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On the approximation of the SABR with mean reversion model : a probabilistic approach
Kennedy, Joanne E.; Pham, Duy - In: Applied mathematical finance 21 (2014) 5/6, pp. 451-481
Persistent link: https://www.econbiz.de/10010500879
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A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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Transition probability of Brownian motion in the octant and its application to default modelling
Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph - In: Applied mathematical finance 25 (2018) 5/6, pp. 434-465
Persistent link: https://www.econbiz.de/10012129173
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Orderings and probability functionals consistent with preferences
Ortobelli, Sergio; Račev, Svetlozar T.; Shalit, Haim; … - In: Applied mathematical finance 16 (2009) 1/2, pp. 81-102
Persistent link: https://www.econbiz.de/10003847149
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On the approximation of the SABR model : a probabilistic approach
Kennedy, Joanne E.; Mitra, Subhankar; Pham, Duy - In: Applied mathematical finance 19 (2012) 5/6, pp. 553-586
Persistent link: https://www.econbiz.de/10009710926
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Arbitrage pricing with incomplete markets
Britten-Jones, Mark - In: Applied mathematical finance 3 (1996) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10001217782
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Binomial models for option valuation : examining and improving convergence
Leisen, Dietmar - In: Applied mathematical finance 3 (1996) 4, pp. 319-346
Persistent link: https://www.econbiz.de/10001217783
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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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American call options under jump-diffusion processes - a Fourier transform approach
Chiarella, Carl; Ziogas, Andrew - In: Applied mathematical finance 16 (2009) 1/2, pp. 37-79
Persistent link: https://www.econbiz.de/10003847143
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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