Items where Author is "Newton, D P"

Journal Article

Duck, P W and Newton, D P and Widdicks, M and Yang, C (2009) Singular perturbation techniques applied to multi-asset option pricing. Mathematical Finance, 19 (3). pp. 457-486. ISSN 0960-1627

Andricopoulos, A D and Widdicks, M and Newton, D P and Duck, P W (2007) Extending quadrature methods to value multi-asset and complex path-dependent options. Journal of Financial Economics, 83 (2). pp. 471-499. ISSN 0304-405X

Widdicks, M and Duck, P W and Andricopoulos, A D and Newton, D P (2005) The Black-Scholes equation revisited: asymptotic expansions and singular perturbations. Mathematical Finance, 15 (2). pp. 373-391. ISSN 0960-1627

Duck, P W and Newton, D P and Widdicks, M and Leung, Y (2005) Enhancing the accuracy of pricing American/Bermudan options. Journal of Derivatives, 12 (4). pp. 34-44. ISSN 1074-1240

Andricopoulos, A D and Widdicks, M and Duck, P W and Newton, D P (2004) Curtailing the range for lattice and grid methods. Journal of Derivatives, 11 (4). pp. 55-61. ISSN 1074-1240

Newton, D P and Paxson, D A and Widdicks, M (2004) Real R&D Options. International Journal of Management Reviews, 5-6 (2). pp. 113-130. ISSN 1460-8545

Andricopoulos, A D and Widdicks, M and Duck, P W and Newton, D P (2003) Universal option pricing using quadrature. Journal of Financial Economics, 67 (3). pp. 447-471. ISSN 0304-405X

Widdicks, M and Andricopoulos, A D and Newton, D P and Duck, P W (2002) On the enhanced convergence of standard lattice methods for option pricing. Journal of Futures Markets, 22 (4). pp. 315-338. ISSN 0270-7314