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Asset pricing in the early twentieth century
Moore, Lyndon C. - 2006
Persistent link: https://www.econbiz.de/10003908181
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The Black-Scholes option pricing model
Malliaris, Anastasios G. - In: Financial derivatives : pricing and risk management, (pp. 371-385). 2010
Persistent link: https://www.econbiz.de/10003920434
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The Black-Scholes legacy : closed-form option pricing models
Câmara, António - In: Financial derivatives : pricing and risk management, (pp. 387-404). 2010
Persistent link: https://www.econbiz.de/10003920436
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Monte Carlo techniques in pricing and using derivatives
Marshall, Cara M. - In: Financial derivatives : pricing and risk management, (pp. 425-440). 2010
Persistent link: https://www.econbiz.de/10003920439
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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, … - 2008
Persistent link: https://www.econbiz.de/10008663229
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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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No more replicating portfolios : a simple convex combination to understand the risk-neutral valuation method for the multi-step binomial valuation of a call option
Mercken, Roger; Motmans, Lisette; Houben, Ghislain - In: EuroEconomica (2010) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10008697872
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Alternative tilts for nonparametric option pricing
Haley, M. Ryan; Walker, Todd B. - In: The journal of futures markets 30 (2010) 10, pp. 983-1006
Persistent link: https://www.econbiz.de/10008900930
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A new simple square root option pricing model
Câmara, António; Wang, Yaw-huei - In: The journal of futures markets 30 (2010) 11, pp. 1007-1025
Persistent link: https://www.econbiz.de/10008900941
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Expansion formulas for European options in a local volatility model
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 603-634
Persistent link: https://www.econbiz.de/10008905020