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Revisiting variance gamma pricing : an application to S&P500 index options
Mozumder, Sharif; Sorwar, Ghulam; Dowd, Kevin - In: International journal of financial engineering 2 (2015) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10011333422
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Analytical valuation of autocallable notes
Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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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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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
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Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Luo, Xiaolin; Shevchenko, Pavel V. - In: International journal of financial engineering 2 (2015) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011403137
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Calibration of the Heston stochastic local volatility model : a finite volume scheme
Engelmann, Bernd; Koster, Frank; Oeltz, Daniel - In: International journal of financial engineering 8 (2021) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10012654678
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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