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Pricing and hedging barrier options in a hyper-exponential additive model

Jeannin, Marc; Pistorius, Martijn - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 657-681

Persistent link: https://www.econbiz.de/10008904332

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...

Persistent link: https://www.econbiz.de/10008797695

Spanning tests for options using principal components methods

Hansen, Charlotte S.; Tuypens, Bjorn E. - In: Applied financial economics 17 (2007) 7/9, pp. 739-746

Persistent link: https://www.econbiz.de/10003491227

A simple approach to pricing American options under the Heston stochastic volatility model

Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43

Persistent link: https://www.econbiz.de/10003985507

Robust approximations for pricing Asian options and volatility swaps under stochastic volatility

Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 17 (2010) 3/4, pp. 241-259

Persistent link: https://www.econbiz.de/10008653259

Pricing American options when asset prices jump

Chockalingam, Arunachalam; Muthuraman, Kumar - In: Operations research letters 38 (2010) 2, pp. 82-86

Persistent link: https://www.econbiz.de/10003961602

Exotic derivatives under stochastic volatility models with jumps

Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Advanced mathematical methods for finance, (pp. 455-508). 2011

Persistent link: https://www.econbiz.de/10008991275

A jump-diffusion approach to modelling vulnerable option pricing

Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance research letters 9 (2012) 1, pp. 48-56

Persistent link: https://www.econbiz.de/10009575333

Swing options valuation : a BSDE with constrained jumps approach

Bernhart, Marie; Pham, Huyen; Tankov, Peter; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 379-400). 2012

Persistent link: https://www.econbiz.de/10009577188

Pricing basket and Asian options under the jump-diffusion process

Bae, Kwangil; Kang, Jangkoo; Kim, Hwa-sung - In: The journal of futures markets 31 (2011) 9, pp. 830-854

Persistent link: https://www.econbiz.de/10009355795

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