Kharrat, Mohamed Pricing European and American options under fractional model. (English) Zbl 1492.91377 Palest. J. Math. 11, Spec. Iss. II, 63-73 (2022). MSC: 91G20 60G40 35R11 91G60 PDF BibTeX XML Cite \textit{M. Kharrat}, Palest. J. Math. 11, 63--73 (2022; Zbl 1492.91377) Full Text: Link
Wu, Shujin; Wang, Shiyu European option pricing formula in risk-aversive markets. (English) Zbl 1512.91157 Math. Probl. Eng. 2021, Article ID 9713521, 17 p. (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{S. Wu} and \textit{S. Wang}, Math. Probl. Eng. 2021, Article ID 9713521, 17 p. (2021; Zbl 1512.91157) Full Text: DOI
Jiang, Xiaoying; Xu, Xiang On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options. (English) Zbl 1484.91518 Appl. Anal. 100, No. 15, 3145-3160 (2021). Reviewer: Deshna Loonker (Jodhpur) MSC: 91G60 65M06 65R20 35R11 45Q05 91G20 45B05 PDF BibTeX XML Cite \textit{X. Jiang} and \textit{X. Xu}, Appl. Anal. 100, No. 15, 3145--3160 (2021; Zbl 1484.91518) Full Text: DOI
Awasthi, Ashish; Riyasudheen, TK An accurate solution for the generalized Black-Scholes equations governing option pricing. (English) Zbl 1485.91248 AIMS Math. 5, No. 3, 2226-2243 (2020). MSC: 91G60 91G20 60H30 65M06 65M12 PDF BibTeX XML Cite \textit{A. Awasthi} and \textit{T. Riyasudheen}, AIMS Math. 5, No. 3, 2226--2243 (2020; Zbl 1485.91248) Full Text: DOI
Jerbi, Yacin; Chaabene, Samira European call price modelling using neural networks in considering volatility as stochastic with comparison to the Heston model. (English) Zbl 07480157 J. Stat. Comput. Simulation 90, No. 10, 1793-1810 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Jerbi} and \textit{S. Chaabene}, J. Stat. Comput. Simulation 90, No. 10, 1793--1810 (2020; Zbl 07480157) Full Text: DOI
Catalão, André; Rosenfeld, Rogério Analytical path-integral pricing of deterministic moving-barrier options under non-Gaussian distributions. (English) Zbl 1437.91426 Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050005, 52 p. (2020). MSC: 91G20 91G80 60G99 PDF BibTeX XML Cite \textit{A. Catalão} and \textit{R. Rosenfeld}, Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050005, 52 p. (2020; Zbl 1437.91426) Full Text: DOI arXiv
Bellalah, Mondher Pricing derivatives in the presence of shadow costs of incomplete information and short sales. (English) Zbl 1416.91368 Ann. Oper. Res. 262, No. 2, 389-411 (2018). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{M. Bellalah}, Ann. Oper. Res. 262, No. 2, 389--411 (2018; Zbl 1416.91368) Full Text: DOI Link
Sheraz, Muhammad; Preda, Vasile Kurtosis in Black-Scholes model with GARCH volatility. (English) Zbl 1399.62183 Sci. Bull., Ser. A, Appl. Math. Phys., Politeh. Univ. Buchar. 78, No. 1, 205-216 (2016). MSC: 62P20 62M10 91G70 PDF BibTeX XML Cite \textit{M. Sheraz} and \textit{V. Preda}, Sci. Bull., Ser. A, Appl. Math. Phys., Politeh. Univ. Buchar. 78, No. 1, 205--216 (2016; Zbl 1399.62183)
