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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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Spiking the volatility punch
Carr, Peter; Figà-Talamanca, Gianna - In: Applied mathematical finance 27 (2020) 6, pp. 495-520
Persistent link: https://www.econbiz.de/10012516169
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On a neural network to extract implied information from american options
Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; … - In: Applied mathematical finance 28 (2021) 5, pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
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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