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A parsimonious multi-asset Heston model : calibration and derivative pricing
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333
Persistent link: https://www.econbiz.de/10009541994
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Pricing American options in the Heston model : a close look on incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - 2011
Persistent link: https://www.econbiz.de/10009688311
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Quanto option pricing in the parsimonious Heston model
Dimitroff, Georgi; Szimayer, Alexander; Wagner, Andreas - 2009
Persistent link: https://www.econbiz.de/10009688320
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A parsimonious multi-asset Heston model : calibration and derivative pricing
Szimayer, Alexander; Dimitroff, Geogri; Lorenz, Stefan - 2009
Persistent link: https://www.econbiz.de/10009688323
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Pricing American options in the Heston model : a close look at incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
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Marginal consistent dependence modelling using weak subordination for Brownian motions
Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925
Persistent link: https://www.econbiz.de/10012262863
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Essays in financial risk management and derivative pricing
Herbener, Michael - 2016
Persistent link: https://www.econbiz.de/10012309291