Chau, Huy N. On robust fundamental theorems of asset pricing in discrete time. (English) Zbl 07895126 SIAM J. Financ. Math. 15, No. 3, 571-600 (2024). MSC: 91G20 91B25 PDFBibTeX XMLCite \textit{H. N. Chau}, SIAM J. Financ. Math. 15, No. 3, 571--600 (2024; Zbl 07895126) Full Text: DOI arXiv
Mu, Wanrong; Chiu, Sung Nok; Wang, Guojing Pricing CDS index tranches under thinning-dependence structure with regime switching. (English) Zbl 07890911 J. Comput. Appl. Math. 451, Article ID 116080, 21 p. (2024). MSC: 91G20 91G40 62P05 62H05 PDFBibTeX XMLCite \textit{W. Mu} et al., J. Comput. Appl. Math. 451, Article ID 116080, 21 p. (2024; Zbl 07890911) Full Text: DOI
Wang, Xinying; Zhou, Ke Pricing vulnerable lookback options using Laplace transforms. (English) Zbl 07890866 J. Comput. Appl. Math. 451, Article ID 116014, 15 p. (2024). MSC: 91G20 60J74 44A10 PDFBibTeX XMLCite \textit{X. Wang} and \textit{K. Zhou}, J. Comput. Appl. Math. 451, Article ID 116014, 15 p. (2024; Zbl 07890866) Full Text: DOI
Dolinskyi, Leonid; Dolinsky, Yan Optimal liquidation with high risk aversion and small linear price impact. (English) Zbl 07890796 Decis. Econ. Finance 47, No. 1, 183-198 (2024). MSC: 91G20 91B16 91G10 60H30 PDFBibTeX XMLCite \textit{L. Dolinskyi} and \textit{Y. Dolinsky}, Decis. Econ. Finance 47, No. 1, 183--198 (2024; Zbl 07890796) Full Text: DOI arXiv OA License
Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, Emanuela On entropy martingale optimal transport theory. (English) Zbl 07890790 Decis. Econ. Finance 47, No. 1, 1-42 (2024). MSC: 91G20 49Q22 60G46 91G80 PDFBibTeX XMLCite \textit{A. Doldi} et al., Decis. Econ. Finance 47, No. 1, 1--42 (2024; Zbl 07890790) Full Text: DOI OA License
Itkin, Andrey Short time behavior of the ATM implied skew in the ADO-Heston model. (English) Zbl 07889733 Front. Math. Finance 3, No. 2, 214-238 (2024). MSC: 91G20 60G22 60H30 91B70 PDFBibTeX XMLCite \textit{A. Itkin}, Front. Math. Finance 3, No. 2, 214--238 (2024; Zbl 07889733) Full Text: DOI
Li, Qian; Wang, Li Option pricing under jump diffusion model. (English) Zbl 07888218 Stat. Probab. Lett. 211, Article ID 110137, 10 p. (2024). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{Q. Li} and \textit{L. Wang}, Stat. Probab. Lett. 211, Article ID 110137, 10 p. (2024; Zbl 07888218) Full Text: DOI arXiv
Pirjol, Dan; Zhu, Lingjiong Asymptotics for short maturity Asian options in jump-diffusion models with local volatility. (English) Zbl 07885177 Quant. Finance 24, No. 3-4, 433-449 (2024). MSC: 91G20 60J74 60G51 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, Quant. Finance 24, No. 3--4, 433--449 (2024; Zbl 07885177) Full Text: DOI arXiv
Hoencamp, J. H.; Jain, S.; Kandhai, B. D. A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM-MVA. (English) Zbl 07885176 Quant. Finance 24, No. 3-4, 409-432 (2024). MSC: 91G20 91G30 91G40 PDFBibTeX XMLCite \textit{J. H. Hoencamp} et al., Quant. Finance 24, No. 3--4, 409--432 (2024; Zbl 07885176) Full Text: DOI OA License
Liang, Jufang; Yang, Dan; Han, Qian Tail risk aversion and backwardation of index futures. (English) Zbl 07885175 Quant. Finance 24, No. 3-4, 387-407 (2024). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 91G70 62P05 PDFBibTeX XMLCite \textit{J. Liang} et al., Quant. Finance 24, No. 3--4, 387--407 (2024; Zbl 07885175) Full Text: DOI
Alfeus, Mesias; Nikitopoulos, Christina S.; Overbeck, Ludger Implied roughness in the term structure of oil market volatility. (English) Zbl 07885172 Quant. Finance 24, No. 3-4, 347-363 (2024). MSC: 91G20 91G30 60G22 PDFBibTeX XMLCite \textit{M. Alfeus} et al., Quant. Finance 24, No. 3--4, 347--363 (2024; Zbl 07885172) Full Text: DOI
Hwang, Youngjin; Lee, Taehee; Kwak, Soobin; Kang, Seungyoon; Ham, Seokjun; Kim, Junseok Robust and accurate reconstruction of the time-dependent continuous volatility from option prices. (English) Zbl 07884756 Comput. Appl. Math. 43, No. 5, Paper No. 307, 12 p. (2024). MSC: 91G20 35Q91 91G60 65M06 PDFBibTeX XMLCite \textit{Y. Hwang} et al., Comput. Appl. Math. 43, No. 5, Paper No. 307, 12 p. (2024; Zbl 07884756) Full Text: DOI
