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A fast, stable and accurate numerical method for the black-scholes equation of American options
Ehrhardt, Matthias; Mickens, Ronald Elbert - In: International journal of theoretical and applied finance 11 (2008) 5, pp. 471-501
Persistent link: https://www.econbiz.de/10003759938
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Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361
Persistent link: https://www.econbiz.de/10003441984
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Expansion formulas for European options in a local volatility model
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 603-634
Persistent link: https://www.econbiz.de/10008905020
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Monotonicity in the volatility of single-barrier option prices
Eriksson, Jonatan - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 987-996
Persistent link: https://www.econbiz.de/10003380317
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Put option prices as joint distribution functions in strike and maturity : the black-scholes case
Madan, Dilip B.; Roynette, Bernard; Yor, Marc - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1075-1090
Persistent link: https://www.econbiz.de/10003946566
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Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Pistorius, Martijn; Stolte, Johannes - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10009624458
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Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
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Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
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Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
Gobet, Emmanuel; Hok, Julien - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10010363919
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Lower bound approximation to basket option values for local volatility jump-diffusion models
Xu, Guoping; Zheng, Harry - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010363942