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The convergence of binomial trees for pricing the American put
Joshi, Mark S. - In: Journal of risk 11 (2008/09) 4, pp. 87-108
Persistent link: https://www.econbiz.de/10003881606
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Numerical methods for Lévy processes
Hilber, N.; Reich, N.; Schwab, C.; Winter, C. - In: Finance and stochastics 13 (2009) 4, pp. 471-500
Persistent link: https://www.econbiz.de/10003899475
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Fast and accurate pricing of barrier options under Lévy processes
Kudryavtsev, Oleg; Levendorskiǐ, Sergei - In: Finance and stochastics 13 (2009) 4, pp. 531-562
Persistent link: https://www.econbiz.de/10003899529
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Empirical performance of the constant elasticity variance option pricing model
Chen, Ren-Raw; Lee, Cheng F.; Lee, Han-hsing - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10003871577
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The value of mortgage prepayment and default options
Chen, Yong; Connolly, Michael B.; Tang, Wenjin; Su, Tie - In: The journal of futures markets 29 (2009) 9, pp. 840-861
Persistent link: https://www.econbiz.de/10003900917
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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
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Analytical approximations for the critical stock prices of American options : a performance comparison
Li, Minqiang - In: Review of derivatives research 13 (2010) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10008695500
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Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
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A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr - In: Review of derivatives research 13 (2010) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474