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Solving the Asian option PDE using Lie symmetry methods

Caister, Nicolette C.; O'Hara, John G.; Govinder, Keshlan S. - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1265-1277

Persistent link: https://www.econbiz.de/10008906161

Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: The journal of futures markets 31 (2011) 2, pp. 103-125

Persistent link: https://www.econbiz.de/10008908408

Fundamentals of futures and options markets

Hull, John - 2011 - 7. ed., global ed.

Persistent link: https://www.econbiz.de/10003959819

Unifying exotic option closed formulas

Esquível, Manuel L.; Veiga, Carlos; Wystup, Uwe - 2010

This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is...

Persistent link: https://www.econbiz.de/10008649405

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...