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A nonparametric local volatility model for swaptions smile

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62

Persistent link: https://www.econbiz.de/10011860899

Three essays on financial econometrics

Yu, Jialin - 2005

Persistent link: https://www.econbiz.de/10003555366

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10000993233

Strategien zur Absicherung ungewisser Verpflichtungen mit Transaktionskosten im Binomialmodell

Wehrmann, Dirk C. - 1998

Persistent link: https://www.econbiz.de/10000676156

Option prices with stochastic interest rates : Black, Scholes and Ho, Lee unified

Wilhelm, Jochen - 1999

Persistent link: https://www.econbiz.de/10001407653

An introduction to mathematical finance : options and other topics

Ross, Sheldon M. - 1999 - 1. publ.

Persistent link: https://www.econbiz.de/10001391962

Functional convergence of Snell envelopes : application to American options approximations

Mulinacci, Sabrina - In: Finance and stochastics 2 (1998) 3, pp. 311-327

Persistent link: https://www.econbiz.de/10001243268

Uncertain parameters, an empirical stochastic volatility model and confidence limits

Wilmott, Paul - In: International journal of theoretical and applied finance 1 (1998) 1, pp. 175-189

Persistent link: https://www.econbiz.de/10001236669

(Reflected) backward stochastic differential equations and contingent claims

Kohlmann, Michael - 1999

We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.

Persistent link: https://www.econbiz.de/10011544985

Uncertain volatility models : theory and application

Buff, Robert - 2002

Persistent link: https://www.econbiz.de/10001647305

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