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Empirical exercise behavior of warrant holders and its consequences for warrant values
Koziol, Christian - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 245-268
Persistent link: https://www.econbiz.de/10003312734
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Pricing path-dependent options on state dependent volatility models with a Bessel bridge
Campolieti, Giuseppe; Makarov, Roman - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 51-88
Persistent link: https://www.econbiz.de/10003415659
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Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
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Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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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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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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Estimating residual hedging risk with least-squares Monte Carlo
Ankirchner, Stefan; Pigorsch, Christian; Schweizer, Nikolaus - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498866