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Baumverfahren zur Bewertung diskreter Knock-Out-Optionen
Steiner, Manfred; Wallmeier, Martin; Hafner, Reinhold - In: OR-Spektrum : quantitative approaches in management 21 (1999) 1/2, pp. 147-181
Persistent link: https://www.econbiz.de/10001411543
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Pricing American exchange options in a jump-diffusion model
Lindset, Snorre - In: The journal of futures markets 27 (2007) 3, pp. 257-273
Persistent link: https://www.econbiz.de/10003493048
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Pricing complex barrier options under general diffusion processes
Tian, Yisong Sam - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 11-30
Persistent link: https://www.econbiz.de/10001497762
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Constructing binominal trees from multiple implied probability distributions
Brown, Gregory; Toft, Klaus Bjerre - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 83-100
Persistent link: https://www.econbiz.de/10001497772
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A taxonomy of risk-neutral distribution methods : theory and implementation
Gruber, Alfred - 2003
Persistent link: https://www.econbiz.de/10001747356
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Inferring risk-averse probability distributions from option prices using implied binomial trees
Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011
Persistent link: https://www.econbiz.de/10008988015
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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An analytic approximation of the implied risk-neutral density of American multi-asset options
Arismendi Zambrano, Juan Carlos; Prokopczuk, Marcel - 2014
and Schwartz (2001) least-squares method (LSM). The theory of multivariate truncated moments is employed for approximating …
Persistent link: https://www.econbiz.de/10010532229
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Deriving option-implied probability densities for foreign exchange markets
Blake, Andrew P.; Rule, Garreth - 2015
Persistent link: https://www.econbiz.de/10011289967