Narrow search
Showing 1 - 10 of 86
Cover Image
A new type of barrier options : lizard option
Kawanishi, Yasuhiro - In: Asia-Pacific financial markets 22 (2015) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
Cover Image
Boundary evolution equations for American options
Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532
Persistent link: https://www.econbiz.de/10010486015
Cover Image
The normalizing transformation of the implied volatility smile
Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 753-762
Persistent link: https://www.econbiz.de/10009614936
Cover Image
Asymptotics of implied volatility in local volatility models
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Cheng Ouyang - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 591-620
Persistent link: https://www.econbiz.de/10009614946
Cover Image
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
Meng, Li; Wang, Mei - In: Asia-Pacific financial markets 17 (2010) 2, pp. 99-111
Persistent link: https://www.econbiz.de/10009237122
Cover Image
The instantaneous volatility and the implied volatility surface for a generalized black-scholes model
Takaoka, Koichiro; Futami, Hidenori - In: Asia-Pacific financial markets 17 (2010) 4, pp. 391-436
Persistent link: https://www.econbiz.de/10009237752
Cover Image
Valuation of barrier options via a general self-duality
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
Cover Image
From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
Cover Image
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: Asia-Pacific financial markets 24 (2017) 4, pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
Cover Image
Analysis of the nonlinear option pricing model under variable transaction costs
Ševčovič, Daniel; Žitňanská, Magdaléna - In: Asia-Pacific financial markets 23 (2016) 2, pp. 153-174
Persistent link: https://www.econbiz.de/10011619901