Lee, Cheng Few; Chen, Yibing; Lee, John Alternative methods to derive option pricing models: review and comparison. (English) Zbl 1451.91200 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573-3617 (2021). MSC: 91G20 91G80 60H10 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573--3617 (2021; Zbl 1451.91200) Full Text: DOI
Chang, Jow-Ran; Lee, John Decision tree and Microsoft Excel approach for option pricing model. (English) Zbl 1452.91304 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885-2927 (2021). MSC: 91G20 91-08 PDF BibTeX XML Cite \textit{J.-R. Chang} and \textit{J. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885--2927 (2021; Zbl 1452.91304) Full Text: DOI
Sierag, Dirk; Hanzon, Bernard Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex. (English) Zbl 1417.91514 Ann. Oper. Res. 266, No. 1-2, 101-127 (2018). MSC: 91G20 91G60 60G40 PDF BibTeX XML Cite \textit{D. Sierag} and \textit{B. Hanzon}, Ann. Oper. Res. 266, No. 1--2, 101--127 (2018; Zbl 1417.91514) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio On pricing arithmetic average reset options with multiple reset dates in a lattice framework. (English) Zbl 1218.91168 J. Comput. Appl. Math. 235, No. 17, 5307-5325 (2011). MSC: 91G60 91G20 PDF BibTeX XML Cite \textit{M. Costabile} et al., J. Comput. Appl. Math. 235, No. 17, 5307--5325 (2011; Zbl 1218.91168) Full Text: DOI
Kim, Kwang Ik; Park, Hyun Suk; Qian, Xiao-Song A mathematical modeling for the lookback option with jump-diffusion using binomial tree method. (English) Zbl 1220.91042 J. Comput. Appl. Math. 235, No. 17, 5140-5154 (2011). MSC: 91G60 91G20 65M12 35R35 45K05 PDF BibTeX XML Cite \textit{K. I. Kim} et al., J. Comput. Appl. Math. 235, No. 17, 5140--5154 (2011; Zbl 1220.91042) Full Text: DOI
Yam, S. C. P.; Yung, S. P.; Zhou, W. Two rationales behind the ‘buy-and-hold or sell-at-once’ strategy. (English) Zbl 1186.60039 J. Appl. Probab. 46, No. 3, 651-668 (2009). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 91B70 62L15 PDF BibTeX XML Cite \textit{S. C. P. Yam} et al., J. Appl. Probab. 46, No. 3, 651--668 (2009; Zbl 1186.60039) Full Text: DOI
Muzzioli, S.; Reynaerts, H. American option pricing with imprecise risk-neutral probabilities. (English) Zbl 1185.91180 Int. J. Approx. Reasoning 49, No. 1, 140-147 (2008). MSC: 91G20 90C70 PDF BibTeX XML Cite \textit{S. Muzzioli} and \textit{H. Reynaerts}, Int. J. Approx. Reasoning 49, No. 1, 140--147 (2008; Zbl 1185.91180) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio A binomial model for valuing equity-linked policies embedding surrender options. (English) Zbl 1141.91496 Insur. Math. Econ. 42, No. 3, 873-886 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{M. Costabile} et al., Insur. Math. Econ. 42, No. 3, 873--886 (2008; Zbl 1141.91496) Full Text: DOI
Takemura, Akimichi; Suzuki, Taiji Game-theoretic derivation of discrete distributions and discrete pricing formulas. (English) Zbl 1145.62083 J. Jpn. Stat. Soc. 37, No. 1, 87-104 (2007). MSC: 62P05 62E15 91A40 91G20 PDF BibTeX XML Cite \textit{A. Takemura} and \textit{T. Suzuki}, J. Jpn. Stat. Soc. 37, No. 1, 87--104 (2007; Zbl 1145.62083) Full Text: DOI arXiv
Muzzioli, S.; Reynaerts, H. Option pricing in the presence of uncertainty. (English) Zbl 1269.91077 Batryshin, Ildar (ed.) et al., Perception-based data mining and decision making in economics and finance. Berlin: Springer (ISBN 978-3-540-36244-9/hbk). Studies in Computational Intelligence 36, 275-301 (2007). MSC: 91G20 03E72 PDF BibTeX XML Cite \textit{S. Muzzioli} and \textit{H. Reynaerts}, Stud. Comput. Intell. 36, 275--301 (2007; Zbl 1269.91077) Full Text: DOI
Kim, Kwang Ik; Qian, Xiao-Song Convergence of the binomial tree method for Asian options in jump-diffusion models. (English) Zbl 1176.91149 J. Math. Anal. Appl. 330, No. 1, 10-23 (2007). MSC: 91G20 91G30 91G60 49L25 60H10 60H30 PDF BibTeX XML Cite \textit{K. I. Kim} and \textit{X.-S. Qian}, J. Math. Anal. Appl. 330, No. 1, 10--23 (2007; Zbl 1176.91149) Full Text: DOI
