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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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Option pricing under market maker's inventory risk : a case study of China
Deng, Zhijian; Yao, Yuhang - In: Finance research letters 66 (2024), pp. 1-9
Persistent link: https://www.econbiz.de/10015057717
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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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Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
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Option pricing under regime switching : integration over simplexes method
Jang, Bong-Gyu; Tae, Hyeon-Wuk - In: Finance research letters 24 (2018), pp. 301-312
Persistent link: https://www.econbiz.de/10011982658
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Closed-form solutions for options with random initiation under asset price monitoring
Jun, Doobae; Ku, Hyejin - In: Finance research letters 20 (2017), pp. 68-74
Persistent link: https://www.econbiz.de/10011806786
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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