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An FBSDE approach to American option pricing with an interacting particle method
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 239-260
Persistent link: https://www.econbiz.de/10011524808
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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
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Commodity spread option with cointegration
Nakajima, Katsushi; Ōhashi, Kazuhiko - In: Asia-Pacific financial markets 23 (2016) 1, pp. 1-44
Persistent link: https://www.econbiz.de/10011619864
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The end of the month option and other embedded options in futures contracts
Lindensjö, Kristoffer - In: Asia-Pacific financial markets 23 (2016) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10011619869
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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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Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
Yamada, Yuji - In: Asia-Pacific financial markets 24 (2017) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011742282
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Pricing CIR yield options by conditional moment matching
Prayoga, Adrian; Privault, Nicolas - In: Asia-Pacific financial markets 24 (2017) 1, pp. 19-38
Persistent link: https://www.econbiz.de/10011742283
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Exotic passport options
Penaud, Antony; Wilmott, Paul; Ahn, Hyungsok - In: Asia-Pacific financial markets 6 (1999) 2, pp. 171-182
Persistent link: https://www.econbiz.de/10001449321
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Evaluation of the Asian option by the dual martingale measure
Shirakawa, Hiroshi - In: Asia-Pacific financial markets 6 (1999) 2, pp. 183-194
Persistent link: https://www.econbiz.de/10001449324