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Option pricing for jump diffusions : approximations and their interpretation
Mercurio, Fabio - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 191-200
Persistent link: https://www.econbiz.de/10001333345
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Fundamentals and advanced techniques in derivatives hedging
Bouchard, Bruno; Chassagneux, Jean-François - 2016
Persistent link: https://www.econbiz.de/10011531565
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Closed-form approximation of perpetual timer option prices
Li, Minqiang; Mercurio, Fabio - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10010391503
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A family of humped volatility models
Mercurio, Fabio; Moraleda Novo, Juan Manuel - In: The European journal of finance 7 (2001) 2, pp. 93-116
Persistent link: https://www.econbiz.de/10001603191
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Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano; Mercurio, Fabio - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360