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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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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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Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel; Girón, Luis Eduardo - In: Computational economics 61 (2023) 4, pp. 1545-1560
Persistent link: https://www.econbiz.de/10014327069
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An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi; Wang, Wansheng; Xiao, Aiguo - In: Computational economics 53 (2019) 4, pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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Comparative analysis of root finding algorithms for implied volatility estimation of Ethereum options
Sapna, S.; Mohan, Biju R. - In: Computational economics 64 (2024) 1, pp. 515-550
Persistent link: https://www.econbiz.de/10015078042
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Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui; Zheng, Xiangcheng - In: Computational economics 62 (2023) 3, pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
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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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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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About long-term cross-currency Bermuda swaption pricing
Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262
Persistent link: https://www.econbiz.de/10012272028