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Option trading
Transition density
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transition density
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Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
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2
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Zheng, Wendong
;
Zeng, Pingping
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 344-373
Persistent link: https://www.econbiz.de/10011704259
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3
Advancing the universality of quadrature methods to any underlying process for option pricing
Chen, Ding
;
Härkönen, Hannu J.
;
Newton, David P.
- In:
Journal of financial economics
114
(
2014
)
3
,
pp. 600-612
Persistent link: https://www.econbiz.de/10010532686
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