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A closed-form approximation formula for pricing European options under a three-factor model
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 36 / Issue 4 / October 2022
- Published online by Cambridge University Press:
- 18 August 2021, pp. 1214-1240
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AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD
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- Journal:
- The ANZIAM Journal / Volume 59 / Issue 3 / January 2018
- Published online by Cambridge University Press:
- 26 February 2018, pp. 349-369
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Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
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- Journal:
- East Asian Journal on Applied Mathematics / Volume 4 / Issue 1 / February 2014
- Published online by Cambridge University Press:
- 28 May 2015, pp. 52-68
- Print publication:
- February 2014
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A Stochastic Volatility Alternative to SABR
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- Journal:
- Journal of Applied Probability / Volume 45 / Issue 4 / December 2008
- Published online by Cambridge University Press:
- 14 July 2016, pp. 1071-1085
- Print publication:
- December 2008
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