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Derivative asset analysis in models with level-dependent and stochastic volatility
Frey, Rüdiger - 1997
Persistent link: https://www.econbiz.de/10000959999
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Pricing American options in the Heston model : a close look on incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - 2011
Persistent link: https://www.econbiz.de/10009688311
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Calibrating and completing the volatility cube in the SABR model
Dimitroff, Georgi; Kock, Johan de - 2011
Persistent link: https://www.econbiz.de/10009688312
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Quanto option pricing in the parsimonious Heston model
Dimitroff, Georgi; Szimayer, Alexander; Wagner, Andreas - 2009
Persistent link: https://www.econbiz.de/10009688320
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A parsimonious multi-asset Heston model : calibration and derivative pricing
Szimayer, Alexander; Dimitroff, Geogri; Lorenz, Stefan - 2009
Persistent link: https://www.econbiz.de/10009688323
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Modular pricing of options : an application of Fourier analysis
Zhu, Jianwei - 2000
Persistent link: https://www.econbiz.de/10001499875
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - 1998
Persistent link: https://www.econbiz.de/10000993233
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Building a consistent pricing model from observed option prices
Laurent, Jean-Paul; Leisen, Dietmar - 1998
Persistent link: https://www.econbiz.de/10001355935
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Valuation of barrier options in a Black-Scholes setup with jump risk
Leisen, Dietmar - 1999
Persistent link: https://www.econbiz.de/10001355949
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The pricing of derivatives on assets with quadratic volatility
Zühlsdorff, Christian - 1999
Persistent link: https://www.econbiz.de/10001367775