Hasman, Augusto Does the financial market compensate investors for operational losses? (English) Zbl 07331235 Oper. Res. Lett. 49, No. 1, 101-105 (2021). MSC: 90 PDF BibTeX XML Cite \textit{A. Hasman}, Oper. Res. Lett. 49, No. 1, 101--105 (2021; Zbl 07331235) Full Text: DOI
Chen, Shiyi; Chng, Michael T.; Liu, Qingfu The implied arbitrage mechanism in financial markets. (English) Zbl 07327204 J. Econom. 222, No. 1, 468-483 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{S. Chen} et al., J. Econom. 222, No. 1, 468--483 (2021; Zbl 07327204) Full Text: DOI
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; Lu, Zhiping; Zhou, Yong; Wang, Yazhen Volatility analysis with realized GARCH-Itô models. (English) Zbl 07327200 J. Econom. 222, No. 1, 393-410 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{X. Song} et al., J. Econom. 222, No. 1, 393--410 (2021; Zbl 07327200) Full Text: DOI
Bahl, Raj Kumari; Sabanis, Sotirios Model-independent price bounds for catastrophic mortality bonds. (English) Zbl 07324199 Insur. Math. Econ. 96, 276-291 (2021). MSC: 91G05 91G20 60G44 PDF BibTeX XML Cite \textit{R. K. Bahl} and \textit{S. Sabanis}, Insur. Math. Econ. 96, 276--291 (2021; Zbl 07324199) Full Text: DOI
Tocino, A.; Zeghdane, R.; Senosiaín, M. J. On the MS-stability of predictor-corrector schemes for stochastic differential equations. (English) Zbl 07318197 Math. Comput. Simul. 180, 289-305 (2021). MSC: 60H PDF BibTeX XML Cite \textit{A. Tocino} et al., Math. Comput. Simul. 180, 289--305 (2021; Zbl 07318197) Full Text: DOI
Fallah, Somayeh; Mehrdoust, Farshid CEV model equipped with the long-memory. (English) Zbl 07309617 J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{S. Fallah} and \textit{F. Mehrdoust}, J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021; Zbl 07309617) Full Text: DOI
Lee, Jung-Kyung An efficient numerical method for pricing American put options under the CEV model. (English) Zbl 07309591 J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021). MSC: 91G60 65N06 91G20 60G40 PDF BibTeX XML Cite \textit{J.-K. Lee}, J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021; Zbl 07309591) Full Text: DOI
Araneda, Axel A.; Villena, Marcelo J. Computing the CEV option pricing formula using the semiclassical approximation of path integral. (English) Zbl 07305202 J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021). MSC: 91G60 65R20 91G20 91G80 PDF BibTeX XML Cite \textit{A. A. Araneda} and \textit{M. J. Villena}, J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021; Zbl 07305202) Full Text: DOI
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for the two-asset Merton jump-diffusion model. (English) Zbl 07305168 J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021). MSC: 65M06 65N40 65T50 60J74 35R09 45K05 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{L. Boen} and \textit{K. J. in 't Hout}, J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021; Zbl 07305168) Full Text: DOI
Cao, Jiling; Kim, Jeong-Hoon; Zhang, Wenjun Pricing variance swaps under hybrid CEV and stochastic volatility. (English) Zbl 07305143 J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021; Zbl 07305143) Full Text: DOI
Fedorov, Vladimir E.; Dyshaev, Mikhail M. Group classification for a class of non-linear models of the RAPM type. (English) Zbl 1452.91306 Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021). MSC: 91G20 22E60 91G80 PDF BibTeX XML Cite \textit{V. E. Fedorov} and \textit{M. M. Dyshaev}, Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021; Zbl 1452.91306) Full Text: DOI
