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Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário; Kord, Yaser; Ševčovič, … - In: Asia-Pacific financial markets 24 (2017) 4, pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
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Analysis of the nonlinear option pricing model under variable transaction costs
Ševčovič, Daniel; Žitňanská, Magdaléna - In: Asia-Pacific financial markets 23 (2016) 2, pp. 153-174
Persistent link: https://www.econbiz.de/10011619901
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Game theoretic analysis of incomplete markets : emergence of probabilities, nonlinear and fractional Black-Scholes equations
Kolokolʹcov, Vassilij N. - In: Risk and decision analysis 4 (2013) 3, pp. 131-161
Persistent link: https://www.econbiz.de/10010190161
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CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
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Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
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American options with gradual exercise under proportional transaction costs
Roux, Alet; Zastawniak, Tomasz - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10010498817
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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
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A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
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Bewertung von Optionen unter Transaktionskosten : mit 21 Tabellen
Reiß, Ariane - 1998
Persistent link: https://www.econbiz.de/10000975258