Narrow search
Showing 1 - 6 of 6
Cover Image
Stratified approximations for the pricing of options on average
Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
Cover Image
Closed form optimal exercise boundary of the American put option
Kitapbayev, Yerkin - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012650204
Cover Image
Callable barrier reverse convertible securities
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Quantitative finance 21 (2021) 9, pp. 1519-1532
Persistent link: https://www.econbiz.de/10012624152
Cover Image
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
Cover Image
A new integral equation formulation for American put options
Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping - In: Quantitative finance 18 (2018) 3, pp. 483-490
Persistent link: https://www.econbiz.de/10011906400
Cover Image
Integral representation of vega for American put options
Liu, Yanchu; Cui, Zhenyu; Zhang, Ning - In: Finance research letters 19 (2016), pp. 204-208
Persistent link: https://www.econbiz.de/10011657637