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Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H. - In: Applied mathematical finance 4 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
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Spread option valuation and the fast Fourier transform
Dempster, Michael A. H.; Hong, S. S. G. - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 203-220). 2002
Persistent link: https://www.econbiz.de/10001679445
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Pricing American stock options by linear programming
Dempster, Michael A. H.; Hutton, J. P. - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 229-254
Persistent link: https://www.econbiz.de/10001444164
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LP valuation of exotic American options exploiting structure
Dempster, Michael A. H.; Hutton, J. P.; Richards, Donald G. - In: The journal of computational finance 2 (1998) 1, pp. 61-84
Persistent link: https://www.econbiz.de/10001447235
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Pricing American options fitting the smile
Dempster, Michael A. H.; Richards, Donald G. - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 157-177
Persistent link: https://www.econbiz.de/10002177386
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Long term spread option valuation and hedging
Dempster, Michael A. H.; Medova, Elena; Tang, Ke - In: Journal of banking & finance 32 (2008) 12, pp. 2530-2540
Persistent link: https://www.econbiz.de/10003795773
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Wavelet optimized valuation of financial derivatives
Wiart, B. Carton de; Dempster, Michael A. H. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1113-1137
Persistent link: https://www.econbiz.de/10009407662
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Asset pricing and hedging in financial markets with transaction costs : an approach based on the von Neumann-Gale model
Dempster, Michael A. H. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003187224