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On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

Options and market expectations: implied probability density functions on the Polish foreign exchange market

Bańbuła, Piotr - In: Bank i kredyt 39 (2008) 5, pp. 21-49

Persistent link: https://www.econbiz.de/10003760007

A moments and strike matching binominal algorithm for pricing American put options

Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49

Persistent link: https://www.econbiz.de/10003771585

Barrier option hedging under constraints : a viscosity approach

Bentahar, Imen (contributor); Bouchard, Bruno (contributor) - 2006

We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a PDE...