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Arbitrage-free market models for liquid options
Wissel, Johannes Stefan - 2008
Persistent link: https://www.econbiz.de/10003726013
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Discrete time modeling of mean-reverting stochastic processes for real option valuation
Hahn, Warren J.; Dyer, James S. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 534-548
Persistent link: https://www.econbiz.de/10003768285
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How to price efficiently European options in some geometric Lévy processes models?
Quittard-Pinon, François; Randrianarivony, Rivo - In: International journal of business 13 (2008) 4, pp. 301-314
Persistent link: https://www.econbiz.de/10003770610
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Pricing, hedging, and calibration in jump-diffusion models
Tankov, Peter; Voltchkova, Ekaterina - In: Frontiers in quantitative finance : volatility and …, (pp. 129-160). 2009
Persistent link: https://www.econbiz.de/10003787598
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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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