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Liffe Options a guide to trading strategies, 2002
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Option Pricing Based on the Generalized Lambda Distribution, Charles J. Corrado, Department of Accounting and Finance, The University of Auckland, New Zealand, May 22, 2000
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Using Simulation for Option Pricing, John M. Charnes, The University of Kansas School of Business, December 13, 2000
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Using Simulation for Option Pricing: A Synthesis, John Charnes, U. Kansas School of Business, 12 December 2000
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Estimating Security Price Derivatives Using Simulation, Mark Broadie, Paul Glasserman, Management Science, Vol. 42, No. 2, 1996
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Black-Scholes Model for European vanilla options
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Delta
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Pricing and Hedging of Derivatives: an Introduction with a Focus on Continuous-Time Models, Rudiger Frey, Lecture Notes, Summer 2000.
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Smile at uncertainty, Brigo, Mercurio and Rapisarda, 2004.
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Recent Advances in Numerical Methods for Pricing Derivative Securities, Mark Broadie, Jrme Detemple, May 1996.
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An Introduction to Stochastic Calculus (Hull ch.9), Wang, Yijen
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General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusion, Yaacov Z. Bergman, January 1998.
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Parametric versus Nonparametric Estimation of Diffusion Processes—A Monte Carlo Comparison, George J. Jiang and John L. Knight, May, 1997
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Retrospective Exact Simulation of Diffusion Sample Paths with Applications, Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts, July 21, 2004
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Estimation of Diffusion Parameters for Discretely Observed Diffusion Processes, Helle Sorensen, January 2001
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Discretely Observed Diffusions: Approximation of the Continuous-Time Score Function, Helle Sorensen, September 1999
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Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey, H. Sørensen, September 2002
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Practical Issues in Forecasting Volatility, Ser-Huang Poon and Clive Granger, 2005.
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Stochastic Volatility Model, April, 2001
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Estimation Methods for Stochastic Volatility Models: a Survey, Carmen Broto and Esther Ruiz, Departamento de Estadi´stica, Universidad Carlos III de Madrid, JOURNAL OF ECONOMIC SURVEYS Vol. 18, 2004.
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Steven L. Heston, The Review of Financial Studies, Vol. 6, No. 2, 1993.
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Simulated Likelihood Approximations for Stochastic Volatility Models, Helle Sorensen, September 19, 2000
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Hedging Volatility Risk, Menachem Brenner, Ernest Y. Ou, Jin E. Zhang, April 2004
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Pricing and Hedging with Smiles, Bruno Dupire, Paribas Capital Markets, Swaps and Options Research Team, April 1993
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Stochastic Volatility Forecasting and Risk Management, Perry Sadorsky, Applied Financial Economics, 2005
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Currency Option Pricing II, Masa Watanabe, Rice University
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Exact Pricing of Asian Options: An Application of Spectral Theory, Vadim Linetsky, November 10, 2001
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Static Hedging of Asian Options under Levy Models: The Comonotonicity Approach, HansjÄorg Albrecher, Jan Dhaene, Marc Goovaertsz, Wim Schoutensx, December 18, 2003
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On the Equivalence of Floating and Fixed-Strike Asian Options, VICKY HENDERSON, RAFAL WOJAKOWSKI, Applied Probability Trust, 5 September 2001
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Pricing Barrier Option Using Finite Difference Method and MonteCarlo Simulation, Yoon W. Kwon, Suzanne A. Lewis, May 9, 2000
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Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options, Peter Carr and Michael Schroder
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Symmetries and Pricing of Exotic Options in Levy Models, ERNST EBERLEIN AND ANTONIS PAPAPANTOLEON
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Static Hedging of Exotic Options, Peter Carr, Katrina Ellis, Vishal Gupta, The Journal of Finance, Volume 53, Issue 3, June 1998
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Static Hedging of Exotic Options, Peter Carr, Presentation for Course at Columbia University, February 10, 1999
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A Perfect Calibration ! Now What ? Model Risk for Exotic and Moment Derivatives, Wim Schoutens, Erwin Simonsy, Jurgen Tistaertz, Cambridge, 3rd of December 2004
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Pricing Forward Start Options under the CEV Model With Applications in Financial Engineering
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Forward Smile and Derivative Pricing, George Hong, UBS, July 18, 2004
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Forward Start Options
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The Pricing of Cliquets, Amith Maharaj, Advanced Mathematics of Finance, Honours Project, December 9 2002
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On the Pricing of Forward Starting Options under Stochastic Volatility, Susanne Kruse, Fraunhofer ITWM, Institute for Industrial Mathematics, Department of Financial Mathematics, Kaiserslautern, German, May 12, 2003.
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Analysis of the Stability of the Linear Boundary Condition for the Black-Scholes Equation, H. WINDCLIFF, P.A. FORSYTH, AND K.R. VETZAL, October 24, 2003
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The Minimum Maximum of a Continuous Martingale with Given Initial and Terminal Laws, DAVID G. HOBSON1 AND J. L. PEDERSEN, University of Bath and ETH Zürich, The Annals of Probability, Vol. 30, No. 2, 2002
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Pricing and Hedging Equity Indexed Annuities with Variance-Gamma Deviates, Sebastian Jaimungal, Department of Statistics, University of Toronto, 4 November 2004
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Finite Difference Methods and jumps Processes Arising in the Pricing of Contingent Claims: A Synthesis, Michael J. Brennan, Eduardo S. Scwartz, The Journal of Financial and Quantitative Analysis, Volume 13, Issue 3, September 1978
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The Evaluation of American Options with the Method of Lines, G. H. Meyer, J. van der Hoek, September 1994
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Variational Inequalities and the Pricing of American Options, Patrick Jaillet, Damien Lamberton, Bernard Lapeyre
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Pricing American Stock Options by Linear Programming, M.A.H. Dempster, J. P. Humpton, October 1996
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Valuing American Put Options Using Gaussian Quadrature, Michael A. Sullivan, The Review of Financial Studies, Vol. 13, No. 1, 2000
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The Valuation of American Put Otions, Michael J. Brennan, Eduardo S. Schwartz, The Journal of Finance, Volume 32, Issue 2, September 16-18, 1977.
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A Comparison of Numerical Techniques for American Option Pricing, Sean Randell.
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