Articles
Option Pricing
Articles
Wilmott Inner Circle
Option Pricing with Radial Basis Functions: A Tutorial
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Wilmott Inner Circle
Knock-in/out Margrabe
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Articles
The Alternating Direction Explicit (ADE) Method for One-Factor Problems
In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss […]
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Order Statistics for Value at Risk Estimation and Option Pricing
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]
Wilmott Inner Circle
Option Pricing and the Dirichlet Problem
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A Look In The Antimatter Mirror
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Not-so-complex Logarithms in the Heston Model
In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]
Wilmott Inner Circle
The Korn-Kreer-Lenssen Model As An Alternative For Option Pricing
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