Narrow search
Showing 1 - 10 of 797
Cover Image
How fundamental is the one-period trinomial model to European option pricing bounds : a new methodological approach
Braouezec, Yann - In: Finance research letters 21 (2017), pp. 92-99
Persistent link: https://www.econbiz.de/10011807511
Cover Image
Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme
Shi, Guangping; Liu, Xiaoxing; Tang, Pan - In: Finance research letters 16 (2016), pp. 220-229
Persistent link: https://www.econbiz.de/10011656186
Cover Image
On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
Cover Image
The closed-form approximation to price basket options under stochastic interest rate
Yu, Bo; Zhu, Hongmei; Wu, Ping - In: Finance research letters 46 (2022) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10013342195
Cover Image
Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie; Gray, Philip K. - In: Finance research letters 2 (2005) 1, pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
Cover Image
A closed-form solution for spot volatility from options under limited data
Zhang, Aoran; Zhou, Chunyang - In: Finance research letters 67 (2024) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10015062164
Cover Image
Pricing vulnerable options with stochastic default barriers
Wang, Xingchun - In: Finance research letters 19 (2016), pp. 305-313
Persistent link: https://www.econbiz.de/10011657733
Cover Image
Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
Cover Image
Strike asymptotics for Laplace implied volatilities
Madan, Dilip B.; Wang, King - In: Finance research letters 25 (2018), pp. 183-189
Persistent link: https://www.econbiz.de/10012003516
Cover Image
Credit-implied forward volatility and volatility expectations
Byström, Hans N. E. - In: Finance research letters 16 (2016), pp. 132-138
Persistent link: https://www.econbiz.de/10011655141