Works matching DE "EXOTIC options (Finance)"

Results: 47

EXOTIC OPTIONS: A CHOOSER OPTION AND ITS PRICING.

Published in:

Business, Management & Education / Verslas, Vadyba ir Studijos, 2012, v. 10, n. 2, p. 289, doi. 10.3846/bme.2012.20

By:

Martinkutė-Kaulienė, Raimonda

Publication type:

Article

Dimension Reduction Approach To Simulating Exotic Options In A Meixner Levy Market.

Published in:

IAENG International Journal of Applied Mathematics, 2009, v. 39, n. 4, p. 265

By:

Imai, Junichi;
Ken Seng Tan

Publication type:

Article

DOUBLE LOOKBACKS.

Published in:

Mathematical Finance, 1998, v. 8, n. 3, p. 201

By:

Keirstead, William P.;
Rebholz, Joachim;
He, Hua

Publication type:

Article

Machine Learning Applications for the Valuation of Options on Non-Liquid Option Markets.

Published in:

Journal of Financial Data Science, 2024, v. 6, n. 3, p. 57, doi. 10.3905/jfds.2024.1.165

By:

Witzany, Jiří;
Fičura, Milan

Publication type:

Article

Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk.

Published in:

Discrete Dynamics in Nature & Society, 2017, p. 1, doi. 10.1155/2017/5239808

By:

Yan, Li

Publication type:

Article

Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model.

Published in:

Management Science, 2006, v. 52, n. 12, p. 1930, doi. 10.1287/mnsc.1060.0575

By:

Avramidis, Athanassios N.;
L'Ecuyer, Pierre

Publication type:

Article

Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price.

Published in:

Management Science, 1994, v. 40, n. 12, p. 1705, doi. 10.1287/mnsc.40.12.1705

By:

Curran, Michael

Publication type:

Article

Nonparametric Statistical Methods and the Pricing of Derivative Securities.

Published in:

Journal of Applied Mathematics & Decision Sciences, 2002, v. 6, n. 1, p. 1, doi. 10.1155/S1173912602000019

By:

Kiesel, Rudiger

Publication type:

Article

Option Prices, Implied Price Processes, and Stochastic Volatility.

Published in:

Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 2, p. 839, doi. 10.1111/0022-1082.00228

By:

Britten-Jones, Mark;
Neuberger, Anthony

Publication type:

Article

Static Hedging of Exotic Options.

Published in:

Journal of Finance (Wiley-Blackwell), 1998, v. 53, n. 3, p. 1165, doi. 10.1111/0022-1082.00048

By:

CARR, PETER;
ELLIS, KATRINA;
GUPTA, VISHAL

Publication type:

Article

Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes.

Published in:

Applied Mathematical Finance, 2006, v. 13, n. 4, p. 333, doi. 10.1080/13504860600658992

By:

Ribeiro, Claudia;
Webber, Nick

Publication type:

Article

Pricing Lookback Options with Knock-out Boundaries.

Published in:

Applied Mathematical Finance, 2006, v. 13, n. 2, p. 155, doi. 10.1080/13504860600563028

By:

Muroi, Yoshifumi

Publication type:

Article

Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements.

Published in:

Applied Stochastic Models in Business & Industry, 2016, v. 32, n. 5, p. 585, doi. 10.1002/asmb.2179

By:

Bi, Monika;
Escobar, Marcos;
Goetz, Barbara;
Zagst, Rudi

Publication type:

Article

MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS.

Published in:

International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 5, p. N.PAG, doi. 10.1142/S0219024918500292

By:

ARGUIN, LOUIS-PIERRE;
LIU, NIEN-LIN;
WANG, TAI-HO

Publication type:

Article

ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 8, p. -1, doi. 10.1142/S0219024912500550

By:

ELLIOTT, ROBERT J.;
SIU, TAK KUEN

Publication type:

Article

LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES.

Published in:

International Journal of Theoretical & Applied Finance, 2005, v. 8, n. 5, p. 553, doi. 10.1142/S0219024905003177

By:

FERRANDO, SEBASTIAN E.;
BERNAL, ARIEL J.

Publication type:

Article

THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY.

