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Perpetual options on multiple underlyings

Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200

Persistent link: https://www.econbiz.de/10010352003

Option pricing : very simple formulas

Alghalith, Moawia - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 71-73

Persistent link: https://www.econbiz.de/10010463001

Pricing the exotic: path-dependent american options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; … - 2021

Persistent link: https://www.econbiz.de/10012804267

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67

Persistent link: https://www.econbiz.de/10012424632

Deep stochastic optimization in finance

Reppen, A. Max; Soner, Halil Mete; Tissot-Daguette, Valentin - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 91-111

Persistent link: https://www.econbiz.de/10014251569

Firm decisions under jump-diffusive dynamics

Deopa, Neha; Rinaldo, Daniele - 2019

We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty related to information arrival, sudden changes and large...

Persistent link: https://www.econbiz.de/10011987374

Explicit Heston solutions and stochastic approximation for path-dependent option pricing

Kouritzin, Michael A. - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011846484

Representation of exchange option prices under stochastic volatility jump-diffusion dynamics

Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. - In: Quantitative finance 20 (2020) 2, pp. 291-310

Persistent link: https://www.econbiz.de/10012194867

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

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