Pricing American Options Fitting the Smile
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- Rheinländer, Thorsten & Schweizer, Martin, 1997. "On L2-projections on a space of stochastic integrals," SFB 373 Discussion Papers 1997,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
- Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
- Schweizer, Martin, 1999. "A guided tour through quadratic hedging approaches," SFB 373 Discussion Papers 1999,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder, 1998. "Mean-variance hedging for continuous processes: New proofs and examples," Finance and Stochastics, Springer, vol. 2(2), pages 173-198.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matthias Fengler, 2009.
"Arbitrage-free smoothing of the implied volatility surface,"
Taylor & Francis Journals, vol. 9(4), pages 417-428.
- Matthias R. Fengler, 2005. "Arbitrage-Free Smoothing of the Implied Volatility Surface," SFB 649 Discussion Papers SFB649DP2005-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.
- Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
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