Published in:

International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 8, p. 839, doi. 10.1142/S0219024903002249

By:

Schoutens, Wim;
Symens, Stijn

Publication type:

Article

Valuation and Optimal Exercise Time for the Banxico Put Option.

Published in:

International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 3, p. 257

By:

Fernández, Begoñna Fernández;
Barrera, Patricia Saavedra

Publication type:

Article

Closed Form Formulas for Exotic Options and their Lifetime Distribution.

Published in:

International Journal of Theoretical & Applied Finance, 1999, v. 2, n. 1, p. 17, doi. 10.1142/S0219024999000030

By:

Douady, Raphaël

Publication type:

Article

SUGGESTED REFINEMENTS TO COURSES ON DERIVATIVES : PRESENTATION OF VALUATION EQUATIONS, PAY OFF DIAGRAMS AND MANAGERIAL APPLICATION FOR SECOND GENERATION OPTIONS.

Published in:

Journal of Financial Management & Analysis, 2004, v. 17, n. 1, p. 62

By:

Deacon, Christopher;
Faseruk, Alex;
Strong, Robert

Publication type:

Article

The αVG model for multivariate asset pricing: calibration and extension.

Published in:

Review of Derivatives Research, 2013, v. 16, n. 1, p. 25, doi. 10.1007/s11147-012-9080-2

By:

Guillaume, Florence

Publication type:

Article

Unifying exotic option closed formulas.

Published in:

Review of Derivatives Research, 2012, v. 15, n. 2, p. 99, doi. 10.1007/s11147-011-9071-8

By:

Veiga, Carlos;
Wystup, Uwe;
Esquível, Manuel

Publication type:

Article

Calibration risk: Illustrating the impact of calibration risk under the Heston model.

Published in:

Review of Derivatives Research, 2012, v. 15, n. 1, p. 57, doi. 10.1007/s11147-011-9069-2

By:

Guillaume, Florence;
Schoutens, Wim

Publication type:

Article

A forward started jump-diffusion model and pricing of cliquet style exotics.

Published in:

Review of Derivatives Research, 2010, v. 13, n. 2, p. 125, doi. 10.1007/s11147-009-9045-2

By:

Drimus, Gabriel G.

Publication type:

Article

Reverse Bonus Certificate Design and Valuation Using Pricing by Duplication Methods.

Published in:

Scientific Annals of the 'Alexandru Ioan Cuza' University of Iasi: Economic Sciences Series, 2015, v. 62, n. 3, p. 277, doi. 10.1515/aicue-2015-0019

By:

Bobriková, Martina;
Harčariková, Monika

Publication type:

Article

Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements.

Published in:

Annals of Actuarial Science, 2020, v. 14, n. 1, p. 188, doi. 10.1017/S1748499519000125

By:

Konstandatos, Otto

Publication type:

Article

A backward Monte Carlo approach to exotic option pricing.

Published in:

European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 146, doi. 10.1017/S0956792517000079

By:

BORMETTI, G.;
CALLEGARO, G.;
LIVIERI, G.;
PALLAVICINI, A.

Publication type:

Article

Risk management of correlation products.

Published in:

European Financial Management, 1997, v. 3, n. 2, p. 155, doi. 10.1111/1468-036x.00037

By:

Mahoney, James M.

Publication type:

Article

An introduction to exotic options.

Published in:

European Financial Management, 1995, v. 1, n. 1, p. 87, doi. 10.1111/j.1468-036X.1995.tb00008.x

By:

Zhang, Peter G.

Publication type:

Article

An explicit martingale version of the one-dimensional Brenier theorem.

Published in:

Finance & Stochastics, 2016, v. 20, n. 3, p. 635, doi. 10.1007/s00780-016-0299-x

By:

Henry-Labordère, Pierre;
Touzi, Nizar

Publication type:

Article

HETEROGENEOUS COMPUTATION OF RAINBOW OPTION PRICES USING FOURIER COSINE SERIES EXPANSION UNDER A MIXED CPU-GPU COMPUTATION FRAMEWORK.

Published in:

Intelligent Systems in Accounting, Finance & Management, 2014, v. 21, n. 2, p. 91, doi. 10.1002/isaf.1349

By:

Cassagnes, A.;
Chen, Y.;
Ohashi, H.

