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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
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An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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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
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Debt rollover-induced local volatility model
Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 1065-1084
Persistent link: https://www.econbiz.de/10012172912
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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
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Local volatility calibration during turbulent periods
Skindilias, Konstantinos; Lo, Chia Chun - In: Review of quantitative finance and accounting 44 (2015) 3, pp. 425-444
Persistent link: https://www.econbiz.de/10011327607
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Assessing the performance of symmetric and asymmetric implied volatility functions
Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397
Persistent link: https://www.econbiz.de/10010391631
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Using Richardson extrapolation techniques to price American options with alternative stochastic processes
Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406
Persistent link: https://www.econbiz.de/10009673702
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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
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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