces via relative-entropy minimization
Avellaneda, Marco (contributor) - In: Applied mathematical finance 4 (1997) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10001226743
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Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H. - In: Applied mathematical finance 4 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
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Compound and exchange options in the affine term structure model
Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10001209608
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Toward real-time pricing of complex financial derivates
Ninomiya, S. - In: Applied mathematical finance 3 (1996) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001209611
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Coupling backward induction with Monte Carlo simulations : a fast Fourier transform (FFT) approach
Rebonato, Riccardo - In: Applied mathematical finance 5 (1998) 2, pp. 131-141
Persistent link: https://www.econbiz.de/10001245473
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Optimal exercise boundary for an American put option
Kuske, Rachel - In: Applied mathematical finance 5 (1998) 2, pp. 107-116
Persistent link: https://www.econbiz.de/10001245479
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Good point methods for computing prices and sensitivities of multi-asset European style options
Ross, Raymond - In: Applied mathematical finance 5 (1998) 2, pp. 83-106
Persistent link: https://www.econbiz.de/10001245480