Glensk, Barbara; Rosen, Christiane; Madlener, Reinhard A real options model for the disinvestment in conventional power plants. (English) Zbl 1343.91024 Lübbecke, Marco (ed.) et al., Operations research proceedings 2014. Selected papers of the annual international conference of the German Operations Research Society (GOR), RWTH Aachen University, Germany, September 2–5, 2014. Basel: Springer (ISBN 978-3-319-28695-2/pbk; 978-3-319-28697-6/ebook). Operations Research Proceedings, 173-179 (2016). MSC: 91B74 91G50 PDF BibTeX XML Cite \textit{B. Glensk} et al., Oper. Res. Proc. 2014, 173--179 (2016; Zbl 1343.91024) Full Text: DOI
Cocozza, Rosa; De Simone, Antonio Bifactorial pricing models: light and shadows in correlation role. (English) Zbl 1418.91507 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 99-110 (2014). MSC: 91G20 91G30 62P05 PDF BibTeX XML Cite \textit{R. Cocozza} and \textit{A. De Simone}, in: Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10--12, 2012. Cham: Springer. 99--110 (2014; Zbl 1418.91507) Full Text: DOI
Ren, Xuemin; Jiang, Lishang On pricing of corporate securities in the case of jump-diffusion. (English) Zbl 1313.91180 Appl. Math., Ser. B (Engl. Ed.) 29, No. 2, 205-216 (2014). MSC: 91G40 62P05 60J75 PDF BibTeX XML Cite \textit{X. Ren} and \textit{L. Jiang}, Appl. Math., Ser. B (Engl. Ed.) 29, No. 2, 205--216 (2014; Zbl 1313.91180) Full Text: DOI
Chiarella, Carl; Ziveyi, Jonathan Pricing American options written on two underlying assets. (English) Zbl 1294.91169 Quant. Finance 14, No. 3, 409-426 (2014). MSC: 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{C. Chiarella} and \textit{J. Ziveyi}, Quant. Finance 14, No. 3, 409--426 (2014; Zbl 1294.91169) Full Text: DOI
Bannör, Karl F.; Scherer, Matthias Model risk and uncertainty – illustrated with examples from mathematical finance. (English) Zbl 1291.91168 Klüppelberg, Claudia (ed.) et al., Risk. A multidisciplinary introduction. Cham: Springer (ISBN 978-3-319-04485-9/hbk; 978-3-319-04486-6/ebook). 279-306 (2014). MSC: 91B70 91Gxx 62C12 PDF BibTeX XML Cite \textit{K. F. Bannör} and \textit{M. Scherer}, in: Risk. A multidisciplinary introduction. Cham: Springer. 279--306 (2014; Zbl 1291.91168) Full Text: DOI
Schlögl, Erik Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order. (English) Zbl 1346.91240 J. Econ. Dyn. Control 37, No. 3, 611-632 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{E. Schlögl}, J. Econ. Dyn. Control 37, No. 3, 611--632 (2013; Zbl 1346.91240) Full Text: DOI Link
Hulley, Hardy; Platen, Eckhard Hedging for the long run. (English) Zbl 1264.91147 Math. Financ. Econ. 6, No. 2, 105-124 (2012). MSC: 91G80 91B25 60H30 62P05 PDF BibTeX XML Cite \textit{H. Hulley} and \textit{E. Platen}, Math. Financ. Econ. 6, No. 2, 105--124 (2012; Zbl 1264.91147) Full Text: DOI
Li, Haitao Interest rate derivatives pricing with volatility smile. (English) Zbl 1229.91317 Duan, Jin-Chuan (ed.) et al., Handbook of computational finance. Berlin: Springer (ISBN 978-3-642-17253-3/hbk; 978-3-642-17254-0/ebook). Springer Handbooks of Computational Statistics, 143-201 (2012). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{H. Li}, in: Handbook of computational finance. Berlin: Springer. 143--201 (2012; Zbl 1229.91317) Full Text: DOI
