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Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang; Deng, Dongya; Lai, Yongzeng - In: The North American journal of economics and finance : a … 34 (2015), pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
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Volatility smiles when information is lagged in prices
Marcato, Gianluca; Sebehela, Tumellano; Campani, Carlos … - In: The North American journal of economics and finance : a … 46 (2018), pp. 151-165
Persistent link: https://www.econbiz.de/10012036614
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Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 48 (2019), pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
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CVA for Cliquet options under Heston model
Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
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Efficient computation of european option prices and their sensitivities with the complex fourier series method
Chan, Tat Lung (Ron) - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-23
Persistent link: https://www.econbiz.de/10012201197
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Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes
Gong, Xiaoli; Zhuang, Xintian - In: The North American journal of economics and finance : a … 40 (2017), pp. 148-159
Persistent link: https://www.econbiz.de/10011878807
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
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Pricing exotic options using the Wang transform
Labuschagne, Coenraad C. A.; Offwood, Theresa M. - In: The North American journal of economics and finance : a … 25 (2013), pp. 139-150
Persistent link: https://www.econbiz.de/10009779326
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Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu; Chen, Ting-Fu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
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Generalized affine transform on pricing quanto range accrual note
Li, Shaoyu; Huang, Henry He; Zhang, Teng - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012665783