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A reduced-form model for valuing bonds with make-whole call provisions
Park, Min; Clark, Steven P. - In: Applied mathematical finance 22 (2015) 5/6, pp. 499-521
Persistent link: https://www.econbiz.de/10011490621
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Indifference fee rate for variable annuities
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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Pricing lookback options with knock-out boundaries
Muroi, Yoshifumi - In: Applied mathematical finance 13 (2006) 2, pp. 155-190
Persistent link: https://www.econbiz.de/10003331423
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Short positions, rally fears and option markets
Eberlein, Ernst; Madan, Dilip B. - In: Applied mathematical finance 17 (2010) 1/2, pp. 83-98
Persistent link: https://www.econbiz.de/10003975322
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A matched asymptotic expansions approach to continuity corrections for discretely sampled options : Part 1: barrier options
Howison, Sam; Steinberg, Mario - In: Applied mathematical finance 14 (2007) 1, pp. 63-89
Persistent link: https://www.econbiz.de/10003542939
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A matched asymptotic expansions approach to continuity corrections for discretely sampled options : Part 2: Bermudan options
Howison, Sam - In: Applied mathematical finance 14 (2007) 1, pp. 91-104
Persistent link: https://www.econbiz.de/10003542976
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On American options under the Variance Gamma process
Almendral, Ariel; Oosterlee, Cornelis W. - In: Applied mathematical finance 14 (2007) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10003542979
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A simple derivation of and improvements to Jamshidian's and Roger's upper bound methods for Bermudan options
Joshi, Mark S. - In: Applied mathematical finance 14 (2007) 3, pp. 197-205
Persistent link: https://www.econbiz.de/10003542984
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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