Author:
Avellaneda Marco,Buff Robert
Subject
Applied Mathematics,Finance
Cited by
15 articles.
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1. An integral equation approach for pricing American put options under regime-switching model;International Journal of Computer Mathematics;2023-03-20
2. Numerical solution of American option pricing problem with volatility regimes;THE 5TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE IN INFORMATION SYSTEMS (CIIS 2022): Intelligent and Resilient Digital Innovations for Sustainable Living;2023
3. Markov chains under nonlinear expectation;Mathematical Finance;2020-11-08
4. A semi-analytic valuation of American options under a two-state regime-switching economy;Physica A: Statistical Mechanics and its Applications;2020-01
5. Model uncertainty, recalibration, and the emergence of delta–vega hedging;Finance and Stochastics;2017-09-07