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A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
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Optimal delta hedging for options
Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190
Persistent link: https://www.econbiz.de/10011816799
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Computation of the delta of European options under stochastic volatility models
Yolcu-Okur, Yeliz; Sayer, Tilman; Yilmaz, Bilgi; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 213-237
Persistent link: https://www.econbiz.de/10011876576
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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon; Park, Hyejin - In: Quantitative finance 19 (2019) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
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Pricing perpetual American lookback options under stochastic volatility
Lee, Min-Ku - In: Computational economics 53 (2019) 3, pp. 1265-1277
Persistent link: https://www.econbiz.de/10012135129
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Pricing and hedging options with rollover parameters
Kim, Sol - In: Journal of risk 19 (2017) 5, pp. 1-40
Persistent link: https://www.econbiz.de/10011747093
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Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10011742281
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Compound option pricing under stochastic volatility
Leccadito, Arturo; Russo, Emilio - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 97-110
Persistent link: https://www.econbiz.de/10011742310
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Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models
Pajor, Anna - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 189-211
Persistent link: https://www.econbiz.de/10011742315