Emmanuel, Coffie; Mao, Xuerong Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay. (English) Zbl 1448.62146 J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021). MSC: 62P05 62M10 91G30 62-08 PDF BibTeX XML Cite \textit{C. Emmanuel} and \textit{X. Mao}, J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021; Zbl 1448.62146) Full Text: DOI
Georgiev, Slavi G.; Vulkov, Lubin G. Numerical identification of time-dependent volatility in European options with two-stage regime-switching. (English) Zbl 1448.91323 Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 249-261 (2021). MSC: 91G60 65M55 91G20 PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Stud. Comput. Intell. 902, 249--261 (2021; Zbl 1448.91323) Full Text: DOI
Shigeta, Yuki Gain/loss asymmetric stochastic differential utility. (English) Zbl 07331294 J. Econ. Dyn. Control 118, Article ID 103975, 21 p. (2020). MSC: 91 PDF BibTeX XML Cite \textit{Y. Shigeta}, J. Econ. Dyn. Control 118, Article ID 103975, 21 p. (2020; Zbl 07331294) Full Text: DOI
Kim, Jaemin; Lotfaliei, Babak Debt recapitalization and value in waiting to finance a project. (English) Zbl 07331144 Oper. Res. Lett. 48, No. 4, 421-427 (2020). MSC: 90 PDF BibTeX XML Cite \textit{J. Kim} and \textit{B. Lotfaliei}, Oper. Res. Lett. 48, No. 4, 421--427 (2020; Zbl 07331144) Full Text: DOI
Goard, Joanna Closed-form formulae for European options under three-factor models. (English) Zbl 07329671 Commun. Math. Stat. 8, No. 4, 379-408 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Goard}, Commun. Math. Stat. 8, No. 4, 379--408 (2020; Zbl 07329671) Full Text: DOI
Li, Hongshan; Huang, Zhongyi An iterative splitting method for pricing European options under the Heston model. (English) Zbl 07328879 Appl. Math. Comput. 387, Article ID 125424, 12 p. (2020). MSC: 65N06 35C20 35K20 PDF BibTeX XML Cite \textit{H. Li} and \textit{Z. Huang}, Appl. Math. Comput. 387, Article ID 125424, 12 p. (2020; Zbl 07328879) Full Text: DOI
Comtet, Alain; Cornu, Françoise; Schehr, Grégory Last-passage time for linear diffusions and application to the emptying time of a box. (English) Zbl 07327975 J. Stat. Phys. 181, No. 5, 1565-1602 (2020). MSC: 60G50 05C81 82B41 PDF BibTeX XML Cite \textit{A. Comtet} et al., J. Stat. Phys. 181, No. 5, 1565--1602 (2020; Zbl 07327975) Full Text: DOI
Kozpınar, Sinem; Uzunca, Murat; Karasözen, Bülent Pricing European and American options under Heston model using discontinuous Galerkin finite elements. (English) Zbl 07318117 Math. Comput. Simul. 177, 568-587 (2020). MSC: 65M60 91B25 91G80 PDF BibTeX XML Cite \textit{S. Kozpınar} et al., Math. Comput. Simul. 177, 568--587 (2020; Zbl 07318117) Full Text: DOI
Kim, Seong-Tae; Kim, Jeong-Hoon Stochastic elasticity of vol-of-vol and pricing of variance swaps. (English) Zbl 07318109 Math. Comput. Simul. 177, 420-440 (2020). MSC: 91G 91B PDF BibTeX XML Cite \textit{S.-T. Kim} and \textit{J.-H. Kim}, Math. Comput. Simul. 177, 420--440 (2020; Zbl 07318109) Full Text: DOI
Dube, Mbakisi; Patidar, Kailash C. A robust nonstandard finite difference scheme for pricing real estate index options. (English) Zbl 07314943 J. Difference Equ. Appl. 26, No. 11-12, 1471-1493 (2020). MSC: 35Q91 91G20 91G60 35K20 65M06 65M12 65D07 PDF BibTeX XML Cite \textit{M. Dube} and \textit{K. C. Patidar}, J. Difference Equ. Appl. 26, No. 11--12, 1471--1493 (2020; Zbl 07314943) Full Text: DOI
Ren, Panpan; Wang, Feng-Yu Space-distribution PDEs for path independent additive functionals of McKean-Vlasov SDEs. (English) Zbl 07308691 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 3, Article ID 2050018, 15 p. (2020). MSC: 60H15 60J60 58J65 PDF BibTeX XML Cite \textit{P. Ren} and \textit{F.-Y. Wang}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 23, No. 3, Article ID 2050018, 15 p. (2020; Zbl 07308691) Full Text: DOI
