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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
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Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
Shokrollahi, Foad; Kılıçman, Adem; Magdziarz, Marcin - In: International journal of financial engineering 3 (2016) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011532750
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Empirical performance of stochastic volatility option pricing models
Stilger, Przemyslaw S.; Ngoc Quynh Anh Nguyen; Tri Minh … - In: International journal of financial engineering 8 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012654781
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Fast generation of implied volatility surface : optimize the traditional numerical analysis and machine learning
Yen, Jerome; Chen, Bangren; Wu, KangZahng; Yen, Joseph - In: International journal of financial engineering 8 (2021) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10012662246
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Double barrier American put option pricing under uncertain volatility model
Zaineb, El Kharrazi; Sahar, Saoud; Zouhir, Mahani - In: International journal of financial engineering 8 (2021) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10012662317
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Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
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European option pricing using Gumbel distribution
Purohit, Seema Uday; Lalit, Prasad Narahar - In: International journal of financial engineering 9 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10013188781
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A family of positivity preserving schemes for numerical solution of Black-Scholes equation
Khalsaraei, M. Mehdizadeh; Jahandizi, R. Shokri - In: International journal of financial engineering 3 (2016) 4, pp. 1-8
Persistent link: https://www.econbiz.de/10011673081
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Fractional Black-Scholes equation
Aghili, A. - In: International journal of financial engineering 4 (2017) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10011673108
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The pricing of average options with jump diffusion processes in the uncertain volatility model
Fan, Yulian; Zhang, Huadong - In: International journal of financial engineering 4 (2017) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011673109