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander The COGARCH: a review, with news on option pricing and statistical inference. (English) Zbl 1493.62585 Blath, Jochen (ed.) et al., Surveys in stochastic processes. Selected papers based on the presentations at the 33rd conference on stochastic processes and their applications, Berlin, Germany, July 27–31, 2009. Zürich: European Mathematical Society (EMS). EMS Ser. Congr. Rep., 29-58 (2011). MSC: 62P05 62M10 60G51 60H30 91B70 91G20 PDF BibTeX XML Cite \textit{C. Klüppelberg} et al., in: Surveys in stochastic processes. Selected papers based on the presentations at the 33rd conference on stochastic processes and their applications, Berlin, Germany, July 27--31, 2009. Zürich: European Mathematical Society (EMS). 29--58 (2011; Zbl 1493.62585)
Ross, Sheldon M. An elementary introduction to mathematical finance. 3rd ed. (English) Zbl 1221.91001 Cambridge: Cambridge University Press (ISBN 978-0-521-19253-8/hbk; 978-1-139-06510-8/ebook). xv, 305 p. (2011). Reviewer: Weiping Li (Stillwater) MSC: 91-01 91Gxx PDF BibTeX XML Cite \textit{S. M. Ross}, An elementary introduction to mathematical finance. 3rd ed. Cambridge: Cambridge University Press (2011; Zbl 1221.91001) Full Text: DOI
Lai, Tze Leung; Lim, Tiong Wee Option hedging theory under transaction costs. (English) Zbl 1182.91179 J. Econ. Dyn. Control 33, No. 12, 1945-1961 (2009). MSC: 91G20 91G60 93E20 60G40 PDF BibTeX XML Cite \textit{T. L. Lai} and \textit{T. W. Lim}, J. Econ. Dyn. Control 33, No. 12, 1945--1961 (2009; Zbl 1182.91179) Full Text: DOI
Fengler, Matthias R.; Wang, Qihua Least squares kernel smoothing of the implied volatility smile. 2nd ed. (English) Zbl 1258.91227 Härdle, Wolfgang K. (ed.) et al., Applied quantitative finance. Berlin: Springer (ISBN 978-3-540-69177-8/hbk). 193-207 (2009). MSC: 91G80 91G70 PDF BibTeX XML Cite \textit{M. R. Fengler} and \textit{Q. Wang}, in: Applied quantitative finance. Berlin: Springer. 193--207 (2009; Zbl 1258.91227) Full Text: DOI
Schmitt, Markus Project pricing with the Black-Scholes-formula. (Projektbewertung mit der Black-Scholes-Formel: Eine Modellanalyse am Beispiel von Produktinnovationen.) (German. English summary) Zbl 1356.91092 Luderer, Bernd (ed.), Die Kunst des Modellierens. Mathematisch-ökonomische Modelle. Wiesbaden: Vieweg+Teubner (ISBN 978-3-8351-0212-5/hbk). Studienbücher Wirtschaftmathematik, 441-457 (2008). MSC: 91G20 91G50 PDF BibTeX XML Cite \textit{M. Schmitt}, in: Die Kunst des Modellierens. Mathematisch-ökonomische Modelle. Wiesbaden: Vieweg+Teubner. 441--457 (2008; Zbl 1356.91092)
Israel, V. P.; Rincon, M. A. Variational inequalities applied to option market problem. (English) Zbl 1142.91528 Appl. Math. Comput. 201, No. 1-2, 384-397 (2008). MSC: 91B28 49J40 PDF BibTeX XML Cite \textit{V. P. Israel} and \textit{M. A. Rincon}, Appl. Math. Comput. 201, No. 1--2, 384--397 (2008; Zbl 1142.91528) Full Text: DOI
Taniguchi, Masanobu; Hirukawa, Junichi; Tamaki, Kenichiro Optimal statistical inference in financial engineering. (English) Zbl 1152.62074 Boca Raton, FL: Chapman & Hall/CRC (ISBN 978-1-58488-591-7/hbk; 978-1-4200-1103-6/ebook). xii, 366 p. (2008). Reviewer: Dmitry Ostrouchov (Odessa) MSC: 62-02 62P05 62M10 62H30 62M15 62G05 91G20 91G70 PDF BibTeX XML Cite \textit{M. Taniguchi} et al., Optimal statistical inference in financial engineering. Boca Raton, FL: Chapman \& Hall/CRC (2008; Zbl 1152.62074) Full Text: DOI
