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Smiles in delta
Mingone, Arianna - In: Quantitative finance 23 (2023) 12, pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
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Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil; Horvath, Blanka Nora; Jacquier, … - In: Quantitative finance 18 (2018) 10, pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
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A revised option pricing formula with the underlying being banned from short selling
He, Xin-Jiang; Zhu, Song-Ping - In: Quantitative finance 20 (2020) 6, pp. 935-948
Persistent link: https://www.econbiz.de/10012262638
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Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
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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
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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon; Park, Hyejin - In: Quantitative finance 19 (2019) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
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Implied stopping rules for American basket options from Markovian projection
Bayer, Christian; Häppölä, Juho; Tempone, Raúl - In: Quantitative finance 19 (2019) 3, pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
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Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian; Friz, Peter K.; Gulisashvili, Archil; … - In: Quantitative finance 19 (2019) 5, pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
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Real options under a double exponential jump-diffusion model with regime switching and partial information
Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun - In: Quantitative finance 19 (2019) 6, pp. 1061-1073
Persistent link: https://www.econbiz.de/10012194743