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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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Using Richardson extrapolation techniques to price American options with alternative stochastic processes
Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406
Persistent link: https://www.econbiz.de/10009673702
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Option pricing via maximization over uncertainty and correction of volatility smile
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
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Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
Meng, Li; Wang, Mei - In: Asia-Pacific financial markets 17 (2010) 2, pp. 99-111
Persistent link: https://www.econbiz.de/10009237122
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Uncertain parameters, an empirical stochastic volatility model and confidence limits
Oztukel, Asli; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582829
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Option pricing with mean reversion and stochastic volatility
Wong, Hoi Ying; Lo, Yu Wai - In: European journal of operational research : EJOR 197 (2009) 1, pp. 179-187
Persistent link: https://www.econbiz.de/10003828865
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Optionsbewertung unter Berücksichtigung stochastischer Volatilität
Tallau, Christian - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 38 (2009) 1, pp. 14-19
Persistent link: https://www.econbiz.de/10003798963
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Learning, confidence, and option prices
Shaliastovich, Ivan - In: Journal of econometrics 187 (2015) 1, pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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An analytical approximation for European option prices under stochastic interest rates
Funahashi, Hideharu - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-43
Persistent link: https://www.econbiz.de/10011403778