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An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
Shiraya, Kenichiro - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-20
Persistent link: https://www.econbiz.de/10012496929
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A parsimonious multi-asset Heston model : calibration and derivative pricing
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333
Persistent link: https://www.econbiz.de/10009541994
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The joint distribution of stock returns is not elliptical
Chicheportiche, Rémy; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10009624498
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Asset dependency structures and portfolio insurance strategies
Mantilla-Garcia, Daniel; Horst, Enrique ter; Audeguil, … - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012652614
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Consistent upper price bounds for exotic options
Bäuerle, Nicole; Schmithals, Daniel Matthias - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10012650310
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Swing option pricing by dynamic programming with B-spline density projection
Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53
Persistent link: https://www.econbiz.de/10012183215
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Risk sensitivities of Bermuda swaptions
Piterbarg, Vladimir V. - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 465-509
Persistent link: https://www.econbiz.de/10002108806
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Analytic backward induction of option cash flows: a new application paradigm for the Markovian interest rate models
Gan, Junwu - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1019-1057
Persistent link: https://www.econbiz.de/10003280033
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Currency derivatives under a minimal market model with random scaling
Heath, David C.; Platen, Eckhard - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1157-1177
Persistent link: https://www.econbiz.de/10003280050
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Pricing and hedging American barrier options by a modified binomial method
Gaudenzi, Marcellino; Lepellere, Maria Antonietta - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 533-553
Persistent link: https://www.econbiz.de/10003347387