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Automated option pricing : numerical methods
Henry-Labordère, Pierre - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10010243611
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Robust mean-variance hedging and pricing of contingent claims in a one period model
Tevzadze, Revaz; Uzunashvili, T. - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-9
Persistent link: https://www.econbiz.de/10009624486
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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Numerical schemes for option pricing in regime-switching jump diffusion models
Florescu, Ionuţ; Liu, Rui Hua; Mariani, Maria Cristina; … - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-25
Persistent link: https://www.econbiz.de/10010243624
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Bayesian inference, prior information on volatility, and option pricing : a maximum entropy approach
Venagas-Martínez, Francisco - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10002625103
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A numerical method for pricing American-style Asian options under GARCH model
Shao, Dan - In: International journal of theoretical and applied finance 9 (2006) 8, pp. 1323-1350
Persistent link: https://www.econbiz.de/10003397192
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Convex regularization of local volatility estimation
Albani, Vinícius; Cezaro, Adriano de; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
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On spread option pricing using two-dimensional fourier transform
Alfeus, Mesias; Schlögl, Erik - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10012153028
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319