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General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca; Kyriakou, Ioannis - In: Mathematics of operations research 41 (2016) 2, pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
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Closed-form interpolation-based formulas for European call options written on defaultable assets
Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242
Persistent link: https://www.econbiz.de/10011413347
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Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning; Li, Chenxu; Shi, Chao - In: Journal of economic dynamics & control 127 (2021), pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
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A novel method for arbitrage-free option surface construction
Orosi, Greg - In: Annals of financial economics 14 (2019) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
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Regime classification and stock loan valuation
Cai, Ning; Zhang, Wei - In: Operations research 68 (2020) 4, pp. 965-983
Persistent link: https://www.econbiz.de/10012288340
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Computable error bounds of Laplace inversion for pricing asian options
Song, Yingda; Cai, Ning; Kou, Steven - In: INFORMS journal on computing : JOC 30 (2018) 4, pp. 634-645
Persistent link: https://www.econbiz.de/10011966537
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A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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General lattice methods for arithmetic Asian options
Gambaro, Anna Maria; Kyriakou, Ioannis; Fusai, Gianluca - In: European journal of operational research : EJOR 282 (2020) 3, pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
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Hedging of Asian options under exponential Lévy models : computation and performance
Ballotta, Laura; Gerrard, Russell; Kyriakou, Ioannis - In: The European journal of finance 23 (2017) 4/6, pp. 297-323
Persistent link: https://www.econbiz.de/10011736257
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Exact simulation of the SABR model
Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951
Persistent link: https://www.econbiz.de/10011739058