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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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Options on a traded account : symmetric treatment of the underlying assets
Večeř, Jan; Kampen, Joerg; Navratil, Robert - In: Quantitative finance 20 (2020) 1, pp. 37-47
Persistent link: https://www.econbiz.de/10012194853
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On the multidimensional Black-Scholes partial differential equation
Guillaume, Tristan - In: Decision making and risk/return optimization in …, (pp. 229-251). 2019
Persistent link: https://www.econbiz.de/10012134802
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Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan; Yu, Yajie; Hientzsch, Bernhard - In: The journal of computational finance 25 (2022) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
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Pricing American option using a modified fractional black-scholes model under multi-state regime switching
Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21
Persistent link: https://www.econbiz.de/10014497295
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Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.; Wan, Justin W. L. - In: Quantitative finance 23 (2023) 4, pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
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Pricing temperature derivatives using a partial differential equation approach in incomplete markets
Ehlers, Manuel - 2008
Persistent link: https://www.econbiz.de/10003781004
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Applications of Fourier transform to smile modeling : theory and implementation
Zhu, Jianwei - 2010 - 2., ed.
Persistent link: https://www.econbiz.de/10003834547