Tiwari, Archana; Bhattacharyya, Debanjana; Pati, K. C. Controllabilty and stability analysis on a group associated with Black-Scholes equation. (English) Zbl 07308286 Arch. Control Sci. 30, No. 3, 553-573 (2020). MSC: 93B05 93C20 35J10 91G20 93D05 PDF BibTeX XML Cite \textit{A. Tiwari} et al., Arch. Control Sci. 30, No. 3, 553--573 (2020; Zbl 07308286) Full Text: DOI
Madan, Dilip B.; Wang, King Additive processes with bilateral gamma marginals. (English) Zbl 07307491 Appl. Math. Finance 27, No. 3, 171-188 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{K. Wang}, Appl. Math. Finance 27, No. 3, 171--188 (2020; Zbl 07307491) Full Text: DOI
Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T. Option pricing in markets with informed traders. (English) Zbl 07303454 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Hu} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020; Zbl 07303454) Full Text: DOI
Graf, Stefan; Korn, Ralf A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes. (English) Zbl 07299064 Eur. Actuar. J. 10, No. 2, 273-293 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91G60 65C05 PDF BibTeX XML Cite \textit{S. Graf} and \textit{R. Korn}, Eur. Actuar. J. 10, No. 2, 273--293 (2020; Zbl 07299064) Full Text: DOI
Capotorti, Andrea; Figà-Talamanca, Gianna SMART-or and SMART-and fuzzy average operators: a generalized proposal. (English) Zbl 1452.03109 Fuzzy Sets Syst. 395, 1-20 (2020). MSC: 03E72 91G20 PDF BibTeX XML Cite \textit{A. Capotorti} and \textit{G. Figà-Talamanca}, Fuzzy Sets Syst. 395, 1--20 (2020; Zbl 1452.03109) Full Text: DOI
Dam, Henrik T.; Macrina, Andrea; Skovmand, David; Sloth, David Rational models for inflation-linked derivatives. (English) Zbl 1455.91254 SIAM J. Financ. Math. 11, No. 4, 974-1006 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{H. T. Dam} et al., SIAM J. Financ. Math. 11, No. 4, 974--1006 (2020; Zbl 1455.91254) Full Text: DOI
Kalemkerian, Juan; Sosa, Andrés Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices. (English) Zbl 1455.91261 J. Dyn. Games 7, No. 3, 225-237 (2020). MSC: 91G30 60G22 PDF BibTeX XML Cite \textit{J. Kalemkerian} and \textit{A. Sosa}, J. Dyn. Games 7, No. 3, 225--237 (2020; Zbl 1455.91261) Full Text: DOI
Knowles, Ian; Mahato, Ajay The inverse volatility problem for American options. (English) Zbl 1455.35301 Discrete Contin. Dyn. Syst., Ser. S 13, No. 12, 3473-3489 (2020). MSC: 35R30 35K10 35Q91 65N21 91G50 PDF BibTeX XML Cite \textit{I. Knowles} and \textit{A. Mahato}, Discrete Contin. Dyn. Syst., Ser. S 13, No. 12, 3473--3489 (2020; Zbl 1455.35301) Full Text: DOI
Naz, Rehana; Naeem, Imran Exact solutions of a Black-Scholes model with time-dependent parameters by utilizing potential symmetries. (English) Zbl 1451.76101 Discrete Contin. Dyn. Syst., Ser. S 13, No. 10, 2841-2851 (2020). MSC: 76M60 83C15 35L65 PDF BibTeX XML Cite \textit{R. Naz} and \textit{I. Naeem}, Discrete Contin. Dyn. Syst., Ser. S 13, No. 10, 2841--2851 (2020; Zbl 1451.76101) Full Text: DOI
Nikulin, E. E.; Pekhterev, A. A. Turbulence on financial markets and multiplicative cascade model of volatility. (Russian. English summary) Zbl 1454.91258 Mat. Model. 32, No. 12, 43-54 (2020). MSC: 91G15 PDF BibTeX XML Cite \textit{E. E. Nikulin} and \textit{A. A. Pekhterev}, Mat. Model. 32, No. 12, 43--54 (2020; Zbl 1454.91258) Full Text: DOI MNR
