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A Study on Optimal Multiple Stopping and Swing Options Pricing.
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- Ganit: Journal of Bangladesh Mathematical Society, 2020, v. 40, n. 2, p. 145, doi. 10.3329/ganit.v40i2.51317
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- Article
A Comparative Study between Implicit and Crank-Nicolson Finite Difference Method for Option Pricing.
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- Ganit: Journal of Bangladesh Mathematical Society, 2020, n. 40, p. 13, doi. 10.3329/ganit.v40i1.48192
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- Article
CRUDE OIL OPTIONS HEDGING BASED ON A NEW EXTREME RISK MEASURE.
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- Economic Computation & Economic Cybernetics Studies & Research, 2018, v. 52, n. 4, p. 275, doi. 10.24818/18423264/52.4.18.18
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- Article
Pricing American-style Parisian up-and-out call options.
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- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 1, doi. 10.1017/S0956792517000018
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- Article
A variational inequality arising from optimal exercise perpetual executive stock options.
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- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 55, doi. 10.1017/S0956792517000031
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- Article
A backward Monte Carlo approach to exotic option pricing.
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- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 146, doi. 10.1017/S0956792517000079
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- Article
Pricing Kernel Monotonicity and Conditional Information.
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- Review of Financial Studies, 2018, v. 31, n. 2, p. 493, doi. 10.1093/rfs/hhx095
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- Article
The Factor Structure in Equity Options.
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- Review of Financial Studies, 2018, v. 31, n. 2, p. 595, doi. 10.1093/rfs/hhx089
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- Article
Computing deltas without derivatives.
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- Finance & Stochastics, 2017, v. 21, n. 2, p. 509, doi. 10.1007/s00780-016-0321-3
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- Article
Modeling of financial processes with a space-time fractional diffusion equation of varying order.
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- Fractional Calculus & Applied Analysis, 2016, v. 19, n. 6, p. 1414, doi. 10.1515/fca-2016-0073
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- Article
Calibrating and Pricing with a Stochastic-Local Volatility Model.
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- Journal of Derivatives, 2015, v. 22, n. 3, p. 21, doi. 10.3905/jod.2015.22.3.021
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- Article
Implied Binomial Trees with Cubic Spline Smoothing.
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- Journal of Derivatives, 2015, v. 22, n. 3, p. 40, doi. 10.3905/jod.2015.22.3.040
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- Article
Robust Estimation of Shape-Constrained State Price Density Surfaces.
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- Journal of Derivatives, 2015, v. 22, n. 3, p. 56, doi. 10.3905/jod.2015.22.3.056
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- Article
Autocallable Structured Products.
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- Journal of Derivatives, 2015, v. 22, n. 3, p. 73, doi. 10.3905/jod.2015.22.3.073
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- Article
Multilevel Monte Carlo for Asian options and limit theorems.
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- Monte Carlo Methods & Applications, 2014, v. 20, n. 3, p. 181, doi. 10.1515/mcma-2013-0025
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- Article
ON SOME GENERALIZATION OF THE COX-ROSS-RUBINSTEIN MODEL AND ITS ASYMPTOTICS OF BLACK-SCHOLES TYPE.
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- Bulletin de la Société des Sciences et des Lettres de Lodz, 2014, v. 64, n. 1, p. 25
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- Article
Option Pricing under Sign RCA-GARCH Models.
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- Dynamic Econometric Models, 2014, v. 14, p. 145, doi. 10.12775/DEM.2014.008
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- Article
Normalized particle swarm optimization for complex chooser option pricing on graphics processing unit.
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- Journal of Supercomputing, 2013, v. 66, n. 1, p. 170, doi. 10.1007/s11227-013-0893-z
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- Article
The Fuzzy Jump-Diffusion Model to Pricing European Vulnerable Options.
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- International Journal of Fuzzy Systems, 2013, v. 15, n. 3, p. 317
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- Article
Capturing Option Anomalies with a Variance-Dependent Pricing Kernel.
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- Review of Financial Studies, 2013, v. 26, n. 8, p. 1963, doi. 10.1093/rfs/hht033
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- Article
Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction.
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- Management Science, 2013, v. 59, n. 2, p. 376, doi. 10.1287/mnsc.1120.1568
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- Article
Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method.
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- Abstract & Applied Analysis, 2013, p. 1, doi. 10.1155/2013/194286
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- Article
Options Trading and the Cost of Equity Capital.
