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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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Analytical approximations for the critical stock prices of American options : a performance comparison
Li, Minqiang - In: Review of derivatives research 13 (2010) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10008695500
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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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Convergence of numerical methods for valuing path-dependent options using interpolation
Forsyth, Peter A.; Vetzal, Kenneth R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273-314
Persistent link: https://www.econbiz.de/10001743284
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Lean Trees : a general approach for improving performance of lattice models for option pricing
Baule, Rainer; Wilkens, Marco - In: Review of derivatives research 7 (2004) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10002012150
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The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo - In: Review of derivatives research 11 (2008) 3, pp. 205-244
Persistent link: https://www.econbiz.de/10003835031
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Quadratic hedging in affine stochastic volatility models
Kallsen, Jan; Vierthauer, Richard - In: Review of derivatives research 12 (2009) 1, pp. 3-27
We determine the variance-optimal hedge for a subset of affine processes including a number of popular stochastic volatility models. This framework does not require the asset to be a martingale. We obtain semiexplicit formulas for the optimal hedging strategy and the minimal hedging error by...
Persistent link: https://www.econbiz.de/10003851734
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Microstructural biases in empirical tests of option pricing models
Dennis, Patrick; Mayhew, Stewart - In: Review of derivatives research 12 (2009) 3, pp. 169-191
Persistent link: https://www.econbiz.de/10003882896
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Calibration and hedging under jump diffusion
He, Changhong; Kennedy, J. S.; Coleman, T. F.; Forsyth, … - In: Review of derivatives research 9 (2006) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003441126