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A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae; Yoo, Minhyun; Yoo, Changwoo; Kim, Junseok - In: Computational economics 53 (2019) 1, pp. 111-124
Persistent link: https://www.econbiz.de/10012134544
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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Valuation of R&D investment opportunities with the threat of compentitors entry in real option analysis
Villani, Giovanni - In: Computational economics 43 (2014) 3, pp. 330-355
Persistent link: https://www.econbiz.de/10010258806
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A modified least-squares simulation approach to value American barrier options
Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational economics 44 (2014) 4, pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
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Pricing black-scholes options with correlated credit risk and jump risk
Xu, Weidong; Xu, Weijun; Xiao, Weilin - In: Applied economics letters 22 (2015) 1/3, pp. 87-93
Persistent link: https://www.econbiz.de/10010482058
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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Default probability anomalies in the momentum startegies
Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209
Persistent link: https://www.econbiz.de/10010465679
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Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives
Chen, A.-S.; Shen, P.-F. - In: Applied economics letters 10 (2003) 4, pp. 223-229
Persistent link: https://www.econbiz.de/10001748973
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A Mellin transform approach to the pricing of options with default risk
Choi, Sun-Yong; Sotheara Veng; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: Computational economics 59 (2022) 3, pp. 1113-1134
Persistent link: https://www.econbiz.de/10013169229
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Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun - In: Applied economics letters 29 (2022) 3, pp. 253-260
Persistent link: https://www.econbiz.de/10012803500