Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2006.05.006
+Normal rank
@@ Property / OpenAlex ID @@
+W2065919465
@@ Property / OpenAlex ID: W2065919465 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Connecting discrete and continuous path-dependent options
+Normal rank
@@ Property / cites work @@
+Spectral GMM estimation of continuous-time processes
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+Reset and withdrawal rights in dynamic fund protection
+Normal rank
@@ Property / cites work @@
+Q5736202
@@ Property / cites work: Q5736202 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Corrections for Interest Rate Derivatives
+Normal rank
@@ Property / cites work @@
+QUANTO LOOKBACK OPTIONS
@@ Property / cites work: QUANTO LOOKBACK OPTIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic volatility and the goodness-of-fit of the Heston model
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
+Normal rank
@@ Property / cites work @@
+From ruin theory to pricing reset guarantees and perpetual put options
+Normal rank
@@ Property / cites work @@
+Pricing Perpetual Fund Protection with Withdrawal Option
+Normal rank
@@ Property / cites work @@
+Double Lookbacks
@@ Property / cites work: Double Lookbacks / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q3997900
@@ Property / cites work: Q3997900 / rank @@
+Normal rank
@@ Property / cites work @@
+Singular Perturbations for Boundary Value Problems Arising from Exotic Options
+Normal rank
@@ Property / cites work @@
+Dynamic Fund Protection
@@ Property / cites work: Dynamic Fund Protection / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic volatility as a simple generator of apparent financial power laws and long memory
+Normal rank
@@ Property / cites work @@
+Pricing equity-indexed annuities with path-dependent options.
+Normal rank
@@ Property / cites work @@
+Geometric Asian options: valuation and calibration with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
+Normal rank