Qin, Kaihua; Ernstberger, Jens; Zhou, Liyi; Jovanovic, Philipp; Gervais, Arthur Mitigating decentralized finance liquidations with reversible call options. (English) Zbl 07882518 Baldimtsi, Foteini (ed.) et al., Financial cryptography and data security. 27th international conference, FC 2023, Bol, Brač, Croatia, May 1–5, 2023. Revised selected papers. Part I. Cham: Springer. Lect. Notes Comput. Sci. 13950, 344-362 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{K. Qin} et al., Lect. Notes Comput. Sci. 13950, 344--362 (2024; Zbl 07882518) Full Text: DOI arXiv
León-Pérez, Belén; Moreno, Manuel Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (English) Zbl 07881813 Ann. Oper. Res. 337, No. 1, 167-196 (2024). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{B. León-Pérez} and \textit{M. Moreno}, Ann. Oper. Res. 337, No. 1, 167--196 (2024; Zbl 07881813) Full Text: DOI OA License
Li, Libo; Wu, Zhuoshu Defaultable perpetual American put option in a last passage time model. (English) Zbl 07878499 Stat. Probab. Lett. 209, Article ID 110018, 5 p. (2024). MSC: 91G20 60G40 35R35 PDFBibTeX XMLCite \textit{L. Li} and \textit{Z. Wu}, Stat. Probab. Lett. 209, Article ID 110018, 5 p. (2024; Zbl 07878499) Full Text: DOI
Xie, Wenjia; Huang, Zhongyi On pricing options under two stochastic volatility processes. (English) Zbl 07878415 East Asian J. Appl. Math. 14, No. 2, 418-450 (2024). MSC: 91G20 91G60 65M06 35C20 35K25 91B70 PDFBibTeX XMLCite \textit{W. Xie} and \textit{Z. Huang}, East Asian J. Appl. Math. 14, No. 2, 418--450 (2024; Zbl 07878415) Full Text: DOI
Gao, Jinwu; Jia, Ruru; Noorani, Idin; Mehrdoust, Farshid Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility. (English) Zbl 07876198 J. Comput. Appl. Math. 447, Article ID 115890, 24 p. (2024). MSC: 91G20 60G10 PDFBibTeX XMLCite \textit{J. Gao} et al., J. Comput. Appl. Math. 447, Article ID 115890, 24 p. (2024; Zbl 07876198) Full Text: DOI
Çetin, Umut; Hok, Julien Speeding up the Euler scheme for killed diffusions. (English) Zbl 07874607 Finance Stoch. 28, No. 3, 663-707 (2024). MSC: 91G20 60J60 91G60 PDFBibTeX XMLCite \textit{U. Çetin} and \textit{J. Hok}, Finance Stoch. 28, No. 3, 663--707 (2024; Zbl 07874607) Full Text: DOI arXiv OA License
Horvath, Blanka; Jacquier, Antoine; Muguruza, Aitor; Søjmark, Andreas Functional central limit theorems for rough volatility. (English) Zbl 07874606 Finance Stoch. 28, No. 3, 615-661 (2024). MSC: 91G20 60F17 60F05 60G22 91G60 PDFBibTeX XMLCite \textit{B. Horvath} et al., Finance Stoch. 28, No. 3, 615--661 (2024; Zbl 07874606) Full Text: DOI arXiv OA License
Zhao, Yuexu; Bao, Jiayong Barrier option pricing in regime switching models with rebates. (English) Zbl 07874590 Acta Math. Appl. Sin., Engl. Ser. 40, No. 3, 849-861 (2024). MSC: 91G20 60B15 91G60 PDFBibTeX XMLCite \textit{Y. Zhao} and \textit{J. Bao}, Acta Math. Appl. Sin., Engl. Ser. 40, No. 3, 849--861 (2024; Zbl 07874590) Full Text: DOI
Ha, Mijin; Park, Sangmin; Kim, Donghyun; Yoon, Ji-Hun Pricing of timer digital power options based on stochstic volatility. (English) Zbl 07873047 East Asian Math. J. 40, No. 1, 63-74 (2024). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{M. Ha} et al., East Asian Math. J. 40, No. 1, 63--74 (2024; Zbl 07873047) Full Text: DOI
Lai, Yi-Hao; Wang, Yi-Chiuan; Chang, Yu-Ching Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach. (English) Zbl 07872893 Asia-Pac. Financ. Mark. 31, No. 2, 285-305 (2024). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{Y.-H. Lai} et al., Asia-Pac. Financ. Mark. 31, No. 2, 285--305 (2024; Zbl 07872893) Full Text: DOI
Gankhuu, Battulga Stochastic DDM with regime-switching process. (English) Zbl 07868843 Numer. Algebra Control Optim. 14, No. 2, 339-365 (2024). MSC: 91G20 91G05 91G50 62M10 PDFBibTeX XMLCite \textit{B. Gankhuu}, Numer. Algebra Control Optim. 14, No. 2, 339--365 (2024; Zbl 07868843) Full Text: DOI
Cui, Bing; Najafi, Alireza Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint. (English) Zbl 07866539 J. Comput. Appl. Math. 445, Article ID 115837, 16 p. (2024). MSC: 91G20 60G22 62P05 PDFBibTeX XMLCite \textit{B. Cui} and \textit{A. Najafi}, J. Comput. Appl. Math. 445, Article ID 115837, 16 p. (2024; Zbl 07866539) Full Text: DOI
Dong, Yuchao Randomized optimal stopping problem in continuous time and reinforcement learning algorithm. (English) Zbl 07865496 SIAM J. Control Optim. 62, No. 3, 1590-1614 (2024). MSC: 91G20 60G40 91G60 68T07 60G22 PDFBibTeX XMLCite \textit{Y. Dong}, SIAM J. Control Optim. 62, No. 3, 1590--1614 (2024; Zbl 07865496) Full Text: DOI arXiv
