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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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Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching
Mehrdoust, Farshid; Noorani, Idin - In: International journal of financial engineering 6 (2019) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012167493
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Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns
Kale, Jivendra K.; Lim, Tee - In: International journal of financial engineering 6 (2019) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012028870
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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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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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Pólya-based approximation for the ATM-forward implied volatility
Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-15
Persistent link: https://www.econbiz.de/10011778274
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Negative interest rates effects on option pricing : back to basics?
Burro, Giacomo; Giribone, Pier Giuseppe; Ligato, Simone; … - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-27
Persistent link: https://www.econbiz.de/10011778279
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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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Pricing barrier options with discrete dividends
Gibson, D. Jason; Wingo, Aaron - In: International journal of financial engineering 4 (2017) 4, pp. 1-12
Persistent link: https://www.econbiz.de/10011807099
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Convergence of a highly accurate quasi-interpolation method for options pricing
Zhang, Shengliang - In: International journal of financial engineering 4 (2017) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10011807106