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131
Forward equations for option prices in semimartingale models
Bentata, Amel
;
Cont, Rama
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
Saved in:
132
On
volatility
smile and an investment strategy with out-of-the-money calls
Talponen, Jarno
- In:
Mathematics and financial economics
10
(
2016
)
2
,
pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
Saved in:
133
Learning, confidence, and option prices
Shaliastovich, Ivan
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
Saved in:
134
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
-
2016
-
This version: 10 March 2016
that the resulting implied
volatility
curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
Saved in:
135
Pricing external barrier options in a regime-switching model
Kim, Jerim
;
Kim, Jeongsim
;
Yoo, Hyun Joo
;
Kim, Bara
- In:
Journal of economic dynamics & control
53
(
2015
),
pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
Saved in:
136
From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
25
(
2015
)
2
,
pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
Saved in:
137
Generalized BN-S stochastic
volatility
model for option pricing
SenGupta, Indranil
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
Saved in:
138
The extended SSVI
volatility
surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
139
Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid
;
Najafi, Ali Reza
- In:
Computational economics
52
(
2018
)
2
,
pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
Saved in:
140
Pricing perpetual American lookback options under stochastic
volatility
Lee, Min-Ku
- In:
Computational economics
53
(
2019
)
3
,
pp. 1265-1277
Persistent link: https://www.econbiz.de/10012135129
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