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HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS
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- Journal:
- The ANZIAM Journal / Volume 57 / Issue 3 / January 2016
- Published online by Cambridge University Press:
- 17 February 2016, pp. 319-338
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OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY
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- Journal:
- The ANZIAM Journal / Volume 51 / Issue 2 / October 2009
- Published online by Cambridge University Press:
- 02 June 2010, pp. 145-161
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