Narrow search
Showing 1 - 10 of 302
Cover Image
ADI schemes for pricing American options under the Heston model
Haentjens, Tinne; Hout, Karel J. in 't - In: Applied mathematical finance 22 (2015) 3/4, pp. 207-237
Persistent link: https://www.econbiz.de/10011436200
Cover Image
Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad - In: Applied mathematical finance 23 (2016) 1/2, pp. 135-157
Persistent link: https://www.econbiz.de/10011547000
Cover Image
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Fouque, Jean-Pierre; Hu, Ruimeng - In: Applied mathematical finance 25 (2018) 3/4, pp. 361-388
Persistent link: https://www.econbiz.de/10012129167
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
Market calibration under a long memory stochastic volatility model
Pospíšil, Jan; Sobotka, Tomáš - In: Applied mathematical finance 23 (2016) 5/6, pp. 323-343
Persistent link: https://www.econbiz.de/10011704252
Cover Image
Analysis of VIX Markets with a time-spread portfolio
Papanicolaou, A. - In: Applied mathematical finance 23 (2016) 5/6, pp. 374-408
Persistent link: https://www.econbiz.de/10011704261
Cover Image
Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
Cover Image
Optimal trade execution under stochastic volatility and liquidity
Cheridito, Patrick; Sepin, Tardu - In: Applied mathematical finance 21 (2014) 3/4, pp. 342-362
Persistent link: https://www.econbiz.de/10010499674
Cover Image
Volatility Index
Baldeaux, Jan; Badran, Alexander - In: Applied mathematical finance 21 (2014) 3/4, pp. 299-312
Persistent link: https://www.econbiz.de/10010499689
Cover Image
Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870