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A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

Economy – Quantitative Finance – Pricing of Securities
Scientific paper

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A remark on Gatheral's 'most-likely path approximation' of implied volatility

Economy – Quantitative Finance – Pricing of Securities
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A Review of Volatility and Option Pricing

Economy – Quantitative Finance – Pricing of Securities
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A Simplified Approach to modeling the credit-risk of CMO

Economy – Quantitative Finance – Pricing of Securities
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A Steady State Solution to a Mortgage Pricing Problem

Economy – Quantitative Finance – Pricing of Securities
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A Subjective and Probabilistic Approach to Derivatives

Economy – Quantitative Finance – Pricing of Securities
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A Top-down Model for Cash CLO

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A tractable LIBOR model with default risk

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A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes

Economy – Quantitative Finance – Pricing of Securities
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A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives

Economy – Quantitative Finance – Pricing of Securities
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Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches

Economy – Quantitative Finance – Pricing of Securities
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Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model

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Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model

Economy – Quantitative Finance – Pricing of Securities
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Affine Models

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Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

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American and Bermudan options in currency markets under proportional transaction costs

Economy – Quantitative Finance – Pricing of Securities
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American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods

Economy – Quantitative Finance – Pricing of Securities
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American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations

Economy – Quantitative Finance – Pricing of Securities
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American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions

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American Step-Up and Step-Down Credit Default Swaps under Levy Models

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