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Pricing turbo certificates in the presence of stochastic jumps, interest rates, and volatility
Muck, Matthias - In: Die Betriebswirtschaft : DBW 67 (2007) 2, pp. 224-240
Persistent link: https://www.econbiz.de/10003436645
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Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361
Persistent link: https://www.econbiz.de/10003441984
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The bias in black-scholes/black implied volatility : an analysis of equity and energy markets
Doran, James S.; Ronn, Ehud I. - In: Review of derivatives research 8 (2005) 3, pp. 177-198
Persistent link: https://www.econbiz.de/10003408021
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Volatility skew and the valuation of mortgages
Bhattacharjee, Ranjit; Badak, Bransislav; Russell, Robert A. - In: The journal of fixed income 16 (2006) 3, pp. 39-53
Persistent link: https://www.econbiz.de/10003422025
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Option pricing under stochastic volatility and trading volume
Ono, Sadayuki (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428523
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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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Pricing american options under stochastic volatility and stochastic interest rates
Medvedev, Alexey; Scaillet, Olivier - 2009 - This version Sept. 2009
Persistent link: https://www.econbiz.de/10003936104
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Numerical methods for non-linear black-scholes equations
Heider, Pascal - In: Applied mathematical finance 17 (2010) 1/2, pp. 59-81
Persistent link: https://www.econbiz.de/10003975272
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Optionsbewertung in Theorie und Praxis : theoretische und empirische Überprüfung des Black/Scholes-Modells
Merk, Andreas - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008904878