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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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Option pricing theory
203
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Chen, Son-nan
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The journal of derivatives : the official publication of the International Association of Financial Engineers
MPRA Paper
1,092
International journal of production research
556
International journal of theoretical and applied finance
510
European journal of operational research : EJOR
461
NBER Working Papers
425
Working Paper
342
CEPR Discussion Papers
326
Mathematical finance : an international journal of mathematics, statistics and financial theory
282
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282
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271
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262
Economics Papers from University Paris Dauphine
258
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1
The valuation of compound options : a correction and an extension
Chen, Ren-Raw
;
He, Wei
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 92-104
Persistent link: https://www.econbiz.de/10011399781
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2
European compound options written on perpetual American options
Barone, Gaia
- In:
The journal of derivatives : the official publication …
20
(
2012
)
3
,
pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
Saved in:
3
The forward valuation of compound options
Buraschi, Andrea
;
Dumas, Bernard
- In:
The journal of derivatives : the official publication …
9
(
2001
)
1
,
pp. 8-17
Persistent link: https://www.econbiz.de/10001618892
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4
Evolution of interest rate models : a comparison
Ho, Thomas S. Y.
- In:
The journal of derivatives : the official publication …
2
(
1995
)
4
,
pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
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5
Volatility surface calibration to illiquid options
Nagy, László
;
Ormos, Mihály
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 87-96
Persistent link: https://www.econbiz.de/10012306175
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6
Curve-fitting method for implied volatility
Wu, Desheng Dash
;
Liu, Tianxiang
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 19-37
Persistent link: https://www.econbiz.de/10011968684
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7
Conic option pricing
Madan, Dilip B.
;
Schoutens, Wim
- In:
The journal of derivatives : the official publication …
25
(
2017
)
1
,
pp. 10-36
Persistent link: https://www.econbiz.de/10011931506
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8
Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.
;
Nawalkha, Sanjay K.
;
Soto, Gloria M.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
Saved in:
9
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
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10
Low-discrepancy sequences : Monte Carlo
simulation
of option prices
Galanti, Silvio
- In:
The journal of derivatives : the official publication …
5
(
1997
)
1
,
pp. 63-83
Persistent link: https://www.econbiz.de/10001226460
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