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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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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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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
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A note on computation of implied volatility
Kagenishi, Yoshiteru; Shinohara, Yoshitane - In: Asia-Pacific financial markets 8 (2001) 4, pp. 361-368
Persistent link: https://www.econbiz.de/10001712367
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Estimation and prediction of a non-constant volatility
Abramov, Vyacheslav M.; Klebaner, Fima C. - In: Asia-Pacific financial markets 14 (2007) 1/2, pp. 1-23
Persistent link: https://www.econbiz.de/10003609524
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Forecasting credit spread volatility : evidence from the Japanese Eurobond market
Johnson, Brock N.; Batten, Jonathan A. - In: Asia-Pacific financial markets 10 (2003) 4, pp. 335-357
Persistent link: https://www.econbiz.de/10003083939
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Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://www.econbiz.de/10011377526