Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 141, doi. 10.3905/jod.2022.30.2.141
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- Publication type:
- Article
Works matching IS 10741240 AND DT 2022 AND VI 30 AND IP 2
Results: 10
1
2
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 127, doi. 10.3905/jod.2022.30.2.127
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- Article
3
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 94, doi. 10.3905/jod.2022.1.172
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- Publication type:
- Article
4
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 74, doi. 10.3905/jod.2022.30.2.074
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- Publication type:
- Article
5
Malliavin Derivatives of Derivative Securities.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 65, doi. 10.3905/jod.2022.30.2.065
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- Publication type:
- Article
6
Financial Interpretation of Feller's Factorization.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 49, doi. 10.3905/jod.2022.30.2.049
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- Publication type:
- Article
7
Deriving Better Second-Order Derivatives.
- Published in:
- Journal of Derivatives, 2022, v. 30, n. 2, p. 32, doi. 10.3905/jod.2022.30.2.032
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- Publication type:
- Article
8
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time.
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- Journal of Derivatives, 2022, v. 30, n. 2, p. 16, doi. 10.3905/jod.2022.30.2.016
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- Publication type:
- Article
9
My Reminiscences of Peter Carr.
- Published in:
- Journal of Derivatives, 2022, v. 30, n. 2, p. 8, doi. 10.3905/jod.2022.30.2.008
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- Article
10
Untitled.
- Published in:
- Journal of Derivatives, 2022, v. 30, n. 2, p. 1, doi. 10.3905/jod.2022.30.2.001
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- Publication type:
- Article