Option pricing with orthogonal polynomial expansions-Reference-Cited by-同舟云学术

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Option pricing with orthogonal polynomial expansions

Published:2019-07-11 Issue:1 Volume:30 Page:47-84
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Ackerer Damien¹,Filipović Damir²

Affiliation:

1. Swissquote BankGland Switzerland

2. EPFL and Swiss Finance InstituteLausanne Switzerland

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12226

Reference59 articles.

1. Linear Credit Risk Models

2. The Jacobi stochastic volatility model

3. The complex step approximation to the Fréchet derivative of a matrix function

4. Stochastic Spectral Galerkin and Collocation Methods for PDEs with Random Coefficients: A Numerical Comparison

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2. Exponential expansions for approximation of probability distributions;Decisions in Economics and Finance;2024-06-10

3. Exact simulation of the Hull and White stochastic volatility model;Journal of Economic Dynamics and Control;2024-06

4. Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation;Journal of Management Science and Engineering;2024-06

5. Option Pricing with the Logistic Return Distribution;Journal of Risk and Financial Management;2024-02-10

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