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A new prepayment model (with default): an occupation-time derivative approach
Sharp, Nicholas J.; Johnson, Paul V.; Newton, David P.; … - In: The journal of real estate finance and economics 39 (2009) 2, pp. 118-145
Persistent link: https://www.econbiz.de/10003873975
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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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SLADI : a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage valuations
Ávalos, Javier Hernández; Johnson, Paul V.; Duck, Peter W. - In: The journal of computational finance 19 (2015/2016) 2, pp. 69-108
Persistent link: https://www.econbiz.de/10011442669
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An improved fixed-rate mortgage valuation methodology with interacting prepayment and default options
Sharp, Nicholas J.; Newton, David P.; Duck, Peter W. - In: The journal of real estate finance and economics 36 (2008) 3, pp. 307-342
Persistent link: https://www.econbiz.de/10003733641
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Enhancing the accuracy of pricing American and Bermudan options
Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 34-44
Persistent link: https://www.econbiz.de/10003010747
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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. 373-391
Persistent link: https://www.econbiz.de/10002725537
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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
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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
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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
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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