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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie; Gray, Philip K. - In: Finance research letters 2 (2005) 1, pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
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Testing option pricing models with stochastic volatility, random jump and stochastic interest rate
Jiang, George J. - In: International review of finance 3 (2002) 3/4, pp. 233-272
Persistent link: https://www.econbiz.de/10002504517
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Optionsbewertung mit stochastischer Volatilität : Implementation des Heston-Modells
Muck, Matthias; Rudolf, Markus - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 35 (2006) 6, pp. 325-330
Persistent link: https://www.econbiz.de/10003324884
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Optimal static-dynamic hedges for barrier options
Ilhan, Aytaç; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 359-385
Persistent link: https://www.econbiz.de/10003326016
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Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility
Medvedev, Alexey (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003354334
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A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
Li, Xun; Wu, Zhenyu - In: Annals of finance 2 (2006) 2, pp. 179-205
Persistent link: https://www.econbiz.de/10003282234
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Modelling of and empirical studies on portfolio choice, option pricing, and credit risk
Polbennikov, Simon Yurievich - 2005
Persistent link: https://www.econbiz.de/10003311057
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Probabilistic properties of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 255-267). 2009
Persistent link: https://www.econbiz.de/10003833954
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Applications of Fourier transform to smile modeling : theory and implementation
Zhu, Jianwei - 2010 - 2., ed.
Persistent link: https://www.econbiz.de/10003834547