Nikan, Omid; Avazzadeh, Zakieh; Machado, José A. Tenreiro Localized kernel-based meshless method for pricing financial options underlying fractal transmission system. (English) Zbl 07861195 Math. Methods Appl. Sci. 47, No. 5, 3247-3260 (2024). MSC: 91G20 65L05 PDFBibTeX XMLCite \textit{O. Nikan} et al., Math. Methods Appl. Sci. 47, No. 5, 3247--3260 (2024; Zbl 07861195) Full Text: DOI
Di Nunno, Giulia; Yurchenko-Tytarenko, Anton Power law in sandwiched Volterra volatility model. (English) Zbl 1537.91318 Mod. Stoch., Theory Appl. 11, No. 2, 169-194 (2024). MSC: 91G20 60H07 60G22 PDFBibTeX XMLCite \textit{G. Di Nunno} and \textit{A. Yurchenko-Tytarenko}, Mod. Stoch., Theory Appl. 11, No. 2, 169--194 (2024; Zbl 1537.91318) Full Text: DOI arXiv
Azze, Abel; D’Auria, Bernardo; García-Portugués, Eduardo Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (English) Zbl 07860059 Stochastics 96, No. 1, Article ID 2325402, 26 p. (2024). MSC: 91G20 60G40 60G10 35R35 PDFBibTeX XMLCite \textit{A. Azze} et al., Stochastics 96, No. 1, Article ID 2325402, 26 p. (2024; Zbl 07860059) Full Text: DOI arXiv
Deng, Guohe; Liu, Shuai Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate. (English) Zbl 07860045 Int. J. Comput. Math. 101, No. 3, 331-356 (2024). MSC: 91G20 91G30 91G60 PDFBibTeX XMLCite \textit{G. Deng} and \textit{S. Liu}, Int. J. Comput. Math. 101, No. 3, 331--356 (2024; Zbl 07860045) Full Text: DOI
Stahl, Philip; Blauth, Jérôme Martingale defects in the volatility surface and bubble conditions in the underlying. (English) Zbl 1537.91335 Rev. Deriv. Res. 27, No. 1, 85-111 (2024). MSC: 91G20 91B70 60G46 PDFBibTeX XMLCite \textit{P. Stahl} and \textit{J. Blauth}, Rev. Deriv. Res. 27, No. 1, 85--111 (2024; Zbl 1537.91335) Full Text: DOI OA License
Glória, Carlos Miguel; Dias, José Carlos; Cruz, Aricson Pricing levered warrants under the CEV diffusion model. (English) Zbl 1537.91320 Rev. Deriv. Res. 27, No. 1, 55-84 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{C. M. Glória} et al., Rev. Deriv. Res. 27, No. 1, 55--84 (2024; Zbl 1537.91320) Full Text: DOI OA License
Han, Yuecai; Zhang, Fengtong Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility. (English) Zbl 1537.91324 Rev. Deriv. Res. 27, No. 1, 37-53 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{Y. Han} and \textit{F. Zhang}, Rev. Deriv. Res. 27, No. 1, 37--53 (2024; Zbl 1537.91324) Full Text: DOI
Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; Sibbertsen, Philipp Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (English) Zbl 1537.91317 Rev. Deriv. Res. 27, No. 1, 1-35 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Dierkes} et al., Rev. Deriv. Res. 27, No. 1, 1--35 (2024; Zbl 1537.91317) Full Text: DOI OA License
Chang, Shih-Chung; Wang, Frank Yong Two-sided asymmetric information and convertible securities in venture financing. (English) Zbl 1537.91315 Econ. Lett. 237, Article ID 111635, 5 p. (2024). MSC: 91G20 91G50 PDFBibTeX XMLCite \textit{S.-C. Chang} and \textit{F. Y. Wang}, Econ. Lett. 237, Article ID 111635, 5 p. (2024; Zbl 1537.91315) Full Text: DOI
Bouri, Elie; Alsagr, Naif Hedging investment-grade and high-yield bonds with credit VIX. (English) Zbl 1537.91312 Econ. Lett. 237, Article ID 111630, 7 p. (2024). MSC: 91G20 91G40 PDFBibTeX XMLCite \textit{E. Bouri} and \textit{N. Alsagr}, Econ. Lett. 237, Article ID 111630, 7 p. (2024; Zbl 1537.91312) Full Text: DOI
Grigorian, Karen; Jarrow, Robert A. Filtration reduction and incomplete markets. (English) Zbl 1537.91322 Front. Math. Finance 3, No. 1, 78-105 (2024). MSC: 91G20 91G15 60G35 60G42 PDFBibTeX XMLCite \textit{K. Grigorian} and \textit{R. A. Jarrow}, Front. Math. Finance 3, No. 1, 78--105 (2024; Zbl 1537.91322) Full Text: DOI
Herrera, Calypso; Krach, Florian; Ruyssen, Pierre; Teichmann, Josef Optimal stopping via randomized neural networks. (English) Zbl 1537.91325 Front. Math. Finance 3, No. 1, 31-77 (2024). MSC: 91G20 60G40 68T07 60G22 PDFBibTeX XMLCite \textit{C. Herrera} et al., Front. Math. Finance 3, No. 1, 31--77 (2024; Zbl 1537.91325) Full Text: DOI arXiv
Frau, Carme; Fanelli, Viviana Seasonality in commodity prices: new approaches for pricing plain vanilla options. (English) Zbl 1539.91129 Ann. Oper. Res. 336, No. 1-2, 1089-1131 (2024). MSC: 91G20 91G30 91G60 65T50 PDFBibTeX XMLCite \textit{C. Frau} and \textit{V. Fanelli}, Ann. Oper. Res. 336, No. 1--2, 1089--1131 (2024; Zbl 1539.91129) Full Text: DOI OA License
