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Singular perturbation techniques applied to multiasset option pricing
Duck, Peter W.; Yang, Chao; Newton, David P.; Widdicks, … - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 457-486
Persistent link: https://www.econbiz.de/10003882793
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Pricing and hedging American options analytically : a perturbation method
Zhang, Jin E.; Li, Tiecheng - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 59-87
Persistent link: https://www.econbiz.de/10003955680
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Achieving higher order convergence for the prices of European options in binomial trees
Joshi, Mark S. - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 89-103
Persistent link: https://www.econbiz.de/10003955683
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The valuation of compound options : a correction and an extension
Chen, Ren-Raw; He, Wei - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 92-104
Persistent link: https://www.econbiz.de/10011399781
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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Black-scholes representation for Asian options
Večeř, Jan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 598-626
Persistent link: https://www.econbiz.de/10010485999
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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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Boundary evolution equations for American options
Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532
Persistent link: https://www.econbiz.de/10010486015