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Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
Patel, Kuldip Singh; Mehra, Mani - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011892590
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A bias in the volatility smile
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
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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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Option pricing for a jump-diffusion model with general discrete jump-size distributions
Fu, Michael; Li, Bingqing; Li, Guozhen; Wu, Rongwen - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3961-3977
Persistent link: https://www.econbiz.de/10011772831
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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
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Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de; Mordecki, Ernesto - In: Trends in mathematical economics : dialogues between …, (pp. 99-121). 2016
Persistent link: https://www.econbiz.de/10011800675
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A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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A general theory of option pricing
Geršôn, Dāwid - In: Options - 45 years since the publication of the …, (pp. 293-330). 2023
Persistent link: https://www.econbiz.de/10014366656
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Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François; Godin, Frédéric - In: Quantitative finance 23 (2023) 7/8, pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
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Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui; Zheng, Xiangcheng - In: Computational economics 62 (2023) 3, pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889