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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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A first-order BSPDE for swing option pricing
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
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A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian; Dokučaev, Nikolaj G. - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 902-925
Persistent link: https://www.econbiz.de/10011764986