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Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
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Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid; Najafi, Ali Reza - In: Computational economics 52 (2018) 2, pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
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Pricing perpetual American lookback options under stochastic volatility
Lee, Min-Ku - In: Computational economics 53 (2019) 3, pp. 1265-1277
Persistent link: https://www.econbiz.de/10012135129
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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
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Multiple shooting method for solving black-scholes equation
Abdi-Mazraeh, Somayeh; Khani, Ali; Irandoust-Pakchin, Safar - In: Computational economics 56 (2020) 4, pp. 723-746
Persistent link: https://www.econbiz.de/10012390448
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Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong; Fang, Shaomei; He, Yong - In: Computational economics 61 (2023) 4, pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
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Option valuation with conditional heteroskedastic hidden truncation models
Belhachemi, Rachid - In: Computational economics 63 (2024) 6, pp. 2585-2601
Persistent link: https://www.econbiz.de/10014636763
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On the historical exchange rates Euro/US Dollar
Vadillo, Fernando - In: Computational economics 48 (2016) 3, pp. 463-472
Persistent link: https://www.econbiz.de/10011712513
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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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Explanatory factors and causality in the dynamics of volatility surfaces implied from OTC Asian-Pacific currency options
Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: Computational economics 41 (2013) 3, pp. 327-358
Persistent link: https://www.econbiz.de/10009711327