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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
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Pricing swaps and options on quadratic variation under stochastic time change models : discrete observations case
Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-176
Persistent link: https://www.econbiz.de/10008695493
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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A new approach for option pricing under stochastic volatility
Carr, Peter; Sun, Jian - In: Review of derivatives research 10 (2007) 2, pp. 87-150
Persistent link: https://www.econbiz.de/10003705860
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Option pricing when correlations are stochastic : an analytical framework
Fonseca, José da; Grasselli, Martino; Tebaldi, Claudio - In: Review of derivatives research 10 (2007) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003705867
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Pricing average options under time-changed Lévy processes
Yamazaki, Akira - In: Review of derivatives research 17 (2014) 1, pp. 79-111
Persistent link: https://www.econbiz.de/10010519294
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
Chan, Tat Lung; Hubbert, Simon - In: Review of derivatives research 17 (2014) 2, pp. 161-189
Persistent link: https://www.econbiz.de/10010529637
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A closed-form solution for options with ambiguity about stochastic volatility
Faria, Gonçalo; Correira-da-Silva, João - In: Review of derivatives research 17 (2014) 2, pp. 125-159
Persistent link: https://www.econbiz.de/10010529639