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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance

Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371

Persistent link: https://www.econbiz.de/10011642221

The pricing of average options with jump diffusion processes in the uncertain volatility model

Fan, Yulian; Zhang, Huadong - In: International journal of financial engineering 4 (2017) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011673109

Pricing derivatives with fractional volatility

Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011673129

Accelerated trinomial trees applied to American basket options and American options under the Bates model

O'Sullivan, Conall; O'Sullivan, Stephen - In: The journal of computational finance 19 (2016) 4, pp. 29-72

Persistent link: https://www.econbiz.de/10011603176

Random time forward-starting options

Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10011686733

The implied volatility of forward starting options : ATM short-time level, skew and curvature

Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017

Persistent link: https://www.econbiz.de/10011686975

On pricing Asian options under stochastic volatility

Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19

Persistent link: https://www.econbiz.de/10011687238

The forward smile in local-stochastic volatility models

Mazzon, Andrea; Pascucci, Andrea - In: The journal of computational finance 20 (2016/2017) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10011689675

Early exercise premium method for pricing American options under the J-model

Jerbi, Yacin - In: Financial innovation : FIN 2 (2016) 21, pp. 1-26

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...

Persistent link: https://www.econbiz.de/10011590292

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