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Exact superreplication strategies for a class of derivative assets
Vanden, Joel M. - In: Applied mathematical finance 13 (2006) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10003320040
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Numerical approximation of the implied volatility under arithmetic Brownian motion
Choi, Jaehyuk; Kim, Kwangmoon; Kwak, Minsuk - In: Applied mathematical finance 16 (2009) 3/4, pp. 261-268
Persistent link: https://www.econbiz.de/10003916161
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Stochastic volatility effects on defaultable bonds
Fouque, Jean-Pierre; Sircar, Kaushik Ronnie; Sølna, Knut - In: Applied mathematical finance 13 (2006) 3, pp. 215-244
Persistent link: https://www.econbiz.de/10003383651
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Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell - In: Applied mathematical finance 14 (2007) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10003543050
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Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 17 (2010) 3/4, pp. 241-259
Persistent link: https://www.econbiz.de/10008653259
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The stochastic intrinsic currency volatility model : a consistent framework for multiple FX rates and their volatilities
Doust, Paul - In: Applied mathematical finance 19 (2012) 5/6, pp. 381-445
Persistent link: https://www.econbiz.de/10009710939
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A general formula for option prices in a stochastic volatility model
Ching, Stephen; Dufresne, Daniel - In: Applied mathematical finance 19 (2012) 3/4, pp. 313-340
Persistent link: https://www.econbiz.de/10009710970
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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50
Persistent link: https://www.econbiz.de/10010351858
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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