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Asymptotics of barrier option pricing under the CEV process
Hu, Fannu; Knessl, Charles - In: Applied mathematical finance 17 (2010) 3/4, pp. 261-300
Persistent link: https://www.econbiz.de/10008653258
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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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Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
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Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
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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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An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
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Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
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Implied volatility of leveraged ETF options
Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188
Persistent link: https://www.econbiz.de/10010505139