On option pricing in the multidimensional Cox-Ross-Rubinstein model

JOURNAL ARTICLE published 1998 in Applicationes Mathematicae

Authors: Michał Motoczyński | Łukasz Stettner

Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

JOURNAL ARTICLE published 1997 in Applicationes Mathematicae

Authors: Ł. Stettner

Option pricing in a CEV model with liquidity costs

JOURNAL ARTICLE published 2016 in Applicationes Mathematicae

Authors: Krzysztof Turek

The least squares method for option pricing revisited

JOURNAL ARTICLE published 2018 in Applicationes Mathematicae

Authors: Maciej Klimek | Marcin Pitera

Exponential utility optimization, indifference pricing and hedging for a payment process

JOURNAL ARTICLE published 2012 in Applicationes Mathematicae

Authors: Łukasz Delong