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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach
Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363
Persistent link: https://www.econbiz.de/10010357372
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Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
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Semi-analytical prices for lookback and barrier options under the Heston model
De Gennaro Aquino, Luca; Bernard, Carole - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 715-741
Persistent link: https://www.econbiz.de/10012127317
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Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
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Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models
Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
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Spectral study of options based on CEV model with multidimensional volatility
Burtnyak, Ivan; Malytska, Anna - In: Investment management and financial innovations 15 (2018) 1, pp. 18-25
Persistent link: https://www.econbiz.de/10012001314
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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
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A multivariate stochastic volatility model with applications in the foreign exchange market
Escobar, Marcos; Gschnaidtner, Christoph - In: Review of derivatives research 21 (2018) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10012055729
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American options on high dividend securities : a numerical investigation
Rotondi, Francesco - In: Risks : open access journal 7 (2019) 2/59, pp. 1-20
I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method proposed by Longstaff and Schwartz (2001). The key point of this algorithm is the regression-based estimate of the continuation value of an American option. If this regression...
Persistent link: https://www.econbiz.de/10012019000
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Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594
Persistent link: https://www.econbiz.de/10010500871