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A note on the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; … - In: Applied mathematical finance 16 (2009) 3/4, pp. 315-330
Persistent link: https://www.econbiz.de/10003916188
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Optimal asset allocation for passive investing with capital loss harvesting
Ostrov, Daniel N.; Wong, Thomas G. - In: Applied mathematical finance 18 (2011) 3/4, pp. 291-329
Persistent link: https://www.econbiz.de/10009381909
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Calibrating volatility surfaces via relative-entropy minimization
Avellaneda, Marco (contributor) - In: Applied mathematical finance 4 (1997) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10001226743
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Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H. - In: Applied mathematical finance 4 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
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Compound and exchange options in the affine term structure model
Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10001209608
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Toward real-time pricing of complex financial derivates
Ninomiya, S. - In: Applied mathematical finance 3 (1996) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001209611
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Coupling backward induction with Monte Carlo simulations : a fast Fourier transform (FFT) approach
Rebonato, Riccardo - In: Applied mathematical finance 5 (1998) 2, pp. 131-141
Persistent link: https://www.econbiz.de/10001245473
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Optimal exercise boundary for an American put option
Kuske, Rachel - In: Applied mathematical finance 5 (1998) 2, pp. 107-116
Persistent link: https://www.econbiz.de/10001245479
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Good point methods for computing prices and sensitivities of multi-asset European style options
Ross, Raymond - In: Applied mathematical finance 5 (1998) 2, pp. 83-106
Persistent link: https://www.econbiz.de/10001245480
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The pricing of Asian options under stochastic interest rates
Aase Nielsen, Jørgen - In: Applied mathematical finance 3 (1996) 3, pp. 209-236
Persistent link: https://www.econbiz.de/10001217777