Numerix Pricing & Valuation Research & Inisights

Continuing our series on the use of advanced models (see The Bates Model), today we address the issue of pricing...
Recently, we added the Bates stochastic volatility jump-diffusion model to the Numerix CrossAsset model library....

Transparency is on everyone’s minds these days, particularly for complex derivatives. At Numerix, we work with a...

In this article,we introduce a method for volatility computation from listed prices of American options on a un-...

In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity...

Pages