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Corrections in Heston model derivations for bond options
Mandal, Satrajit; Bhattacharya, Sujoy - In: International journal of bonds and derivatives 4 (2018) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10012253419
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Valuation of barrier options via a general self-duality
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
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Mathematical analysis of financial model on market price with stochastic volatility
Mondal, Mitun Kumar; Alim, Md. Abdul; Rahman, Md. Faizur; … - In: Journal of mathematical finance 7 (2017) 2, pp. 351-365
Persistent link: https://www.econbiz.de/10011673935
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Capital structure effects on the prices of equity call options
Geske, Robert Leonard; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 121 (2016) 2, pp. 231-253
Persistent link: https://www.econbiz.de/10011590712
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Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid; Najafi, Ali Reza - In: Computational economics 52 (2018) 2, pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
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The two-dimensional tree-grid method
Kossaczký, Igor; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 23 (2019) 2, pp. 29-57
Persistent link: https://www.econbiz.de/10012111259
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Volatility risk structure for options depending on extrema
Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122
Persistent link: https://www.econbiz.de/10011848359
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Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian - In: Applied mathematical finance 24 (2017) 5/6, pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
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Optimal delta hedging for options
Hull, John; White, Alan - In: Journal of banking & finance 82 (2017), pp. 180-190
Persistent link: https://www.econbiz.de/10011816799
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605