De Giovanni, Domenico; Leccadito, Arturo; Loccisano, Debora Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. (English) Zbl 1537.91316 Ann. Oper. Res. 336, No. 1-2, 1039-1061 (2024). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{D. De Giovanni} et al., Ann. Oper. Res. 336, No. 1--2, 1039--1061 (2024; Zbl 1537.91316) Full Text: DOI OA License
Carr, Peter; Torricelli, Lorenzo Convex duality in continuous option pricing models. (English) Zbl 1539.91127 Ann. Oper. Res. 336, No. 1-2, 1013-1037 (2024). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{P. Carr} and \textit{L. Torricelli}, Ann. Oper. Res. 336, No. 1--2, 1013--1037 (2024; Zbl 1539.91127) Full Text: DOI
Bernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven Implied value-at-risk and model-free simulation. (English) Zbl 1537.91309 Ann. Oper. Res. 336, No. 1-2, 925-943 (2024). MSC: 91G20 91G70 62P05 62G08 PDFBibTeX XMLCite \textit{C. Bernard} et al., Ann. Oper. Res. 336, No. 1--2, 925--943 (2024; Zbl 1537.91309) Full Text: DOI
Berton, Edoardo; Mercuri, Lorenzo An efficient unified approach for spread option pricing in a copula market model. (English) Zbl 1537.91310 Ann. Oper. Res. 336, No. 1-2, 307-329 (2024). MSC: 91G20 62P05 62H05 91G60 PDFBibTeX XMLCite \textit{E. Berton} and \textit{L. Mercuri}, Ann. Oper. Res. 336, No. 1--2, 307--329 (2024; Zbl 1537.91310) Full Text: DOI arXiv
Brignone, Riccardo; Gonzato, Luca; Sgarra, Carlo Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. (English) Zbl 1537.91314 Ann. Oper. Res. 336, No. 1-2, 275-306 (2024). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{R. Brignone} et al., Ann. Oper. Res. 336, No. 1--2, 275--306 (2024; Zbl 1537.91314) Full Text: DOI OA License
Silotto, Lorenzo; Scaringi, Marco; Bianchetti, Marco XVA modelling: validation, performance and model risk management. (English) Zbl 1537.91334 Ann. Oper. Res. 336, No. 1-2, 183-274 (2024). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{L. Silotto} et al., Ann. Oper. Res. 336, No. 1--2, 183--274 (2024; Zbl 1537.91334) Full Text: DOI
Hölzermann, Julian Pricing interest rate derivatives under volatility uncertainty. (English) Zbl 1537.91326 Ann. Oper. Res. 336, No. 1-2, 153-182 (2024). MSC: 91G20 91G30 60G65 PDFBibTeX XMLCite \textit{J. Hölzermann}, Ann. Oper. Res. 336, No. 1--2, 153--182 (2024; Zbl 1537.91326) Full Text: DOI arXiv OA License
Azzone, Michele; Baviera, Roberto Short-time implied volatility of additive normal tempered stable processes. (English) Zbl 1537.91308 Ann. Oper. Res. 336, No. 1-2, 93-126 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Azzone} and \textit{R. Baviera}, Ann. Oper. Res. 336, No. 1--2, 93--126 (2024; Zbl 1537.91308) Full Text: DOI arXiv OA License
Geha, Marc; Jacquier, Antoine; Žurič, Žan Large and moderate deviations for importance sampling in the Heston model. (English) Zbl 1537.91319 Ann. Oper. Res. 336, No. 1-2, 47-92 (2024). MSC: 91G20 60F10 91B70 91G60 65C05 PDFBibTeX XMLCite \textit{M. Geha} et al., Ann. Oper. Res. 336, No. 1--2, 47--92 (2024; Zbl 1537.91319) Full Text: DOI arXiv OA License
Grasselli, Martino; Mazzoran, Andrea; Pallavicini, Andrea A general framework for a joint calibration of VIX and VXX options. (English) Zbl 1540.91068 Ann. Oper. Res. 336, No. 1-2, 3-26 (2024). MSC: 91G20 60H10 PDFBibTeX XMLCite \textit{M. Grasselli} et al., Ann. Oper. Res. 336, No. 1--2, 3--26 (2024; Zbl 1540.91068) Full Text: DOI arXiv
Kim, Wonjoong; Lee, Jinyoung Chooser options on various underlying options. (English) Zbl 1537.91330 Commun. Korean Math. Soc. 39, No. 2, 535-546 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{W. Kim} and \textit{J. Lee}, Commun. Korean Math. Soc. 39, No. 2, 535--546 (2024; Zbl 1537.91330) Full Text: DOI
Bertrand, Philippe Black-Scholes approximation of warrant prices: slight return in a low interest rate environment. (English) Zbl 1537.91311 Ann. Oper. Res. 334, No. 1-3, 83-100 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Bertrand}, Ann. Oper. Res. 334, No. 1--3, 83--100 (2024; Zbl 1537.91311) Full Text: DOI
Gradojevic, Nikola; Kukolj, Dragan Unlocking the black box: non-parametric option pricing before and during COVID-19. (English) Zbl 1537.91321 Ann. Oper. Res. 334, No. 1-3, 59-82 (2024). MSC: 91G20 68T07 PDFBibTeX XMLCite \textit{N. Gradojevic} and \textit{D. Kukolj}, Ann. Oper. Res. 334, No. 1--3, 59--82 (2024; Zbl 1537.91321) Full Text: DOI