Abdurakhman; Subanar; Guritno, S.; Soejoeti, Z. Valueing trinomial option pricing with pseudoinverse matrix. (English) Zbl 1114.62108 J. Indones. Math. Soc. 12, No. 2, 131-140 (2006). MSC: 62P05 91G20 15A09 PDF BibTeX XML Cite \textit{Abdurakhman} et al., J. Indones. Math. Soc. 12, No. 2, 131--140 (2006; Zbl 1114.62108)
Maller, Ross A.; Solomon, David A.; Szimayer, Alex A multinomial approximation for American option prices in Lévy process models. (English) Zbl 1130.91027 Math. Finance 16, No. 4, 613-633 (2006). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{R. A. Maller} et al., Math. Finance 16, No. 4, 613--633 (2006; Zbl 1130.91027) Full Text: DOI
Bacinello, Anna Rita Endogenous model of surrender conditions in equity-linked life insurance. (English) Zbl 1118.91054 Insur. Math. Econ. 37, No. 2, 270-296 (2005). MSC: 91B30 PDF BibTeX XML Cite \textit{A. R. Bacinello}, Insur. Math. Econ. 37, No. 2, 270--296 (2005; Zbl 1118.91054) Full Text: DOI
Heston, Steven L. Option valuation with infinitely divisible distributions. (English) Zbl 1405.91623 Quant. Finance 4, No. 5, 515-524 (2004). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{S. L. Heston}, Quant. Finance 4, No. 5, 515--524 (2004; Zbl 1405.91623) Full Text: DOI
Jiang, Lishang; Dai, Min Convergence of binomial tree methods for European/American path-dependent options. (English) Zbl 1159.91392 SIAM J. Numer. Anal. 42, No. 3, 1094-1109 (2004). MSC: 91G20 93E20 PDF BibTeX XML Cite \textit{L. Jiang} and \textit{M. Dai}, SIAM J. Numer. Anal. 42, No. 3, 1094--1109 (2004; Zbl 1159.91392) Full Text: DOI
Walsh, John B. The rate of convergence of the binomial tree scheme. (English) Zbl 1062.91027 Finance Stoch. 7, No. 3, 337-361 (2003). Reviewer: M. P. Moklyachuk (Kyïv) MSC: 91G20 60G40 60G44 PDF BibTeX XML Cite \textit{J. B. Walsh}, Finance Stoch. 7, No. 3, 337--361 (2003; Zbl 1062.91027) Full Text: DOI
van den Berg, Imme Principles of infinitesimal stochastic and financial analysis. (English) Zbl 0964.91024 Singapore: World Scientific. xii, 136 p. (2000). Reviewer: C.L.Parihar (Indore) MSC: 91G20 91-02 91B70 91B24 91B60 PDF BibTeX XML Cite \textit{I. van den Berg}, Principles of infinitesimal stochastic and financial analysis. Singapore: World Scientific (2000; Zbl 0964.91024)
Dai, Min A modified binomial tree method for currency lookback options. (English) Zbl 0994.91021 Acta Math. Sin., Engl. Ser. 16, No. 3, 445-454 (2000). Reviewer: C.L.Parihar (Indore) MSC: 91G20 35Q91 35K85 35R35 PDF BibTeX XML Cite \textit{M. Dai}, Acta Math. Sin., Engl. Ser. 16, No. 3, 445--454 (2000; Zbl 0994.91021) Full Text: DOI
Chalasani, Prasad; Jha, Somesh; Egriboyun, Feyzullah; Varikooty, Ashok A refined binomial lattice for pricing American Asian options. (English) Zbl 1274.91477 Rev. Deriv. Res. 3, No. 1, 85-105 (1999). MSC: 91G60 91G20 PDF BibTeX XML Cite \textit{P. Chalasani} et al., Rev. Deriv. Res. 3, No. 1, 85--105 (1999; Zbl 1274.91477) Full Text: DOI
Schumacher, N. Binomial option pricing with nonidentically distributed returns and its implications. (English) Zbl 0990.91021 Math. Comput. Modelling 29, No. 10-12, 121-143 (1999). MSC: 91G20 62P99 PDF BibTeX XML Cite \textit{N. Schumacher}, Math. Comput. Modelling 29, No. 10--12, 121--143 (1999; Zbl 0990.91021) Full Text: DOI
Mittnik, S.; Rachev, S. T. Option pricing for stable and infinitely divisible asset returns. (English) Zbl 0990.91023 Math. Comput. Modelling 29, No. 10-12, 93-104 (1999). MSC: 91G20 62P99 PDF BibTeX XML Cite \textit{S. Mittnik} and \textit{S. T. Rachev}, Math. Comput. Modelling 29, No. 10--12, 93--104 (1999; Zbl 0990.91023) Full Text: DOI
Rachev, S. T.; Rüschendorf, L. Models for option prices. (English. Russian original) Zbl 0833.90020 Theory Probab. Appl. 39, No. 1, 120-152 (1994); translation from Teor. Veroyatn. Primen. 39, No. 1, 150-190 (1994). MSC: 91G20 91B24 PDF BibTeX XML Cite \textit{S. T. Rachev} and \textit{L. Rüschendorf}, Teor. Veroyatn. Primen. 39, No. 1, 150--190 (1994; Zbl 0833.90020); translation from Teor. Veroyatn. Primen. 39, No. 1, 150--190 (1994)