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On the approximation of the SABR with mean reversion model : a probabilistic approach
Kennedy, Joanne E.; Pham, Duy - In: Applied mathematical finance 21 (2014) 5/6, pp. 451-481
Persistent link: https://www.econbiz.de/10010500879
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Arbitrage pricing with incomplete markets
Britten-Jones, Mark - In: Applied mathematical finance 3 (1996) 4, pp. 347-363
Persistent link: https://www.econbiz.de/10001217782
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Binomial models for option valuation : examining and improving convergence
Leisen, Dietmar - In: Applied mathematical finance 3 (1996) 4, pp. 319-346
Persistent link: https://www.econbiz.de/10001217783
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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
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Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
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Orderings and probability functionals consistent with preferences
Ortobelli, Sergio; Račev, Svetlozar T.; Shalit, Haim; … - In: Applied mathematical finance 16 (2009) 1/2, pp. 81-102
Persistent link: https://www.econbiz.de/10003847149
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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
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Transition probability of Brownian motion in the octant and its application to default modelling
Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph - In: Applied mathematical finance 25 (2018) 5/6, pp. 434-465
Persistent link: https://www.econbiz.de/10012129173
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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