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Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264

Persistent link: https://www.econbiz.de/10003716265

Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells

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Exotic option pricing in Heston's stochastic volatility model

Griebsch, Susanne A. - 2008

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Put-call symmetry : extensions and applications

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Pricing and hedging barrier options in a hyper-exponential additive model

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Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...