Publication type:

Article

A class of fourth-order Padé schemes for fractional exotic options pricing model.

Published in:

Electronic Research Archive, 2022, v. 30, n. 3, p. 1, doi. 10.3934/era.2022046

By:

Wang, Ming-Kai;
Wang, Cheng;
Yin, Jun-Feng

Publication type:

Article

An efficient approximation method for American exotic options.

Published in:

Journal of Futures Markets, 2007, v. 27, n. 1, p. 29, doi. 10.1002/fut.20230

By:

Chang, Geunhyuk;
Kang, Jangkoo;
Kim, Hwa-Sung;
Kim, In Joon

Publication type:

Article

Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion.

Published in:

Journal of Derivatives, 2008, v. 15, n. 4, p. 61, doi. 10.3905/jod.2008.707211

By:

Hoi Ying Wong;
Ka Yung Lau

Publication type:

Article

The Analytics of Reset Options.

Published in:

Journal of Derivatives, 2000, v. 8, n. 1, p. 59, doi. 10.3905/jod.2000.319114

By:

Wai-Yan Cheng;
Shuguang Zhang

Publication type:

Article

Pricing Parisian Options.

Published in:

Journal of Derivatives, 1999, v. 6, n. 3, p. 71, doi. 10.3905/jod.1999.319120

By:

Haber, Richard J.;
Schönbucher, Philipp J.;
Wilmott, Paul

Publication type:

Article

Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation.

Published in:

Quantitative Finance, 2016, v. 16, n. 2, p. 247, doi. 10.1080/14697688.2015.1114364

By:

Pflug, Georg Ch.;
Thoma, Philipp

Publication type:

Article

Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging.

Published in:

Quantitative Finance, 2014, v. 14, n. 3, p. 427, doi. 10.1080/14697688.2013.816766

By:

Halperin, Igor;
Itkin, Andrey

Publication type:

Article

Pricing exotic options using MSL-MC.

Published in:

Quantitative Finance, 2011, v. 11, n. 9, p. 1379, doi. 10.1080/14697680903426565

By:

Abe, KlausSchmitz

Publication type:

Article

Parisian exchange options.

Published in:

Quantitative Finance, 2011, v. 11, n. 8, p. 1207, doi. 10.1080/14697680903194577

By:

Chen, An;
Suchanecki, Michael

Publication type:

Article

On the acceleration of explicit finite difference methods for option pricing.

Published in:

Quantitative Finance, 2011, v. 11, n. 8, p. 1177, doi. 10.1080/14697680903055570

By:

O'Sullivan, Stephen;
O'Sullivan, Conall

Publication type:

Article

On the valuation of fader and discrete barrier options in Heston's stochastic volatility model.

Published in:

Quantitative Finance, 2011, v. 11, n. 5, p. 693, doi. 10.1080/14697688.2010.503375

By:

Griebsch, Susanne A.;
Wystup, Uwe

Publication type:

Article

Pricing a class of exotic commodity options in a multi-factor jump-diffusion model.

Published in:

Quantitative Finance, 2008, v. 8, n. 5, p. 471, doi. 10.1080/14697680701545707

By:

Crosby, John

Publication type:

Article

On the structure of Gaussian pricing models and Gaussian Markov functional models.

Published in:

Quantitative Finance, 2007, v. 7, n. 5, p. 487, doi. 10.1080/14697680601146838

By:

Neumann, C. D. D.

Publication type:

Article

The pricing of dual-expiry exotics.

Published in:

Quantitative Finance, 2004, v. 4, n. 1, p. 101, doi. 10.1088/1469-7688/4/1/009

By:

Buchen, Peter W.

Publication type:

Article

An Empirical Comparison of Option-Pricing Models in Hedging Exotic Options.

Published in:

Financial Management (Wiley-Blackwell), 2009, v. 38, n. 4, p. 889, doi. 10.1111/j.1755-053X.2009.01060.x

By:

An, Yunbi;
Suo, Wulin

Publication type:

Article

NO, THE SKY ISN'T FALLING.

Published in:

1994

By:

Roy, P. Norman

Publication type:

Editorial