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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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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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Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains
Giribone, Pier Giuseppe; Ligato, Simone - In: International journal of financial engineering 3 (2016) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10011577108
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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
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Pricing derivatives with fractional volatility
Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
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Analytical approximation for spread option pricing in local volatility model
Yang, Ying - In: International journal of financial engineering 4 (2017) 4, pp. 1-17
Persistent link: https://www.econbiz.de/10011807086
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Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change
Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 5 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011922948
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Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz; Mehrdoust, Farshid - In: International journal of financial engineering 5 (2018) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
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Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David - In: International journal of financial engineering 6 (2019) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10012314539