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person:"Madan, Dilip B."
~isPartOf:"Discussion paper / Institute for Economic Research, Queen's University"
~isPartOf:"The journal of computational finance"
~person:"Forsyth, Peter A."
~person:"Fu, Michael"
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Search: subject_exact:"Optionsbewertung"
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Option pricing theory
15
Optionspreistheorie
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7
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3
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Madan, Dilip B.
Forsyth, Peter A.
Fu, Michael
Reisinger, Christoph
5
Andersen, Leif B. G.
4
Coleman, Thomas F.
4
Joshi, Mark S.
4
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Le Floc'h, Fabien
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Li, Yuying
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Discussion paper / Institute for Economic Research, Queen's University
The journal of computational finance
Robert H. Smith School Research Paper
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Applied mathematical finance
5
Finance research letters
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Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
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ECONIS (ZBW)
15
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1
The Chebyshev method for the implied volatility
Glau, Kathrin
;
Herold, Paul
;
Madan, Dilip B.
;
Pötz, …
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012162365
Saved in:
2
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Ma, K.
;
Forsyth, Peter A.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011639504
Saved in:
3
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
Saved in:
4
Saddlepoint methods for option pricing
Carr, Peter
;
Madan, Dilip B.
- In:
The journal of computational finance
13
(
2009/10
)
1
,
pp. 49-61
Persistent link: https://www.econbiz.de/10003969743
Saved in:
5
Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
Madan, Dilip B.
;
Yor, Marc
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 27-47
Persistent link: https://www.econbiz.de/10009534636
Saved in:
6
Robust numerical valuation of European and American options under the CGMY process
Wang, Iris R.
;
Wan, Justin W. L.
;
Forsyth, Peter A.
- In:
The journal of computational finance
10
(
2006/07
)
4
,
pp. 31-69
Persistent link: https://www.econbiz.de/10003542262
Saved in:
7
Pricing American options under variance gamma
Hirsa, Ali
;
Madan, Dilip B.
- In:
The journal of computational finance
7
(
2003/2004
)
2
,
pp. 63-80
Persistent link: https://www.econbiz.de/10001908061
Saved in:
8
Convergence remedies for non-smooth payoffs in option pricing
Pooley, David M.
;
Vetzal, Kenneth R.
;
Forsyth, Peter A.
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 25-40
Persistent link: https://www.econbiz.de/10001782172
Saved in:
9
Negative coefficients in two-factor option pricing models
Zvan, R.
;
Forsyth, Peter A.
;
Vetzal, Kenneth R.
- In:
The journal of computational finance
7
(
2003
)
1
,
pp. 37-73
Persistent link: https://www.econbiz.de/10001805445
Saved in:
10
Optimal importance sampling in securities pricing
Su, Yi
;
Fu, Michael
- In:
The journal of computational finance
5
(
2002
)
4
,
pp. 27-50
Persistent link: https://www.econbiz.de/10001695832
Saved in:
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