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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
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Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
Shokrollahi, Foad; Kılıçman, Adem; Magdziarz, Marcin - In: International journal of financial engineering 3 (2016) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011532750
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Uncertain volatility derivative model based on the polynomial chaos
Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
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Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011455400
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016
that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …
Persistent link: https://www.econbiz.de/10011506359
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On the importance of the traders' rules for pricing options : evidence from intraday data
Kim, Sol; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 873-894
Persistent link: https://www.econbiz.de/10010476863
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Variational solutions of the pricing PIDEs for European options in Lévy models
Eberlein, Ernst; Glau, Kathrin - In: Applied mathematical finance 21 (2014) 5/6, pp. 417-450
Persistent link: https://www.econbiz.de/10010500880
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Boundary evolution equations for American options
Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532
Persistent link: https://www.econbiz.de/10010486015