Narrow search
Showing 71 - 80 of 668,696
Cover Image
Regime-switching recombining tree for option pricing
Liu, Rui Hua - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 479-499
Persistent link: https://www.econbiz.de/10008904355
Cover Image
Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
Cover Image
A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
Cover Image
Asymptotic analysis for foreign exchange derivatives with stochastic volatility
Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147
Persistent link: https://www.econbiz.de/10008906191
Cover Image
Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model
Bormetti, Giacomo; Cazzola, Valentina; Delpini, Danilo - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1047-1063
Persistent link: https://www.econbiz.de/10008906216
Cover Image
Tangent models as a mathematical framework for dynamic calibration
Carmona, René; Nadtochiy, Sergey - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 107-135
Persistent link: https://www.econbiz.de/10008908384
Cover Image
A simplified pricing model for volatility futures
Dupoyet, Brice; Daigler, Robert T.; Chen, Zhiyao - In: The journal of futures markets 31 (2011) 4, pp. 307-339
Persistent link: https://www.econbiz.de/10008908397
Cover Image
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: The journal of futures markets 31 (2011) 2, pp. 103-125
Persistent link: https://www.econbiz.de/10008908408
Cover Image
Linking caplets and swaptions prices in the LMM-SABR model
Rebonato, Riccardo; White, Richard - In: The journal of computational finance 13 (2009/10) 2, pp. 19-45
Persistent link: https://www.econbiz.de/10003949865
Cover Image
From implied to spot volatilities
Durrleman, Valdo - In: Finance and stochastics 14 (2010) 2, pp. 157-177
Persistent link: https://www.econbiz.de/10003951488