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ECONIS (ZBW)
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1
A moment-based analytic approximation of the risk-neutral density of American options
Arismendi Zambrano, Juan Carlos
;
Prokopczuk, Marcel
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 409-444
Persistent link: https://www.econbiz.de/10011704266
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2
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe
;
Pesci, Nicolas
;
James, Victor
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
Saved in:
3
On the approximation of the SABR model : a probabilistic approach
Kennedy, Joanne E.
;
Mitra, Subhankar
;
Pham, Duy
- In:
Applied mathematical finance
19
(
2012
)
5/6
,
pp. 553-586
Persistent link: https://www.econbiz.de/10009710926
Saved in:
4
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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5
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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6
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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7
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
Saved in:
8
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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9
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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10
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
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