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Spread option valuation and the fast Fourier transform
Dempster, Michael A. H.; Hong, S. S. G. - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 203-220). 2002
Persistent link: https://www.econbiz.de/10001679445
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Modular pricing of options : an application of Fourier analysis
Zhu, Jianwei - 2000
Persistent link: https://www.econbiz.de/10001499875
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Special issue: Conference on Applications of Malliavin Calculus in Finance
2003
Persistent link: https://www.econbiz.de/10001765613
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First-order schemes in the numerical quantization method
Bally, V.; Pagès, G.; Printems, J. - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10001765624
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Local vega index and variance reduction methods
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97
Persistent link: https://www.econbiz.de/10001765651
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Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10001765655
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FFT-based option pricing
Borak, Szymon; Detlefsen, Kai; Härdle, Wolfgang - In: Statistical tools for finance and insurance, (pp. 183-200). 2005
Persistent link: https://www.econbiz.de/10002732817
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Der Itô-Kalkül : Einführung und Anwendungen
Deck, Thomas - 2006
Persistent link: https://www.econbiz.de/10003028231
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FFT based option pricing
Borak, Szymon (contributor); Detlefsen, Kai (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003036508
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Imperfect markets and backward stochastic differential equations
El Karoui, Nicole; Quenez, M. C. - In: Numerical methods in finance, (pp. 181-214). 2008
Persistent link: https://www.econbiz.de/10003723941