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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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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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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
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Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-43
Persistent link: https://www.econbiz.de/10011403778
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Renormalization of Black-Scholes equation for stochastically fluctuating interest rate
Muslimov, Alexander G.; Silantʹev, Nikolai A. - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 621-634
Persistent link: https://www.econbiz.de/10001600364
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The Britten-Jones and Neuberger smile-consistent with stochastic volatility option pricing model : a further analysis
Rossi, Alessandro - In: International journal of theoretical and applied finance 5 (2002) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10001657394
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Uncertain parameters, an empirical stochastic volatility model and confidence limits
Wilmott, Paul - In: International journal of theoretical and applied finance 1 (1998) 1, pp. 175-189
Persistent link: https://www.econbiz.de/10001236669