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1
Fast and accurate pricing of barrier options under Lévy processes
Kudryavtsev, Oleg
;
Levendorskiǐ, Sergei
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 531-562
Persistent link: https://www.econbiz.de/10003899529
Saved in:
2
Exchange option pricing under stochastic volatility : a correlation expansion
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
Review of derivatives research
13
(
2010
)
1
,
pp. 45-73
Persistent link: https://www.econbiz.de/10008695501
Saved in:
3
A fast Fourier transform technique for pricing American options under stochastic volatility
Zhylyevskyy, Oleksandr
- In:
Review of derivatives research
13
(
2010
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10008695503
Saved in:
4
Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations
Hepperger, Peter Thomas
-
2011
Persistent link: https://www.econbiz.de/10009375794
Saved in:
5
Schnelle numerische Verfahren zur Bewertung von europäischen Optionen in erweiterten Black-Scholes Marktmodellen
Popovici, Stefan Alex
-
2002
Persistent link: https://www.econbiz.de/10001691707
Saved in:
6
Numerical methods in finance : Bordeaux, June 2010
Carmona, René
(
ed.
);
Del Moral, Pierre
(
ed.
);
Hu, Peng
(
ed.
)
-
2012
Persistent link: https://www.econbiz.de/10009532927
Saved in:
7
Stochastic finance : a numeraire approach
Večeř, Jan
-
2011
Persistent link: https://www.econbiz.de/10008810532
Saved in:
8
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Li, Minqiang
- In:
Review of derivatives research
13
(
2010
)
2
,
pp. 177-217
Persistent link: https://www.econbiz.de/10008695491
Saved in:
9
Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria
;
Yoshida, Nakahiro
- In:
Economic notes : economic review of Banca Monte dei …
39
(
2010
)
1/2
,
pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
Saved in:
10
Numerical schemes for option pricing in regime-switching jump diffusion models
Florescu, Ionuţ
;
Liu, Rui Hua
;
Mariani, Maria Cristina
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-25
Persistent link: https://www.econbiz.de/10010243624
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