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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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Corrigendum to "Universal option valuation using quadrature methods": [Journal of Financial Economics 67 (2003) 447-471]
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of Financial Economics 73 (2004) 3, pp. 603-603
Persistent link: https://www.econbiz.de/10005362688
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Universal option valuation using quadrature methods
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of Financial Economics 67 (2003) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10005362900
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Extending quadrature methods to value multi-asset and complex path dependent options
D. Andricopoulos, Ari; Widdicks, Martin; Newton, David P.; … - In: Journal of Financial Economics 83 (2007) 2, pp. 471-499
Persistent link: https://www.econbiz.de/10005477834