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Quantitative Finance Volume 15, 2015 - Issue 2: Themed Issue on Trading
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Research Papers

Evaluating discrete dynamic strategies in affine models

Flavio AngeliniDipartimento di Economia, Finanza e Statistica, University of Perugia, Perugia, Italy.Correspondence[email protected]
&
Stefano HerzelDipartimento SEFeMeQ, University of Rome, Tor Vergata, Rome, Italy.
Pages 313-326 | Received 24 Jul 2009, Accepted 28 Oct 2011, Published online: 10 Jan 2012

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Sumei Zhang & Jianke Zhang. (2020) Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate. International Journal of Computer Mathematics 97:3, pages 546-563.
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Articles from other publishers (2)

Marco Nicolosi, Flavio Angelini & Stefano Herzel. (2017) Portfolio management with benchmark related incentives under mean reverting processes. Annals of Operations Research 266:1-2, pages 373-394.
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Chenxi Liang & Shenghong Li. (2016) Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect. Journal of Mathematical Analysis and Applications 438:2, pages 1010-1029.
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