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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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From minority game to black&scholes pricing
Ortisi, Matteo; Zuccolo, Valerio - In: Applied mathematical finance 20 (2013) 5/6, pp. 578-598
Persistent link: https://www.econbiz.de/10010235557
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A family of maximum entropy densities matching call option prices
Neri, Cassio; Schneider, Lorenz - In: Applied mathematical finance 20 (2013) 5/6, pp. 548-577
Persistent link: https://www.econbiz.de/10010235560
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Chang, Ming-Chi; Sheu, Yuan-Chung; Tsai, Ming-Yao - In: Applied mathematical finance 22 (2015) 5/6, pp. 553-575
Persistent link: https://www.econbiz.de/10011490624
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Variational solutions of the pricing PIDEs for European options in Lévy models
Eberlein, Ernst; Glau, Kathrin - In: Applied mathematical finance 21 (2014) 5/6, pp. 417-450
Persistent link: https://www.econbiz.de/10010500880
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Option pricing with transaction costs and stochastic interest rate
SenGupta, Indranil - In: Applied mathematical finance 21 (2014) 5/6, pp. 399-416
Persistent link: https://www.econbiz.de/10010500884
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On the minimal entropy martingale measure and multinomial lattices with cumulants
Ssebugenyi, Cyrus Seera; Mwaniki, Ivivi Joseph; … - In: Applied mathematical finance 20 (2013) 3/4, pp. 359-379
Persistent link: https://www.econbiz.de/10010187658
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Exotic geometric average options pricing under stochastic volatility
Tahani, Nabil - In: Applied mathematical finance 20 (2013) 3/4, pp. 229-245
Persistent link: https://www.econbiz.de/10010187667
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Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322
Persistent link: https://www.econbiz.de/10011704246