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Option pricing under incompleteness and stochastic volatility
Hofmann, Norbert - 1992
Persistent link: https://www.econbiz.de/10000834044
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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A comparison of two quadratic approaches to hedging in incomplete markets
Heath, David C.; Platen, Eckhard; Schweizer, Martin - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 385-413
Persistent link: https://www.econbiz.de/10001620447
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Fast Quantization of Stochastic Volatility Models
Rudd, Ralph - 2017
, a new algorithm is proposed that allows RMQ to be applied to two-factor stochastic volatility models, which retains the … efficiency of gradient-descent techniques. By margining over potential realizations of the volatility process, a significant …
Persistent link: https://www.econbiz.de/10012958197
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Fast quantization of stochastic volatility models
Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - 2017
Persistent link: https://www.econbiz.de/10011778174
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Robust product Markovian quantization
Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021
Persistent link: https://www.econbiz.de/10013347384
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
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A benchmark approach to quantitative finance
Platen, Eckhard; Heath, David C. - 2010 - Corr., 2. print.
Persistent link: https://www.econbiz.de/10008779415
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A benchmark approach to quantitative finance
Platen, Eckhard; Heath, David C. - 2006 - Softcover reprint of th hardcover 1st edition 2006
Persistent link: https://www.econbiz.de/10003042060