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Non-parametric pricing and hedging of exotic derivatives
Lyons, Terry; Nejad, Sina; Perez Arribas, Imanol - In: Applied mathematical finance 27 (2020) 6, pp. 457-494
Persistent link: https://www.econbiz.de/10012516168
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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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Stationary and nonstationary behaviour of the term structure : a nonparametric characterization
Bowsher, Clive G.; Meeks, Roland - In: Applied mathematical finance 20 (2013) 1/2, pp. 137-166
Persistent link: https://www.econbiz.de/10009737172
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A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: Applied mathematical finance 14 (2007) 5, pp. 365-399
Persistent link: https://www.econbiz.de/10003637449
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An improved binomial lattice method for multi-dimensional options
Gamba, Andrea; Trigeorgis, Lenos - In: Applied mathematical finance 14 (2007) 5, pp. 453-475
Persistent link: https://www.econbiz.de/10003637477
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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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A semi-explicit approach to Canary swaptions in HJM one-factor model
Henrard, Marc - In: Applied mathematical finance 13 (2006) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10003320021
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A numerical method to price defaultable bonds based on the Madan and Unal credit risk model
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1/2, pp. 17-36
Persistent link: https://www.econbiz.de/10003847142