Narrow search
Showing 1 - 10 of 11
Cover Image
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Cover Image
Fractional stochastic volatility correction to CEV implied volatility
Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon - In: Quantitative finance 21 (2021) 4, pp. 565-574
Persistent link: https://www.econbiz.de/10012483839
Cover Image
Application of fast N-body algorithm to option pricing under CGMY model
Sakuma, Takayuki - In: Journal of mathematical finance 7 (2017) 2, pp. 308-318
Persistent link: https://www.econbiz.de/10011673900
Cover Image
A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
Cover Image
American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
Cover Image
Generative Bayesian neural network model for risk-neutral pricing of American index options
Jang, Huisu; Lee, Jaewook - In: Quantitative finance 19 (2019) 4, pp. 587-603
Persistent link: https://www.econbiz.de/10012194699
Cover Image
Asian option pricing with orthogonal polynomials
Willems, Sander - In: Quantitative finance 19 (2019) 4, pp. 605-618
Persistent link: https://www.econbiz.de/10012194700
Cover Image
Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
Cover Image
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
Cover Image
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.; Melick, William Robert; Thomas, … - In: Quantitative finance 23 (2023) 12, pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468