Chen, Guan-Yu; Palmer, Ken; Sheu, Yuan-Chung The least cost superreplicating portfolio for short puts and calls in the Boyle-Vorst model with transaction costs. (English) Zbl 1145.91342 Lee, Cheng-Few (ed.), Advances in quantitative analysis of finance and accounting. Vol. 5. Hackensack, NJ: World Scientific (ISBN 978-981-270-628-7/bk). Advances in Quantitative Analysis of Finance and Accounting 5, 1-22 (2007). MSC: 91B28 PDF BibTeX XML Cite \textit{G.-Y. Chen} et al., Adv. Quant. Anal. Finance Account. 5, 1--22 (2007; Zbl 1145.91342)
Geman, Hélyette; Madan, Dilip B.; Yor, Marc Probing option prices for information. (English) Zbl 1157.60067 Methodol. Comput. Appl. Probab. 9, No. 1, 115-131 (2007). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 60H30 60G35 91G20 60H10 91B26 PDF BibTeX XML Cite \textit{H. Geman} et al., Methodol. Comput. Appl. Probab. 9, No. 1, 115--131 (2007; Zbl 1157.60067) Full Text: DOI
Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda Bounds for the price of a European-style Asian option in a binary tree model. (English) Zbl 1100.91048 Eur. J. Oper. Res. 168, No. 2, 322-332 (2006). MSC: 91B28 PDF BibTeX XML Cite \textit{H. Reynaerts} et al., Eur. J. Oper. Res. 168, No. 2, 322--332 (2006; Zbl 1100.91048) Full Text: DOI Link
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
Khanna, Ajay; Madan, Dilip B. Understanding option prices. (English) Zbl 1405.91631 Quant. Finance 4, No. 1, 55-63 (2004). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{A. Khanna} and \textit{D. B. Madan}, Quant. Finance 4, No. 1, 55--63 (2004; Zbl 1405.91631) Full Text: DOI
Carr, Peter (ed.) Derivatives pricing. The classic collection. (English) Zbl 1403.91009 London: Risk Books (ISBN 978-1-904339-33-5/hbk). xxvii, 535 p. (2004). Reviewer: Martynas Manstavičius (Vilnius) MSC: 91-06 91G20 91G30 91G40 91B30 PDF BibTeX XML Cite \textit{P. Carr} (ed.), Derivatives pricing. The classic collection. London: Risk Books (2004; Zbl 1403.91009)
Berestycki, Henri; Busca, Jérôme; Florent, Igor Computing the implied volatility in stochastic volatility models. (English) Zbl 1181.91356 Commun. Pure Appl. Math. 57, No. 10, 1352-1373 (2004). MSC: 91G80 60H10 60H30 PDF BibTeX XML Cite \textit{H. Berestycki} et al., Commun. Pure Appl. Math. 57, No. 10, 1352--1373 (2004; Zbl 1181.91356) Full Text: DOI
Derriennic, Yves Pascal and the problems posed by the Chevalier de Méré. From the origin of probability theory to today’s mathematics of finance. (Pascal et les problèmes du chevalier de Méré. De l’origine du calcul des probabilités aux mathématiques financières d’aujourd’hui.) (French) Zbl 1034.01023 Gaz. Math., Soc. Math. Fr. 97, 45-71 (2003). Reviewer: O. B. Cheinine (Berlin) MSC: 01A70 60-03 91-03 PDF BibTeX XML Cite \textit{Y. Derriennic}, Gaz. Math., Soc. Math. Fr. 97, 45--71 (2003; Zbl 1034.01023)
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)
Hurst, S. R.; Platen, E.; Rachev, S. T. Option pricing for a logstable asset price model. (English) Zbl 0990.91022 Math. Comput. Modelling 29, No. 10-12, 105-119 (1999). MSC: 91G20 PDF BibTeX XML Cite \textit{S. R. Hurst} et al., Math. Comput. Modelling 29, No. 10--12, 105--119 (1999; Zbl 0990.91022) Full Text: DOI
