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The Black-scholes equation rev...
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Extending quadrature methods to value multi-asset and complex path dependent options
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Newton, David P.
; …
- In:
Journal of financial economics
83
(
2007
)
2
,
pp. 471-499
Persistent link: https://www.econbiz.de/10003425492
Saved in:
2
Universal option valuation using quadrature methods
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Duck, Peter W.
; …
- In:
Journal of financial economics
67
(
2003
)
3
,
pp. 447-471
Persistent link: https://www.econbiz.de/10001739259
Saved in:
3
On the enhanced convergence of standard lattice methods for option pricing /Martin Widdicks...
Widdicks, Martin
;
Andricopoulos, Ari D.
;
Newton, David P.
; …
- In:
The journal of futures markets
22
(
2002
)
4
,
pp. 315-338
Persistent link: https://www.econbiz.de/10001678270
Saved in:
4
Corrigendum to "Universal option valuation using quadrature methods": [Journal of Financial Economics 67 (2003) 447-471]
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Duck, Peter W.
; …
- In:
Journal of Financial Economics
73
(
2004
)
3
,
pp. 603-603
Persistent link: https://www.econbiz.de/10005362688
Saved in:
5
Universal option valuation using quadrature methods
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Duck, Peter W.
; …
- In:
Journal of Financial Economics
67
(
2003
)
3
,
pp. 447-471
Persistent link: https://www.econbiz.de/10005362900
Saved in:
6
Curtailing the Range for Lattice and Grid Methods
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Duck, Peter W.
; …
- In:
The journal of derivatives : the official publication …
11
(
2004
)
4
,
pp. 55-61
Persistent link: https://www.econbiz.de/10005926804
Saved in:
7
Corrigendum to "Universal option valuation using quadrature methods" - (Journal of Financial Economics 67 (2003) 447-471)
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Duck, Peter W.
; …
- In:
Journal of financial economics
73
(
2004
)
3
,
pp. 603-604
Persistent link: https://www.econbiz.de/10006503431
Saved in:
8
Universal option valuation using quadrature methods
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Duck, Peter W.
; …
- In:
Journal of financial economics
67
(
2003
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10006507472
Saved in:
9
THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
Widdicks, Martin
;
Duck, Peter W.
;
Andricopoulos, Ari D.
; …
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 373
Persistent link: https://www.econbiz.de/10008214489
Saved in:
10
Extending quadrature methods to value multi-asset and complex path dependent options
Andricopoulos, Ari D.
;
Widdicks, Martin
;
Newton, David P.
; …
- In:
Journal of financial economics
83
(
2007
)
2
,
pp. 471-500
Persistent link: https://www.econbiz.de/10007596588
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