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Pricing and hedging American options analytically : a perturbation method
Zhang, Jin E.; Li, Tiecheng - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 59-87
Persistent link: https://www.econbiz.de/10003955680
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A multinominal approximation for American option prices in Lévy process models
Maller, Ross A.; Solomon, David Henry; Szimayer, Alex - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003394175
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Series expansion of the SABR joint density
Wu, Qi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
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Hedging and portfolio optimization in financial markets with a large trader
Bank, Peter; Baum, Dietmar - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001917650
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When does convergence of asset price processes imply convergence of option prices?
Hubalek, Friedrich - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 385-403
Persistent link: https://www.econbiz.de/10001252755
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On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets
Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 296-328
Persistent link: https://www.econbiz.de/10011577146
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Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
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Valuation of floating range notes in Lévy term-structure models
Eberlein, Ernst; Kluge, Wolfgang - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 237-254
Persistent link: https://www.econbiz.de/10003325838
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Optimal static-dynamic hedges for barrier options
Ilhan, Aytaç; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 359-385
Persistent link: https://www.econbiz.de/10003326016
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Approximating GARCH-Jump models, jump-diffusion processes, and option pricing
Duan, Jin-Chuan; Ritchken, Peter H.; Sun, Zhiqiang - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 21-52
Persistent link: https://www.econbiz.de/10003336780