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person:"Madan, Dilip B."
~isPartOf:"International journal of theoretical and applied finance"
~person:"Dokučaev, Nikolaj G."
~person:"Leduc, Guillaume"
~subject:"Black-Scholes-Modell"
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Black-Scholes-Modell
Option pricing theory
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Optionspreistheorie
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Stochastischer Prozess
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Arbeitskampf
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bilateral gamma model
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binomial model
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continuous time market
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smooth convergence
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Madan, Dilip B.
Dokučaev, Nikolaj G.
Leduc, Guillaume
Funahashi, Hideharu
2
Gobet, Emmanuel
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Gulko, Les
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Hok, Julien
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Tsuzuki, Yukihiro
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International journal of theoretical and applied finance
Queen's Economics Department working paper
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The journal of computational finance
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International journal of financial engineering
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Quantitative finance
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Risks : open access journal
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Robert H. Smith School Research Paper
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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What a difference one probability makes in the convergence of binomial trees
Leduc, Guillaume
;
Palmer, Kenneth J.
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012496772
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2
Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G.
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
Saved in:
3
Put option prices as joint distribution functions in strike and maturity : the black-scholes case
Madan, Dilip B.
;
Roynette, Bernard
;
Yor, Marc
- In:
International journal of theoretical and applied finance
12
(
2009
)
8
,
pp. 1075-1090
Persistent link: https://www.econbiz.de/10003946566
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