Schneider, L.; Tavin, B. Seasonal volatility in agricultural markets: modelling and empirical investigations. (English) Zbl 1537.91333 Ann. Oper. Res. 334, No. 1-3, 7-58 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{L. Schneider} and \textit{B. Tavin}, Ann. Oper. Res. 334, No. 1--3, 7--58 (2024; Zbl 1537.91333) Full Text: DOI
Kim, Soohan; Yun, Seok-Bae; Bae, Hyeong-Ohk; Lee, Muhyun; Hong, Youngjoon Physics-informed convolutional transformer for predicting volatility surface. (English) Zbl 1537.91328 Quant. Finance 24, No. 2, 203-220 (2024). MSC: 91G20 68T07 PDFBibTeX XMLCite \textit{S. Kim} et al., Quant. Finance 24, No. 2, 203--220 (2024; Zbl 1537.91328) Full Text: DOI arXiv
Jourdain, Benjamin; Pammer, Gudmund An extension of martingale transport and stability in robust finance. (English) Zbl 1537.91327 Electron. J. Probab. 29, Paper No. 57, 30 p. (2024). MSC: 91G20 91G80 49Q22 60G42 PDFBibTeX XMLCite \textit{B. Jourdain} and \textit{G. Pammer}, Electron. J. Probab. 29, Paper No. 57, 30 p. (2024; Zbl 1537.91327) Full Text: DOI arXiv
Profeta, Christophe Parisian times for linear diffusions. (English) Zbl 1537.91332 Theory Probab. Math. Stat. 110, 101-119 (2024). MSC: 91G20 60J60 60G40 PDFBibTeX XMLCite \textit{C. Profeta}, Theory Probab. Math. Stat. 110, 101--119 (2024; Zbl 1537.91332) Full Text: DOI arXiv
Han, Yuecai; Zheng, Xudong A deep learning method for pricing high-dimensional American-style options via state-space partition. (English) Zbl 07853481 Comput. Appl. Math. 43, No. 3, Paper No. 152, 26 p. (2024). MSC: 91G20 60G40 91G60 68T07 90C39 PDFBibTeX XMLCite \textit{Y. Han} and \textit{X. Zheng}, Comput. Appl. Math. 43, No. 3, Paper No. 152, 26 p. (2024; Zbl 07853481) Full Text: DOI
Mao, Chen; Liu, Guanqi An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility. (English) Zbl 1539.91133 Math. Methods Appl. Sci. 47, No. 4, 1868-1882 (2024). MSC: 91G20 91B70 91G30 PDFBibTeX XMLCite \textit{C. Mao} and \textit{G. Liu}, Math. Methods Appl. Sci. 47, No. 4, 1868--1882 (2024; Zbl 1539.91133) Full Text: DOI
Kitapbayev, Yerkin; Robertson, Scott Mortgage contracts and underwater default. (English) Zbl 1537.91331 SIAM J. Financ. Math. 15, No. 2, 315-359 (2024). MSC: 91G20 35R35 60G40 PDFBibTeX XMLCite \textit{Y. Kitapbayev} and \textit{S. Robertson}, SIAM J. Financ. Math. 15, No. 2, 315--359 (2024; Zbl 1537.91331) Full Text: DOI arXiv
Huang, Wenqian; Zhu, Haoxiang CCP auction design. (English) Zbl 1539.91131 J. Econ. Theory 217, Article ID 105826, 19 p. (2024). MSC: 91G20 91B26 PDFBibTeX XMLCite \textit{W. Huang} and \textit{H. Zhu}, J. Econ. Theory 217, Article ID 105826, 19 p. (2024; Zbl 1539.91131) Full Text: DOI
Marinelli, Carlo On certain representations of pricing functionals. (English) Zbl 07846513 Ann. Finance 20, No. 1, 91-127 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{C. Marinelli}, Ann. Finance 20, No. 1, 91--127 (2024; Zbl 07846513) Full Text: DOI arXiv OA License
Njike Leunga, Charles Guy; Hainaut, Donatien Affine Heston model style with self-exciting jumps and long memory. (English) Zbl 1539.91134 Ann. Finance 20, No. 1, 1-43 (2024). MSC: 91G20 91B70 60G55 PDFBibTeX XMLCite \textit{C. G. Njike Leunga} and \textit{D. Hainaut}, Ann. Finance 20, No. 1, 1--43 (2024; Zbl 1539.91134) Full Text: DOI
Dolinsky, Yan Duality theory for exponential utility-based hedging in the Almgren-Chriss model. (English) Zbl 1539.91128 J. Appl. Probab. 61, No. 2, 420-438 (2024). MSC: 91G20 91B16 60H30 PDFBibTeX XMLCite \textit{Y. Dolinsky}, J. Appl. Probab. 61, No. 2, 420--438 (2024; Zbl 1539.91128) Full Text: DOI arXiv
Brignone, Riccardo Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model. (English) Zbl 1537.91313 SIAM J. Sci. Comput. 46, No. 3, A1441-A1460 (2024). MSC: 91G20 91-10 91B70 91G60 PDFBibTeX XMLCite \textit{R. Brignone}, SIAM J. Sci. Comput. 46, No. 3, A1441--A1460 (2024; Zbl 1537.91313) Full Text: DOI
Hong, Song-Yu; Zhang, Hao-Min; Lu, Yuan-Qiao; Jiang, Yuan-Ying A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching. (English) Zbl 1536.91334 Japan J. Ind. Appl. Math. 41, No. 2, 1079-1095 (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{S.-Y. Hong} et al., Japan J. Ind. Appl. Math. 41, No. 2, 1079--1095 (2024; Zbl 1536.91334) Full Text: DOI
