Liffe Options a guide to trading strategies, 2002

Option Pricing Based on the Generalized Lambda Distribution, Charles J. Corrado, Department of Accounting and Finance, The University of Auckland, New Zealand, May 22, 2000

Using Simulation for Option Pricing, John M. Charnes, The University of Kansas School of Business, December 13, 2000

Using Simulation for Option Pricing: A Synthesis, John Charnes, U. Kansas School of Business, 12 December 2000

Estimating Security Price Derivatives Using Simulation, Mark Broadie, Paul Glasserman, Management Science, Vol. 42, No. 2, 1996

Black-Scholes Model for European vanilla options


Pricing and Hedging of Derivatives: an Introduction with a Focus on Continuous-Time Models, Rudiger Frey, Lecture Notes, Summer 2000.

Smile at uncertainty, Brigo, Mercurio and Rapisarda, 2004.

Recent Advances in Numerical Methods for Pricing Derivative Securities, Mark Broadie, Jrme Detemple, May 1996.

An Introduction to Stochastic Calculus (Hull ch.9), Wang, Yijen

General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusion, Yaacov Z. Bergman, January 1998.

Parametric versus Nonparametric Estimation of Diffusion Processes—A Monte Carlo Comparison, George J. Jiang and John L. Knight, May, 1997

Retrospective Exact Simulation of Diffusion Sample Paths with Applications, Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts, July 21, 2004

Estimation of Diffusion Parameters for Discretely Observed Diffusion Processes, Helle Sorensen, January 2001

Discretely Observed Diffusions: Approximation of the Continuous-Time Score Function, Helle Sorensen, September 1999

Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey, H. Sørensen, September 2002

Practical Issues in Forecasting Volatility, Ser-Huang Poon and Clive Granger, 2005.

Stochastic Volatility Model, April, 2001

Estimation Methods for Stochastic Volatility Models: a Survey, Carmen Broto and Esther Ruiz, Departamento de Estadi´stica, Universidad Carlos III de Madrid, JOURNAL OF ECONOMIC SURVEYS Vol. 18, 2004.

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Steven L. Heston, The Review of Financial Studies, Vol. 6, No. 2, 1993.

Simulated Likelihood Approximations for Stochastic Volatility Models, Helle Sorensen, September 19, 2000

Hedging Volatility Risk, Menachem Brenner, Ernest Y. Ou, Jin E. Zhang, April 2004

Pricing and Hedging with Smiles, Bruno Dupire, Paribas Capital Markets, Swaps and Options Research Team, April 1993

Stochastic Volatility Forecasting and Risk Management, Perry Sadorsky, Applied Financial Economics, 2005

Currency Option Pricing II, Masa Watanabe, Rice University

Exact Pricing of Asian Options: An Application of Spectral Theory, Vadim Linetsky, November 10, 2001

Static Hedging of Asian Options under Levy Models: The Comonotonicity Approach, HansjÄorg Albrecher, Jan Dhaene, Marc Goovaertsz, Wim Schoutensx, December 18, 2003

On the Equivalence of Floating and Fixed-Strike Asian Options, VICKY HENDERSON, RAFAL WOJAKOWSKI, Applied Probability Trust, 5 September 2001

Pricing Barrier Option Using Finite Difference Method and MonteCarlo Simulation, Yoon W. Kwon, Suzanne A. Lewis, May 9, 2000

Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options, Peter Carr and Michael Schroder

Symmetries and Pricing of Exotic Options in Levy Models, ERNST EBERLEIN AND ANTONIS PAPAPANTOLEON

Static Hedging of Exotic Options, Peter Carr, Katrina Ellis, Vishal Gupta, The Journal of Finance, Volume 53, Issue 3, June 1998

Static Hedging of Exotic Options, Peter Carr, Presentation for Course at Columbia University, February 10, 1999

A Perfect Calibration ! Now What ? Model Risk for Exotic and Moment Derivatives, Wim Schoutens, Erwin Simonsy, Jurgen Tistaertz, Cambridge, 3rd of December 2004

Pricing Forward Start Options under the CEV Model With Applications in Financial Engineering

Forward Smile and Derivative Pricing, George Hong, UBS, July 18, 2004

Forward Start Options

The Pricing of Cliquets, Amith Maharaj, Advanced Mathematics of Finance, Honours Project, December 9 2002

On the Pricing of Forward Starting Options under Stochastic Volatility, Susanne Kruse, Fraunhofer ITWM, Institute for Industrial Mathematics, Department of Financial Mathematics, Kaiserslautern, German, May 12, 2003.

Analysis of the Stability of the Linear Boundary Condition for the Black-Scholes Equation, H. WINDCLIFF, P.A. FORSYTH, AND K.R. VETZAL, October 24, 2003

The Minimum Maximum of a Continuous Martingale with Given Initial and Terminal Laws, DAVID G. HOBSON1 AND J. L. PEDERSEN, University of Bath and ETH Zürich, The Annals of Probability, Vol. 30, No. 2, 2002

Pricing and Hedging Equity Indexed Annuities with Variance-Gamma Deviates, Sebastian Jaimungal, Department of Statistics, University of Toronto, 4 November 2004

Finite Difference Methods and jumps Processes Arising in the Pricing of Contingent Claims: A Synthesis, Michael J. Brennan, Eduardo S. Scwartz, The Journal of Financial and Quantitative Analysis, Volume 13, Issue 3, September 1978

The Evaluation of American Options with the Method of Lines, G. H. Meyer, J. van der Hoek, September 1994

Variational Inequalities and the Pricing of American Options, Patrick Jaillet, Damien Lamberton, Bernard Lapeyre

Pricing American Stock Options by Linear Programming, M.A.H. Dempster, J. P. Humpton, October 1996

Valuing American Put Options Using Gaussian Quadrature, Michael A. Sullivan, The Review of Financial Studies, Vol. 13, No. 1, 2000

The Valuation of American Put Otions, Michael J. Brennan, Eduardo S. Schwartz, The Journal of Finance, Volume 32, Issue 2, September 16-18, 1977.

A Comparison of Numerical Techniques for American Option Pricing, Sean Randell.