Similar Search Results - EconBiz

Compound and exchange options in the affine term structure model

Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10001209608

Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Medvedev, Alexey (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003354334

Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Medvedev, Alexey; Scaillet, Olivier - In: The review of financial studies 20 (2007) 2, pp. 427-459

Persistent link: https://www.econbiz.de/10003554444

Valuing American options using fast recursive projections

Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012

This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...

Persistent link: https://www.econbiz.de/10009558308

Option pricing with discrete rebalancing

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 1999

Persistent link: https://www.econbiz.de/10009758936

An autoregressive conditional binomial option pricing model

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 1999

Persistent link: https://www.econbiz.de/10009758937

Valuing American options using fast recursive projections

Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012

This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...

Persistent link: https://www.econbiz.de/10009563383

Options on forward and futures contracts in the affine term structure model

Leblanc, Boris - In: Advances in futures and options research : a research annual 8 (1995), pp. 241-261

Persistent link: https://www.econbiz.de/10001211281

Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Medvedev, Alexey (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003370412

Option pricing with discrete rebalancing

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2002

Persistent link: https://www.econbiz.de/10001707061

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