Brigo, Damiano; Graceffa, Federico; Kalinin, Alexander Mild to classical solutions for XVA equations under stochastic volatility. (English) Zbl 1536.91329 SIAM J. Financ. Math. 15, No. 1, 215-254 (2024). MSC: 91G20 60G40 60H30 35K58 PDFBibTeX XMLCite \textit{D. Brigo} et al., SIAM J. Financ. Math. 15, No. 1, 215--254 (2024; Zbl 1536.91329) Full Text: DOI arXiv
Hainaut, Donatien A mutually exciting rough jump-diffusion for financial modelling. (English) Zbl 1537.91323 Fract. Calc. Appl. Anal. 27, No. 1, 319-352 (2024). MSC: 91G20 60G55 60G22 60J74 PDFBibTeX XMLCite \textit{D. Hainaut}, Fract. Calc. Appl. Anal. 27, No. 1, 319--352 (2024; Zbl 1537.91323) Full Text: DOI
Kim, Takwon; Park, Jinwan; Yoon, Ji-Hun; Lee, Ki-Ahm Pricing vulnerable options in fractional Brownian markets: a partial differential equations approach. (English) Zbl 1537.91329 Fract. Calc. Appl. Anal. 27, No. 1, 247-280 (2024). MSC: 91G20 60G22 60H15 60H05 60H30 PDFBibTeX XMLCite \textit{T. Kim} et al., Fract. Calc. Appl. Anal. 27, No. 1, 247--280 (2024; Zbl 1537.91329) Full Text: DOI
Cai, Xiaorong; Lin, Feng; Yang, Jingping Bilateral credit valuation adjustment of CDS under systemic and correlated Idiosyncratic risks. (English) Zbl 1536.91330 Front. Math. (Beijing) 19, No. 2, 335-384 (2024). MSC: 91G20 91G40 91G45 62P05 PDFBibTeX XMLCite \textit{X. Cai} et al., Front. Math. (Beijing) 19, No. 2, 335--384 (2024; Zbl 1536.91330) Full Text: DOI
Chatterjee, Bihan; Goswami, Anindya; Overbeck, Ludger Locally risk minimizing pricing of Asian option in a semi-Markov modulated market. (English) Zbl 07834392 Stochastic Anal. Appl. 42, No. 2, 451-474 (2024). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G20 35Q91 60K15 PDFBibTeX XMLCite \textit{B. Chatterjee} et al., Stochastic Anal. Appl. 42, No. 2, 451--474 (2024; Zbl 07834392) Full Text: DOI
Zhang, Ziqing Multi-regime foreign exchange rate model: calibration and pricing. (English) Zbl 1540.91079 Math. Comput. Simul. 220, 204-218 (2024). MSC: 91G20 91B70 62P05 PDFBibTeX XMLCite \textit{Z. Zhang}, Math. Comput. Simul. 220, 204--218 (2024; Zbl 1540.91079) Full Text: DOI
Hu, Zhihao; Yang, Ben-Zhang; He, Xin-Jiang; Yue, Jia Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (English) Zbl 1540.91070 Math. Comput. Simul. 219, 212-230 (2024). MSC: 91G20 60J60 91G30 PDFBibTeX XMLCite \textit{Z. Hu} et al., Math. Comput. Simul. 219, 212--230 (2024; Zbl 1540.91070) Full Text: DOI
Arai, Takuji; Imai, Yuto Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. (English) Zbl 1540.91066 Math. Comput. Simul. 218, 223-234 (2024). MSC: 91G20 62P05 60G51 65C05 91G60 PDFBibTeX XMLCite \textit{T. Arai} and \textit{Y. Imai}, Math. Comput. Simul. 218, 223--234 (2024; Zbl 1540.91066) Full Text: DOI arXiv
Lin, Sha; Lin, Xuanmeng; He, Xin-Jiang Analytically pricing European options with a two-factor Stein-Stein model. (English) Zbl 1536.91335 J. Comput. Appl. Math. 440, Article ID 115662, 15 p. (2024). MSC: 91G20 PDFBibTeX XMLCite \textit{S. Lin} et al., J. Comput. Appl. Math. 440, Article ID 115662, 15 p. (2024; Zbl 1536.91335) Full Text: DOI
Fahim, K.; Alfajriyahe, A. U.; Putri, E. R. M. Derivation of multi-asset Black-Scholes differential equations. (English) Zbl 07828115 Nonlinear Dyn. Syst. Theory 24, No. 2, 135-146 (2024). MSC: 91G20 60H10 PDFBibTeX XMLCite \textit{K. Fahim} et al., Nonlinear Dyn. Syst. Theory 24, No. 2, 135--146 (2024; Zbl 07828115) Full Text: Link
Sani, Sulaiman; Mhone, Peter Y.; Mhlongo, Mfundo; Daman, Onkabetse A. Regulated Ornstein-Uhlenbeck process in pandemic-time asset pricing of stocks and derivatives. (English) Zbl 1533.91470 SN Oper. Res. Forum 5, No. 1, Paper No. 14, 11 p. (2024). MSC: 91G20 91G30 60J60 PDFBibTeX XMLCite \textit{S. Sani} et al., SN Oper. Res. Forum 5, No. 1, Paper No. 14, 11 p. (2024; Zbl 1533.91470) Full Text: DOI
Becherer, Dirk; Bilarev, Todor Hedging with physical or cash settlement under transient multiplicative price impact. (English) Zbl 1533.91458 Finance Stoch. 28, No. 2, 285-328 (2024). MSC: 91G20 49L20 49L25 60H30 PDFBibTeX XMLCite \textit{D. Becherer} and \textit{T. Bilarev}, Finance Stoch. 28, No. 2, 285--328 (2024; Zbl 1533.91458) Full Text: DOI arXiv OA License
