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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
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Most-likely-path in Asian option pricing under local voluntility models
Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-32
Persistent link: https://www.econbiz.de/10011903764
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Pricing Asian option and lookback option with Monte Carlo method
Yiyang Lu - In: Internet finance and digital economy : advances in …, (pp. 329-338). 2024
Persistent link: https://www.econbiz.de/10014534116
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A remark on static hedging of options written on the last exit time
Imamura, Yuri - In: Review of Derivatives Research 14 (2011) 3, pp. 333-347
Persistent link: https://www.econbiz.de/10009327366
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Hedging of American options in illiquid markets with price impacts
Roch, Alexandre F. - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10013189932
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Improving the option pricing performance of GARCH models in inefficient market
Lahouel, Noureddine; Hellara, Slaheddine - In: Investment management and financial innovations 17 (2020) 2, pp. 14-25
Persistent link: https://www.econbiz.de/10012303053
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Participating contingent premium options
Rajae, Aboulaich; Amina, Dchieche - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011697145
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On the performance of the comonotonicity approach for pricing Asian options in some benchmark models from equities and commodities
Chen, Jilong; Ewald, Christian - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011697161
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Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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A verification model to capture option risk and hedging based on a modified underlying beta
Shen, Chuan-He; Liu, Yang - In: The journal of risk model validation 15 (2021) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10014540158