A unified method for pricing options on diffusion processes
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Economics.
Volume (Year): 29 (1991)
Issue (Month): 1 (March)
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Web page: http://www.elsevier.com/locate/inca/505576
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- JÃ¸rgensen, Peter LÃ¸chte & De Giovanni, Domenico, 2008. "Time Charters with Purchase Options in Shipping: Valuation and Risk Management," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2008-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
- Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24, University of Verona, Department of Economics.
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- Andrey Itkin, 2012.
"New solvable stochastic volatility models for pricing volatility derivatives,"
1205.3550, arXiv.org, revised Jun 2012.
- Andrey Itkin, 2013. "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, vol. 16(2), pages 111-134, July.
- Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
- Fusai, Gianluca & Recchioni, Maria Cristina, 2007. "Analysis of quadrature methods for pricing discrete barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 826-860, March.
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