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Static hedging of barrier options under general asset dynamics : unification and application

Nalholm, Morten; Poulsen, Rolf - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 46-60

Persistent link: https://www.econbiz.de/10003346503

Exotic option pricing in Heston's stochastic volatility model

Griebsch, Susanne A. - 2008

Persistent link: https://www.econbiz.de/10003881039

Put-call symmetry : extensions and applications

Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560

Persistent link: https://www.econbiz.de/10003937125

Pricing and hedging barrier options in a hyper-exponential additive model

Jeannin, Marc; Pistorius, Martijn - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 657-681

Persistent link: https://www.econbiz.de/10008904332

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...