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A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
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On pricing Asian options under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin; Chen, Son-nan - In: The journal of derivatives : the official publication … 17 (2009/10) 1, pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
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On the pricing of power and other polynomial options
Macovschi, Stefan; Quittard-Pinon, François - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 61-71
Persistent link: https://www.econbiz.de/10003346507
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Barrier option pricing using adjusted transition probabilities
Barone-Adesi, Giovanni; Fusari, Nicola; Theal, John - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 36-53
Persistent link: https://www.econbiz.de/10003795257
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Pricing Parisian options by generating functions
Li, Bing-qing; Zhao, Hai-jian - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 72-81
Persistent link: https://www.econbiz.de/10003862827
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Barrier options on spot LIBOR rates under multi-factor Gaussian HJM model
Nunes, Joaõ Pedro Vidal - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 61-81
Persistent link: https://www.econbiz.de/10003379130
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Closed-form approximations for spread option prices and greeks
Li, Minqiang; Deng, Shi-jie; Zhou, Jieyun - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 58-80
Persistent link: https://www.econbiz.de/10003673361
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A closed form approach to the valuation and hedging of basket and spread options
Borovkova, Svetlana; Permana, Ferry J.; Weide, Hans van der - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 8-24
Persistent link: https://www.econbiz.de/10003498942
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An algorithm for simulating Bermudan option prices on simulated asset prices
Huge, Brian Norsk; Rom-Poulsen, Nils - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 64-85
Persistent link: https://www.econbiz.de/10003498958