Robertson, Matthew J. Unobservable costly effort in security design. (English) Zbl 1533.91469 Econ. Lett. 235, Article ID 111573, 6 p. (2024). MSC: 91G20 91A28 PDFBibTeX XMLCite \textit{M. J. Robertson}, Econ. Lett. 235, Article ID 111573, 6 p. (2024; Zbl 1533.91469) Full Text: DOI OA License
Kusuda, Koji Implementing Arrow-Debreu equilibria in approximately complete security markets. (English) Zbl 1533.91464 J. Oper. Res. Soc. Japan 67, No. 1, 18-36 (2024). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{K. Kusuda}, J. Oper. Res. Soc. Japan 67, No. 1, 18--36 (2024; Zbl 1533.91464) Full Text: DOI
Halidias, Nikolaos Option pricing: examples and open problems. (English) Zbl 07812412 Monte Carlo Methods Appl. 30, No. 1, 1-17 (2024). Reviewer: Claudio Fontana (Paris) MSC: 91G20 PDFBibTeX XMLCite \textit{N. Halidias}, Monte Carlo Methods Appl. 30, No. 1, 1--17 (2024; Zbl 07812412) Full Text: DOI
Ekström, Erik; Mellquist, Ebba Monotonicity of implied volatility for perpetual put options. (English) Zbl 1534.91159 J. Appl. Probab. 61, No. 1, 301-310 (2024). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{E. Mellquist}, J. Appl. Probab. 61, No. 1, 301--310 (2024; Zbl 1534.91159) Full Text: DOI
Goldstein, Robert S.; Yang, Fan; Parlour, Christine Optimal capital structure and risk management policies of banks that use CoCo futures to hedge financial-sector risk. (English) Zbl 1534.91161 Rev. Finance 28, No. 1, 235-270 (2024). MSC: 91G20 91G45 PDFBibTeX XMLCite \textit{R. S. Goldstein} et al., Rev. Finance 28, No. 1, 235--270 (2024; Zbl 1534.91161) Full Text: DOI
Kim, Kyong-Hui; Kim, Jong-Kuk; Sin, Myong Guk Pricing formula for a barrier call option based on stochastic delay differential equation. (English) Zbl 1533.91463 Stat. Probab. Lett. 205, Article ID 109943, 11 p. (2024). MSC: 91G20 60H10 34K50 91G60 PDFBibTeX XMLCite \textit{K.-H. Kim} et al., Stat. Probab. Lett. 205, Article ID 109943, 11 p. (2024; Zbl 1533.91463) Full Text: DOI
Al-Hadad, Jonas; Palmowski, Zbigniew Perpetual American options with asset-dependent discounting. (English) Zbl 1531.91248 Appl. Math. Optim. 89, No. 1, Paper No. 18, 35 p. (2024). MSC: 91G20 60G40 60G51 PDFBibTeX XMLCite \textit{J. Al-Hadad} and \textit{Z. Palmowski}, Appl. Math. Optim. 89, No. 1, Paper No. 18, 35 p. (2024; Zbl 1531.91248) Full Text: DOI arXiv OA License
Wang, Yayun; Liu, Shengda Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model. (English) Zbl 1536.91338 Commun. Nonlinear Sci. Numer. Simul. 128, Article ID 107605, 19 p. (2024). MSC: 91G20 91G60 42A38 PDFBibTeX XMLCite \textit{Y. Wang} and \textit{S. Liu}, Commun. Nonlinear Sci. Numer. Simul. 128, Article ID 107605, 19 p. (2024; Zbl 1536.91338) Full Text: DOI
Benth, Fred Espen; Detering, Nils; Galimberti, Luca Pricing options on flow forwards by neural networks in a Hilbert space. (English) Zbl 1530.91562 Finance Stoch. 28, No. 1, 81-121 (2024). MSC: 91G20 60H15 68T07 46E20 PDFBibTeX XMLCite \textit{F. E. Benth} et al., Finance Stoch. 28, No. 1, 81--121 (2024; Zbl 1530.91562) Full Text: DOI arXiv
Guyon, Julien Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle. (English) Zbl 1530.91568 Finance Stoch. 28, No. 1, 27-79 (2024). MSC: 91G20 60G42 60H05 94A17 91G80 PDFBibTeX XMLCite \textit{J. Guyon}, Finance Stoch. 28, No. 1, 27--79 (2024; Zbl 1530.91568) Full Text: DOI
Mehrdoust, Farshid; Noorani, Idin; Kanniainen, Juho Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market. (English) Zbl 1540.91073 Math. Comput. Simul. 215, 228-269 (2024). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{F. Mehrdoust} et al., Math. Comput. Simul. 215, 228--269 (2024; Zbl 1540.91073) Full Text: DOI
Ha, Mijin; Kim, Donghyun; Yoon, Ji-Hun Valuing of timer path-dependent options. (English) Zbl 1540.91069 Math. Comput. Simul. 215, 208-227 (2024). MSC: 91G20 60H30 91G60 PDFBibTeX XMLCite \textit{M. Ha} et al., Math. Comput. Simul. 215, 208--227 (2024; Zbl 1540.91069) Full Text: DOI
Song, Lina; Yu, Wang; Tan, Yousheng; Duan, Ke Calculations of fractional derivative option pricing models based on neural network. (English) Zbl 1532.91126 J. Comput. Appl. Math. 437, Article ID 115462, 13 p. (2024). MSC: 91G20 26A33 35R11 91G60 68T05 PDFBibTeX XMLCite \textit{L. Song} et al., J. Comput. Appl. Math. 437, Article ID 115462, 13 p. (2024; Zbl 1532.91126) Full Text: DOI
