The use of power numeraires in option pricing (Q1728170): Difference between revisions

@@ Property / DOI @@
-.1016/j.orl.2017.01.006
@@ Property / DOI: 10.1016/j.orl.2017.01.006 / rank @@
-Normal rank
@@ Property / author @@
-Mark S. Joshi
@@ Property / author: Mark S. Joshi / rank @@
-Normal rank
@@ Property / author @@
+Mark S. Joshi
@@ Property / author: Mark S. Joshi / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.orl.2017.01.006
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@@ Property / OpenAlex ID @@
+W3121862631
@@ Property / OpenAlex ID: W3121862631 / rank @@
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@@ Property / cites work @@
+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
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@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / 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 @@
+Q3533738
@@ Property / cites work: Q3533738 / rank @@
+Normal rank
@@ Property / cites work @@
+Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
+Normal rank
@@ Property / cites work @@
+Robust Pricing of European Options with Wavelets and the Characteristic Function
+Normal rank
@@ Property / cites work @@
+A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
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@@ Property / cites work @@
+On the Fourier cosine series expansion method for stochastic control problems
+Normal rank
@@ Property / cites work @@
+Q3561030
@@ Property / cites work: Q3561030 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.ORL.2017.01.006
@@ Property / DOI: 10.1016/J.ORL.2017.01.006 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1728170