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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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An FBSDE approach to American option pricing with an interacting particle method
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 239-260
Persistent link: https://www.econbiz.de/10011524808
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The pricing of lookback options and binomial approximation
Grosse-Erdmann, Karl-Goswin; Heuwelyckx, Fabien - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 33-67
Persistent link: https://www.econbiz.de/10011451641
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Conditional Asian options
Feng, Runhuan; Volkmer, Hans W. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
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Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu; Ye, Yongxin - In: Journal of economic dynamics & control 107 (2019), pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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Most-likely-path in Asian option pricing under local voluntility models
Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-32
Persistent link: https://www.econbiz.de/10011903764
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American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649