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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
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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
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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
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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
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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
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Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
Hu, Jun; Kanniainen, Juho - In: Finance research letters 14 (2015), pp. 1-10
Persistent link: https://www.econbiz.de/10011552564
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Laplacian risk management
Madan, Dilip B.; Wang, King - In: Finance research letters 22 (2017), pp. 202-210
Persistent link: https://www.econbiz.de/10011808157
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Discontinuous payoff option pricing by Mellin transform : a probabilistic approach
Gzyl, Henryk; Milev, M.; Tagliani, Aldo - In: Finance research letters 20 (2017), pp. 281-288
Persistent link: https://www.econbiz.de/10011806950
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The pricing and static hedging of multi-step double barrier options
Lee, Hangsuck; Ko, Bangwon; Lee, Minha - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473264
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Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub - In: Finance research letters 55 (2023) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10014473319