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Utility based option evaluation with proportional transaction costs
Damgaard, Anders - In: Journal of economic dynamics & control 27 (2003) 4, pp. 667-700
Persistent link: https://www.econbiz.de/10001712762
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Small dimension PDE for discrete Asian options
Benhamou, Eric; Duguet, Alexandre - In: Journal of economic dynamics & control 27 (2003) 11/12, pp. 2095-2114
Persistent link: https://www.econbiz.de/10001768895
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PDE methods for pricing barrier options
Zvan, R.; Vetzal, Kenneth R.; Forsyth, Peter A. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1563-1590
Persistent link: https://www.econbiz.de/10001508750
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Nonparametric estimation of American options' exercise boundaries and call prices
Broadie, Mark (contributor) - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1829-1857
Persistent link: https://www.econbiz.de/10001508777
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A model for designing callable bonds and its solution using tabu search
Consiglio, Andrea - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1445-1470
Persistent link: https://www.econbiz.de/10001222037
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The pricing of credit risk derivatives
Pierides, Yiannos A. - In: Journal of economic dynamics & control 21 (1997) 10, pp. 1579-1611
Persistent link: https://www.econbiz.de/10001224143
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Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
Chiarella, Carl; Hassan, Nadima el; Kuczera, Adam - In: Journal of economic dynamics & control 23 (1999) 9/10, pp. 1387-1424
Persistent link: https://www.econbiz.de/10001415373
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Pricing derivatives with barriers in a stochastic interest rate environment
Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, … - In: Journal of economic dynamics & control 32 (2008) 9, pp. 2903-2938
Persistent link: https://www.econbiz.de/10003775152
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A lattice algorithm for pricing moving average barrier options
Dai, Min; Li, Peifan; Zhang, Jin E. - In: Journal of economic dynamics & control 34 (2010) 3, pp. 542-554
Persistent link: https://www.econbiz.de/10003966493
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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160