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

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-.1016/j.orl.2017.01.006
@@ Property / DOI: 10.1016/j.orl.2017.01.006 / rank @@
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+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
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+Changes of numéraire, changes of probability measure and option pricing
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+Q4433608
@@ Property / cites work: Q4433608 / rank @@
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q3533738
@@ Property / cites work: Q3533738 / rank @@
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+Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
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+Robust Pricing of European Options with Wavelets and the Characteristic Function
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+A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
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+On the Fourier cosine series expansion method for stochastic control problems
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@@ 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