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Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Zeng, Pingping; Xu, Ziqing; Jiang, Pingping; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 842-890
Persistent link: https://www.econbiz.de/10014329916
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Relativistic option pricing
Carvalho, Vítor Hugo Ferreira; Gaspar, Raquel M. - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-24
The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain circumstances, are not dissociated and...
Persistent link: https://www.econbiz.de/10012545327
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The optimal hedge ratio in option pricing : the case of exponentially truncated Lévy stable distribution
Busca, Gigel; Haven, Emmanuel E.; Jovanovic, Franck; … - In: Theoretical economics letters 4 (2014) 9, pp. 760-766
Persistent link: https://www.econbiz.de/10010531252
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Stochastic processes : from physics to finance
Paul, Wolfgang; Baschnagel, Jörg - 1999
Persistent link: https://www.econbiz.de/10001421520
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A general framework of derivatives pricing
Zhang, Liangliang - In: Journal of mathematical finance 10 (2020) 2, pp. 255-266
Persistent link: https://www.econbiz.de/10012545688
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The binomial interpolated lattice method for step double barrier options
Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-26
Persistent link: https://www.econbiz.de/10010438537
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Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim; Walther, Simon - In: Review of derivatives research 23 (2020) 3, pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
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An efficient convergant lattice method for Asian option pricing with superlinear complexity
Lu, Ling; Xu, Wei; Qian, Zhehui - In: The journal of computational finance 20 (2016/2017) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10011691626
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The time-discrete method of lines for options and bonds : a PDE approach
Meyer, Gunter H. - 2015
Persistent link: https://www.econbiz.de/10010489029
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Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej; Muchorski, Rafał - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011523750