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Valuation of vulnerable American options with correlated credit risk
Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10003608132
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Testing the martingale restriction for option implied densities
Busch, Thomas - In: Review of derivatives research 11 (2008) 1/2, pp. 61-81
Persistent link: https://www.econbiz.de/10003829557
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A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos; Nunes, Joaõ Pedro Vidal; Cruz, Aricson - In: Review of derivatives research 23 (2020) 3, pp. 249-272
Persistent link: https://www.econbiz.de/10012303226
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Rainbow trend options : valuation and applications
Wang, Jr-Yan; Wang, Hsiao-Chuan; Ko, Yi-Chen; Hung, Mao-Wei - In: Review of derivatives research 20 (2017) 2, pp. 91-133
Persistent link: https://www.econbiz.de/10011935970
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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