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1
Analysis of Markov chain approximation for option pricing and hedging : grid design and convergence behavior
Zhang, Gongqiu
;
Li, Lingfei
- In:
Operations research
67
(
2019
)
2
,
pp. 407-427
Persistent link: https://www.econbiz.de/10012022365
Saved in:
2
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
3
Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
Saved in:
4
Barrier option pricing by branching processes
Mitov, Georgi K.
;
Račev, Svetlozar T.
;
Kim, Young Shin
; …
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
Saved in:
5
Fourier transformation and the pricing of average-rate derivatives
Ju, Nengjiu
;
Zhong, Rui
- In:
Review of derivatives research
9
(
2006
)
3
,
pp. 187-212
Persistent link: https://www.econbiz.de/10003608138
Saved in:
6
Exotic options with Lévy processes : the Markovian approach
Ortobelli Lozza, Sergio
;
Staino, Alessandro
- In:
Investment management and financial innovations
8
(
2011
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10009153809
Saved in:
7
Multivariate digital options with memory
Cherubini, Umberto
;
Romagnoli, Silvia
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 649-660
Persistent link: https://www.econbiz.de/10009509839
Saved in:
8
Perturbed Brownian motion and its application to Parisian option pricing
Dassios, Angelos
;
Wu, Shanle
- In:
Finance and stochastics
14
(
2010
)
3
,
pp. 473-494
Persistent link: https://www.econbiz.de/10009533860
Saved in:
9
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
10
Continuously monitored barrier options under Markov processes
Mijatovi´c, Aleksandar
;
Pistorius, Martijn
- In:
Mathematical finance : an international journal of …
23
(
2013
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10009712564
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