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Valuation of American Options : Monte-Carlo Simulation and Mathematical Approximation Methods

Animante, David - 2016

The use of American style equity options as hedging instrument has gained currency in recent times. This phenomenon devolves from the ever-expanding need by individuals, corporations and governments to hedge away their financial risks and the clarion call for derivative securities that give the...

Persistent link: https://www.econbiz.de/10012993420

Compound option pricing under stochastic volatility

Leccadito, Arturo; Russo, Emilio - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 97-110

Persistent link: https://www.econbiz.de/10011742310

Semi-static hedging of barrier options under poisson jumps

Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111

Persistent link: https://www.econbiz.de/10009407668

Closed-form pricing of two-asset barrier options with stochastic covariance

Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397

Persistent link: https://www.econbiz.de/10010499671

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

Collocating volatility : a competitive alternative to stochastic local volatility models

Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42

Persistent link: https://www.econbiz.de/10012496758

An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models

Shiraya, Kenichiro - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-20

Persistent link: https://www.econbiz.de/10012496929

Valuation of barrier options via a general self-duality

Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 492-515

Persistent link: https://www.econbiz.de/10011583542

Robust barrier option pricing by frame projection under exponential Lévy dynamics

Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386

Persistent link: https://www.econbiz.de/10011815237

Static replication of barrier-type options via integral equations

Kim, Kyoung-Kuk; Lim, Dong-Young - In: Quantitative finance 21 (2021) 2, pp. 281-294

Persistent link: https://www.econbiz.de/10012424590

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