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- Accounting Review, 2013, v. 88, n. 1, p. 261, doi. 10.2308/accr-50275
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- Article
Pathwise Optimization for Optimal Stopping Problems.
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- Management Science, 2012, v. 58, n. 12, p. 2292, doi. 10.1287/mnsc.1120.1551
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- Article
Heterogeneous Beliefs and Risk-Neutral Skewness.
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- Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 4, p. 851, doi. 10.1017/S0022109012000269
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- Article
A Summary on Pricing American Call Options Under the Assumption of a Lognormal Framework in the Korn-Rogers Model.
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- Bulletin of the Malaysian Mathematical Sciences Society, 2012, v. 35, n. 2A, p. 573
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- Article
OPTION PRICING WITH PADÉ APPROXIMATIONS.
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- Communications Series A1 Mathematics & Statistics, 2012, v. 61, n. 2, p. 45, doi. 10.1501/Commua1_0000000679
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- Article
A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk.
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- Mathematical Problems in Engineering, 2012, v. 2012, p. 1, doi. 10.1155/2012/761637
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- Article
Market Timing with Option-Implied Distributions: A Forward-Looking Approach.
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- Management Science, 2011, v. 57, n. 7, p. 1231, doi. 10.1287/mnsc.1110.1346
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- Article
Optimal Expansion Financing and Prior Financial Structure.
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- International Review of Finance, 2011, v. 11, n. 1, p. 57, doi. 10.1111/j.1468-2443.2009.01099.x
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- Article
A Simple Robust Link Between American Puts and Credit Protection.
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- Review of Financial Studies, 2011, v. 24, n. 2, p. 473, doi. 10.1093/rfs/hhq129
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- Article
SHORTFALL RISK APPROXIMATIONS FOR AMERICAN OPTIONS IN THE MULTIDIMENSIONAL BLACK-SCHOLES MODEL.
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- Journal of Applied Probability, 2010, v. 47, n. 4, p. 997, doi. 10.1239/jap/1294170514
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- Article
IN DEFENSE OF MODELS.
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- Financial History, 2010, n. 96, p. 32
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- Article
Assessment and propagation of input uncertainty in tree-based option pricing models.
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- Applied Stochastic Models in Business & Industry, 2009, v. 25, n. 3, p. 275, doi. 10.1002/asmb.736
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- Article
VALUATION OF EUROPEAN INSTALLMENT PUT OPTION:: VARIATIONAL INEQUALITY APPROACH.
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- Communications in Contemporary Mathematics, 2009, v. 11, n. 2, p. 279, doi. 10.1142/S0219199709003363
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- Article
ADAPTIVE MESH MODELING AND BARRIER OPTION PRICING UNDER A JUMP-DIFFUSION PROCESS.
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- Journal of Financial Research, 2008, v. 31, n. 4, p. 381, doi. 10.1111/j.1475-6803.2008.00244.x
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- Article
The Dating Game: Do Managers Designate Option Grant Dates to Increase their Compensation?
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- Review of Financial Studies, 2008, v. 21, n. 5, p. 1908, doi. 10.1093/rfs/hhm044
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- Article
Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model.
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- Review of Financial Studies, 2008, v. 21, n. 5, p. 2209, doi. 10.1093/rfs/hhn071
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- Article
A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS.
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- International Journal of Theoretical & Applied Finance, 2008, v. 11, n. 5, p. 471, doi. 10.1142/S0219024908004890
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- Article
ANÁLISIS DE LA INCORPORACIÓN DE FLEXIBILIDAD EN LA EVALUACIÓN DE PROYECTOS DE INVERSIÓN UTILIZANDO OPCIONES REALES Y DESCUENTO DE FLUJOS DINÁMICO.
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- Horizontes Empresariales, 2008, v. 7, n. 1, p. 41
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- Article
Risk-Neutral Skewness: Evidence from Stock Options.
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- Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 3, p. 471, doi. 10.2307/3594989
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- Article
Average Rate Claims with Emphasis on Catastrophe Loss Options.
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- Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 1, p. 93, doi. 10.2307/3594996
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- Article
Analytical Upper Bounds for American Option Prices.
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- Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 1, p. 117, doi. 10.2307/3594997
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- Article
EMPIRICAL PROPERTIES OF THE BLACK-SCHOLES FORMULA UNDER IDEAL CONDITIONS.
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- Journal of Financial & Quantitative Analysis, 1980, v. 15, n. 5, p. 1081, doi. 10.2307/2330173
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- Article