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Mathematical finance : theory, modeling, implementation
Fries, Christian - 2007
Persistent link: https://www.econbiz.de/10003433292
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Empirical performance of the constant elasticity variance option pricing model
Chen, Ren-Raw; Lee, Cheng F.; Lee, Han-hsing - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 177-217
Persistent link: https://www.econbiz.de/10003871577
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The convergence of binomial trees for pricing the American put
Joshi, Mark S. - In: Journal of risk 11 (2008/09) 4, pp. 87-108
Persistent link: https://www.econbiz.de/10003881606
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Recent advances in numerical methods for pricing derivative securities
Broadie, Mark; Detemple, Jérôme B. - In: Numerical methods in finance, (pp. 43-66). 2008
Persistent link: https://www.econbiz.de/10003723883
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American options : a comparison of numerical methods
AitSahlia, Farid; Carr, P. - In: Numerical methods in finance, (pp. 67-87). 2008
Persistent link: https://www.econbiz.de/10003723886
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Numerical methods for backward stochastic differential equations
Chevance, D. - In: Numerical methods in finance, (pp. 232-244). 2008
Persistent link: https://www.econbiz.de/10003723947
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...
Persistent link: https://www.econbiz.de/10003727608
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Numerical methods in finance
Rogers, Leonard C. G. (contributor);  … - 2008 - Digitally print. version, paperb. re-issue
Persistent link: https://www.econbiz.de/10003650172