Search Results

There are 33242 results for: content related to: BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS

  1. BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS

    Mathematical Finance

    Volume 26, Issue 1, January 2016, Pages: 122–148, Chenxu Li

    Version of Record online : 18 JUN 2013, DOI: 10.1111/mafi.12041

  2. PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

    Mathematical Finance

    Volume 24, Issue 3, July 2014, Pages: 533–566, Vicky Henderson, Jia Sun and A. Elizabeth Whalley

    Version of Record online : 2 NOV 2012, DOI: 10.1111/mafi.12008

  3. Asset Pricing with Dynamic Margin Constraints

    The Journal of Finance

    Volume 69, Issue 1, February 2014, Pages: 405–452, OLEG RYTCHKOV

    Version of Record online : 7 JAN 2014, DOI: 10.1111/jofi.12100

  4. GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES

    Mathematical Finance

    Volume 25, Issue 1, January 2015, Pages: 187–219, Joel M. Vanden

    Version of Record online : 2 NOV 2012, DOI: 10.1111/mafi.12010

  5. THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

    Mathematical Finance

    Martino Grasselli

    Version of Record online : 19 MAY 2016, DOI: 10.1111/mafi.12124

  6. EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS

    Mathematical Finance

    Matthew Lorig, Stefano Pagliarani and Andrea Pascucci

    Version of Record online : 29 SEP 2015, DOI: 10.1111/mafi.12105

  7. VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF-DUALITY

    Mathematical Finance

    Volume 26, Issue 3, July 2016, Pages: 492–515, Elisa Alòs, Zhanyu Chen and Thorsten Rheinländer

    Version of Record online : 20 MAY 2014, DOI: 10.1111/mafi.12063

  8. The Joint Cross Section of Stocks and Options

    The Journal of Finance

    Volume 69, Issue 5, October 2014, Pages: 2279–2337, BYEONG-JE AN, ANDREW ANG, TURAN G. BALI and NUSRET CAKICI

    Version of Record online : 12 SEP 2014, DOI: 10.1111/jofi.12181

  9. EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE

    Mathematical Finance

    Svetlana Boyarchenko and Sergei Levendorskiĭ

    Version of Record online : 23 MAY 2016, DOI: 10.1111/mafi.12121

  10. CONVERGENCE OF A LEAST-SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA

    Mathematical Finance

    Daniel Z. Zanger

    Version of Record online : 23 MAY 2016, DOI: 10.1111/mafi.12125

  11. MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH

    Mathematical Finance

    Ying Jiao and Shanqiu Li

    Version of Record online : 17 NOV 2016, DOI: 10.1111/mafi.12136

  12. You have free access to this content
    ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS

    Mathematical Finance

    Volume 27, Issue 1, January 2017, Pages: 194–223, Carole Bernard, Zhenyu Cui and Don McLeish

    Version of Record online : 15 DEC 2014, DOI: 10.1111/mafi.12084

  13. FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

    Mathematical Finance

    Volume 25, Issue 2, April 2015, Pages: 400–425, Ronnie Sircar and Stephan Sturm

    Version of Record online : 2 NOV 2012, DOI: 10.1111/mafi.12015

  14. INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

    Mathematical Finance

    Matthew Lorig

    Version of Record online : 26 MAY 2016, DOI: 10.1111/mafi.12129

  15. NO-ARBITRAGE IN A NUMÉRAIRE-INDEPENDENT MODELING FRAMEWORK

    Mathematical Finance

    Volume 27, Issue 2, April 2017, Pages: 568–603, Martin Herdegen

    Version of Record online : 18 DEC 2014, DOI: 10.1111/mafi.12088

  16. Informational Frictions and Commodity Markets

    The Journal of Finance

    Volume 70, Issue 5, October 2015, Pages: 2063–2098, MICHAEL SOCKIN and WEI XIONG

    Version of Record online : 3 SEP 2015, DOI: 10.1111/jofi.12261

  17. The Labor Market for Directors and Externalities in Corporate Governance

    The Journal of Finance

    Volume 71, Issue 2, April 2016, Pages: 775–808, DORON LEVIT and NADYA MALENKO

    Version of Record online : 18 MAR 2016, DOI: 10.1111/jofi.12287

  18. Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates

    The Journal of Finance

    Volume 62, Issue 6, December 2007, Pages: 3009–3063, ANDREA BURASCHI and ALEXEI JILTSOV

    Version of Record online : 28 NOV 2007, DOI: 10.1111/j.1540-6261.2007.01299.x

  19. INVESTING WITH LIQUID AND ILLIQUID ASSETS

    Mathematical Finance

    Maxim Bichuch and Paolo Guasoni

    Version of Record online : 16 DEC 2016, DOI: 10.1111/mafi.12135

  20. A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORAL-HAZARD ECONOMY WITH FINANCIAL MARKETS

    Mathematical Finance

    Volume 25, Issue 4, October 2015, Pages: 827–868, Jaeyoung Sung and Xuhu Wan

    Version of Record online : 6 JUN 2013, DOI: 10.1111/mafi.12032