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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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Robust bounds for the American put
Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
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Valuation of credit default swaps and swaptions
Jamshidian, Farshid - In: Finance and stochastics 8 (2004) 3, pp. 343-371
Persistent link: https://www.econbiz.de/10002130315
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Local martingales, bubbles and option prices
Cox, Alexander M. G.; Hobson, David G. - In: Finance and stochastics 9 (2005) 4, pp. 477-492
Persistent link: https://www.econbiz.de/10003123202
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Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
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An exact analytical solution for discrete barrier options
Fusai, Gianluca; Abrahams, I. David; Sgarra, Carlo - In: Finance and stochastics 10 (2006) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003234939
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A semilinear Black and Scholes partial differential equation for valuing American options
Benth, Fred Espen; Karlsen, Kenneth H.; Reikvam, Kristin - In: Finance and stochastics 7 (2003) 3, pp. 277-298
Persistent link: https://www.econbiz.de/10001771698