Teng, Long; Ehrhardt, Matthias; Günther, Michael Quanto pricing in stochastic correlation models. (English) Zbl 1396.91765 Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850038, 20 p. (2018). MSC: 91G20 60J60 91G60 PDFBibTeX XMLCite \textit{L. Teng} et al., Int. J. Theor. Appl. Finance 21, No. 5, Article ID 1850038, 20 p. (2018; Zbl 1396.91765) Full Text: DOI
Teng, Long; Ehrhardt, Matthias; Günther, Michael On the Heston model with stochastic correlation. (English) Zbl 1396.91580 Int. J. Theor. Appl. Finance 19, No. 6, Article ID 1650033, 25 p. (2016). MSC: 91B70 60J60 91G20 PDFBibTeX XMLCite \textit{L. Teng} et al., Int. J. Theor. Appl. Finance 19, No. 6, Article ID 1650033, 25 p. (2016; Zbl 1396.91580) Full Text: DOI
Teng, Long; Ehrhardt, Matthias; Günther, Michael Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults. (English) Zbl 1286.91145 Int. J. Theor. Appl. Finance 16, No. 7, Article ID 1350040, 20 p. (2013). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G40 91G20 91B30 60J25 62P05 PDFBibTeX XMLCite \textit{L. Teng} et al., Int. J. Theor. Appl. Finance 16, No. 7, Article ID 1350040, 20 p. (2013; Zbl 1286.91145) Full Text: DOI
Ehrhardt, Matthias; Mickens, Ronald E. A fast, stable and accurate numerical method for the Black-Scholes equation of American options. (English) Zbl 1185.91175 Int. J. Theor. Appl. Finance 11, No. 5, 471-501 (2008). MSC: 91G20 91G60 65M06 PDFBibTeX XMLCite \textit{M. Ehrhardt} and \textit{R. E. Mickens}, Int. J. Theor. Appl. Finance 11, No. 5, 471--501 (2008; Zbl 1185.91175) Full Text: DOI