Narrow search
Showing 1 - 10 of 312
Cover Image
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
Cover Image
An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
Cover Image
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
Cover Image
Stochastic volatility : option pricing using a multinomial recombining tree
Florescu, Ionuţ; Viens, Frederi G. - In: Applied mathematical finance 15 (2008) 1/2, pp. 151-181
Persistent link: https://www.econbiz.de/10003751159
Cover Image
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Cover Image
Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Baptiste, Julien; Lépinette, Emmanuel - In: Applied mathematical finance 25 (2018) 5/6, pp. 511-532
Persistent link: https://www.econbiz.de/10012129179
Cover Image
Short-time asymptotics for non-self-similar stochastic volatility models
Giorgio, Giacomo; Pacchiarotti, Barbara; Pigato, Paolo - In: Applied mathematical finance 30 (2023) 3, pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
Cover Image
On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa; Nualart, Eulalia; Pravosud, Makar - In: Applied mathematical finance 30 (2023) 5, pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Cover Image
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
Cover Image
Comparison of two methods for superreplication
Ekström, Erik; Tysk, Johan - In: Applied mathematical finance 19 (2012) 1/2, pp. 181-193
Persistent link: https://www.econbiz.de/10009561234