Papapantoleon, Antonis; Rou, Jasper A time-stepping deep gradient flow method for option pricing in (rough) diffusion models. arXiv:2403.00746 Preprint, arXiv:2403.00746 [q-fin.CP] (2024). MSC: 91G20 91G60 68T07 BibTeX Cite \textit{A. Papapantoleon} and \textit{J. Rou}, ``A time-stepping deep gradient flow method for option pricing in (rough) diffusion models'', Preprint, arXiv:2403.00746 [q-fin.CP] (2024) Full Text: arXiv OA License
Bishwal, Jaya P. N. Interest rate derivatives for the fractional Cox-Ingersoll-Ross model. (English) Zbl 07906108 Algorithm. Finance 10, No. 1-2, 53-66 (2023). MSC: 91G20 91G30 26A33 PDFBibTeX XMLCite \textit{J. P. N. Bishwal}, Algorithm. Finance 10, No. 1--2, 53--66 (2023; Zbl 07906108) Full Text: DOI
Alòs, Elisa; Nualart, Eulalia; Pravosud, Makar On the implied volatility of Asian options under stochastic volatility models. (English) Zbl 07878241 Appl. Math. Finance 30, No. 5, 249-274 (2023). MSC: 91G20 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Appl. Math. Finance 30, No. 5, 249--274 (2023; Zbl 07878241) Full Text: DOI arXiv
Gankhuu, Battulga Rainbow options with MS-VAR process. (English) Zbl 1539.91130 Mong. Math. J. 24, 1-16 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{B. Gankhuu}, Mong. Math. J. 24, 1--16 (2023; Zbl 1539.91130) Full Text: DOI arXiv
Sepp, Artur; Rakhmonov, Parviz Log-normal stochastic volatility model with quadratic drift. (English) Zbl 1536.91337 Int. J. Theor. Appl. Finance 26, No. 8, Article ID 2450003, 63 p. (2023). MSC: 91G20 35R60 PDFBibTeX XMLCite \textit{A. Sepp} and \textit{P. Rakhmonov}, Int. J. Theor. Appl. Finance 26, No. 8, Article ID 2450003, 63 p. (2023; Zbl 1536.91337) Full Text: DOI
Wu, David; Jaimungal, Sebastian Robust risk-aware option hedging. (English) Zbl 1536.91339 Appl. Math. Finance 30, No. 3, 153-174 (2023). MSC: 91G20 68T05 PDFBibTeX XMLCite \textit{D. Wu} and \textit{S. Jaimungal}, Appl. Math. Finance 30, No. 3, 153--174 (2023; Zbl 1536.91339) Full Text: DOI arXiv OA License
Giorgio, Giacomo; Pacchiarotti, Barbara; Pigato, Paolo Short-time asymptotics for non-self-similar stochastic volatility models. (English) Zbl 07836411 Appl. Math. Finance 30, No. 3, 123-152 (2023). MSC: 91G20 60G22 60F10 PDFBibTeX XMLCite \textit{G. Giorgio} et al., Appl. Math. Finance 30, No. 3, 123--152 (2023; Zbl 07836411) Full Text: DOI arXiv
Bollinger, Thomas R.; Melick, William R.; Thomas, Charles P. Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices. (English) Zbl 1536.91328 Quant. Finance 23, No. 12, 1751-1768 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{T. R. Bollinger} et al., Quant. Finance 23, No. 12, 1751--1768 (2023; Zbl 1536.91328) Full Text: DOI OA License
Arsat, N. A. A.; Ibrahim, N. A.; Taib, C. M. I. C. Pricing quanto options in renewable energy markets. (English) Zbl 1536.91327 Malays. J. Math. Sci. 17, No. 4, 531-556 (2023). MSC: 91G20 PDFBibTeX XMLCite \textit{N. A. A. Arsat} et al., Malays. J. Math. Sci. 17, No. 4, 531--556 (2023; Zbl 1536.91327) Full Text: DOI
Bayad, Siham; El Hajaji, Abdelmajid; Hilal, Khalid Valuing option under double Heston jump-diffusion model with stochastic interest rate and approximative fractional Brownian motion. (English) Zbl 07826966 Melliani, Said (ed.) et al., Recent advances in fuzzy sets theory, fractional calculus, dynamic systems and optimization. Contributions based on the presentations at the international conference on partial differential equations and applications, modeling and simulation, Beni Mellal, Morocco, from June 1–2, 2021. Cham: Springer. Lect. Notes Netw. Syst. 476, 393-403 (2023). MSC: 91G20 91G30 60G22 60H30 PDFBibTeX XMLCite \textit{S. Bayad} et al., Lect. Notes Netw. Syst. 476, 393--403 (2023; Zbl 07826966) Full Text: DOI
Kouaiba, Ghizlane; Goni, Ali Malloum; Doghmi, Ahmed; Mentagui, Driss Pricing and hedging of swaptions: setting up a pricer of interest rate swaptions. (English) Zbl 1539.91132 Melliani, Said (ed.) et al., Recent advances in fuzzy sets theory, fractional calculus, dynamic systems and optimization. Contributions based on the presentations at the international conference on partial differential equations and applications, modeling and simulation, Beni Mellal, Morocco, from June 1–2, 2021. Cham: Springer. Lect. Notes Netw. Syst. 476, 228-239 (2023). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{G. Kouaiba} et al., Lect. Notes Netw. Syst. 476, 228--239 (2023; Zbl 1539.91132) Full Text: DOI