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Application of homotopy analysis method to option pricing under Lévy processes
Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10010358467
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A new type of barrier options : lizard option
Kawanishi, Yasuhiro - In: Asia-Pacific financial markets 22 (2015) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
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Variance Gamma process in the option pricing model
Drahokoupil, Jakub - 2021
Persistent link: https://www.econbiz.de/10012493120
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Analytical pricing of American options
Cheng, Jun; Zhang, Jin E. - In: Review of derivatives research 15 (2012) 2, pp. 157-192
Persistent link: https://www.econbiz.de/10009629059
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An explicit analytic formula for pricing barrier options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37
Persistent link: https://www.econbiz.de/10010500699
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A homotopy analysis method for the option pricing PDE in post-crash markets
El-Khatib, Youssef - In: Mathematical economics letters 2 (2014) 3/4, pp. 45-50
Persistent link: https://www.econbiz.de/10010496354
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An analytic approach for pricing American options with regime switching
Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-20
This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the...
Persistent link: https://www.econbiz.de/10012533592
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Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451