Bartels, Hans-Jochen On the mathematics of options. (Zur Mathematik der Optionen.) (German) Zbl 1063.91513 Math. Semesterber. 46, No. 1, 29-45 (1999). MSC: 91-01 91G20 PDF BibTeX XML Cite \textit{H.-J. Bartels}, Math. Semesterber. 46, No. 1, 29--45 (1999; Zbl 1063.91513) Full Text: DOI
Strandt, Sibylle Quadratic congruential generators with odd composite modulus. (English) Zbl 0885.65006 Niederreiter, Harald (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 1996. Proceedings of a conference at the University of Salzburg, Austria, July 9–12, 1996. Berlin: Springer. Lect. Notes Stat., Springer-Verlag. 127, 415-426 (1997). MSC: 65C10 11K45 PDF BibTeX XML Cite \textit{S. Strandt}, in: Monte Carlo and quasi-Monte Carlo methods 1996. Proceedings of a conference at the University of Salzburg, Austria, July 9--12, 1996. Berlin: Springer. 415--426 (1997; Zbl 0885.65006)
Staroswiecki, Marcel; Bayart, Mireille Models and languages for the interoperability of smart instruments. (English) Zbl 0862.93044 Automatica 32, No. 6, 859-873 (1996). Reviewer: R.Tracht (Essen) MSC: 93C85 93C83 93A30 PDF BibTeX XML Cite \textit{M. Staroswiecki} and \textit{M. Bayart}, Automatica 32, No. 6, 859--873 (1996; Zbl 0862.93044) Full Text: DOI
Heynen, R. C.; Kat, H. M. Lookback options with discrete and partial monitoring of the underlying price. (English) Zbl 1466.91340 Appl. Math. Finance 2, No. 4, 273-284 (1995). MSC: 91G20 PDF BibTeX XML Cite \textit{R. C. Heynen} and \textit{H. M. Kat}, Appl. Math. Finance 2, No. 4, 273--284 (1995; Zbl 1466.91340) Full Text: DOI
Buyevich, Yu.; Kapbasov, Sh. Fundamentals of coarse dispersion flow. (English) Zbl 0900.76709 J. Theor. Appl. Mech. 25, No. 3, 77-81 (1995). MSC: 76T99 PDF BibTeX XML Cite \textit{Yu. Buyevich} and \textit{Sh. Kapbasov}, J. Theor. Appl. Mech., Sofia 25, No. 3, 77--81 (1995; Zbl 0900.76709)
Heynen, Ronald C.; Kat, Harry M. Pricing and hedging power options. (English) Zbl 1153.91507 Financ. Eng. Jpn. Mark. 3, No. 3, 253-261 (1994). MSC: 91B28 PDF BibTeX XML Cite \textit{R. C. Heynen} and \textit{H. M. Kat}, Financ. Eng. Jpn. Mark. 3, No. 3, 253--261 (1994; Zbl 1153.91507) Full Text: DOI
Heston, Steven L. A closed-form solution for options with stochastic volatility with applications to bond and currency options. (English) Zbl 1384.35131 Rev. Financ. Stud. 6, No. 2, 327-343 (1993). MSC: 35Q91 91G20 PDF BibTeX XML Cite \textit{S. L. Heston}, Rev. Financ. Stud. 6, No. 2, 327--343 (1993; Zbl 1384.35131) Full Text: DOI Link
Müller, Sigrid Arbitrage pricing of contingent claims. (English) Zbl 0587.90005 Lecture Notes in Economics and Mathematical Systems, 254. Berlin etc.: Springer-Verlag. VIII, 151 p. DM 33.00 (1985). Reviewer: S.Berninghaus MSC: 91B62 91B24 90-02 PDF BibTeX XML
Anderson, W. J. Hedge portfolios and the Black-Scholes equations. (English) Zbl 0554.60078 Stochastic Anal. Appl. 2, 1-11 (1984). MSC: 60J70 60H20 60J65 PDF BibTeX XML Cite \textit{W. J. Anderson}, Stochastic Anal. Appl. 2, 1--11 (1984; Zbl 0554.60078) Full Text: DOI
Cox, John C.; Ross, Stephen A.; Rubinstein, Mark Option pricing: a simplified approach. (English) Zbl 1131.91333 J. Financ. Econ. 7, No. 3, 229-263 (1979). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. C. Cox} et al., J. Financ. Econ. 7, No. 3, 229--263 (1979; Zbl 1131.91333) Full Text: DOI