Maciak, Matúš; Pešta, Michal; Vitali, Sebastiano Implied volatility surface estimation via quantile regularization. (English) Zbl 1455.62204 Maciak, Matúš (ed.) et al., Analytical methods in statistics. AMISTAT. Proceedings of the workshop, Liberec, Czech Republic, September 16–19, 2019. Cham: Springer. Springer Proc. Math. Stat. 329, 73-87 (2020). MSC: 62P05 62D20 62G08 62J07 PDF BibTeX XML Cite \textit{M. Maciak} et al., Springer Proc. Math. Stat. 329, 73--87 (2020; Zbl 1455.62204) Full Text: DOI
Bae, Hyeong-Ohk; Ha, Seung-Yeal; Kim, Yongsik; Lim, Hyuncheul; Yoo, Jane Volatility flocking by Cucker-Smale mechanism in financial markets. (English) Zbl 1451.91181 Asia-Pac. Financ. Mark. 27, No. 3, 387-414 (2020). MSC: 91G15 PDF BibTeX XML Cite \textit{H.-O. Bae} et al., Asia-Pac. Financ. Mark. 27, No. 3, 387--414 (2020; Zbl 1451.91181) Full Text: DOI
Le Courtois, Olivier; Lévy-Véhel, Jacques; Walter, Christian Regulation risk. (English) Zbl 1454.91341 N. Am. Actuar. J. 24, No. 3, 463-474 (2020). MSC: 91G45 91G70 PDF BibTeX XML Cite \textit{O. Le Courtois} et al., N. Am. Actuar. J. 24, No. 3, 463--474 (2020; Zbl 1454.91341) Full Text: DOI
Wiese, Magnus; Knobloch, Robert; Korn, Ralf; Kretschmer, Peter Quant GANs: deep generation of financial time series. (English) Zbl 1454.91366 Quant. Finance 20, No. 9, 1419-1440 (2020). MSC: 91G70 91G80 62M10 PDF BibTeX XML Cite \textit{M. Wiese} et al., Quant. Finance 20, No. 9, 1419--1440 (2020; Zbl 1454.91366) Full Text: DOI
Jäckel, Peter Strike from volatility and delta-with-premium. (English) Zbl 1454.91292 Quant. Finance 20, No. 8, 1227-1235 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 PDF BibTeX XML Cite \textit{P. Jäckel}, Quant. Finance 20, No. 8, 1227--1235 (2020; Zbl 1454.91292) Full Text: DOI
Verschuren, Robert Matthijs Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model. (English) Zbl 1454.91323 Quant. Finance 20, No. 7, 1123-1148 (2020). MSC: 91G30 PDF BibTeX XML Cite \textit{R. M. Verschuren}, Quant. Finance 20, No. 7, 1123--1148 (2020; Zbl 1454.91323) Full Text: DOI
He, Xin-Jiang; Zhu, Song-Ping A revised option pricing formula with the underlying being banned from short selling. (English) Zbl 1454.91289 Quant. Finance 20, No. 6, 935-948 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{X.-J. He} and \textit{S.-P. Zhu}, Quant. Finance 20, No. 6, 935--948 (2020; Zbl 1454.91289) Full Text: DOI
Kiiski, Matti The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. (English) Zbl 1453.60098 Finance Stoch. 24, No. 4, 827-870 (2020). MSC: 60G44 28C05 54D30 60B05 60G05 PDF BibTeX XML Cite \textit{M. Kiiski}, Finance Stoch. 24, No. 4, 827--870 (2020; Zbl 1453.60098) Full Text: DOI
Dias, José Carlos; Nunes, João Pedro Vidal; Cruz, Aricson A note on options and bubbles under the CEV model: implications for pricing and hedging. (English) Zbl 1451.91196 Rev. Deriv. Res. 23, No. 3, 249-272 (2020). MSC: 91G20 60G44 PDF BibTeX XML Cite \textit{J. C. Dias} et al., Rev. Deriv. Res. 23, No. 3, 249--272 (2020; Zbl 1451.91196) Full Text: DOI
Guo, Jia-Hau; Chang, Lung-Fu A generalization of option pricing to price-limit markets. (English) Zbl 1451.91197 Rev. Deriv. Res. 23, No. 2, 145-161 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{J.-H. Guo} and \textit{L.-F. Chang}, Rev. Deriv. Res. 23, No. 2, 145--161 (2020; Zbl 1451.91197) Full Text: DOI
Zimmermann, Ralf Hermite interpolation and data processing errors on Riemannian matrix manifolds. (English) Zbl 1452.65085 SIAM J. Sci. Comput. 42, No. 5, A2593-A2619 (2020). MSC: 65F60 15A16 41A05 53-08 PDF BibTeX XML Cite \textit{R. Zimmermann}, SIAM J. Sci. Comput. 42, No. 5, A2593--A2619 (2020; Zbl 1452.65085) Full Text: DOI
Deng, Guohe Option pricing under two-factor stochastic volatility jump-diffusion model. (English) Zbl 1451.91195 Complexity 2020, Article ID 1960121, 15 p. (2020). MSC: 91G20 60H30 60J60 PDF BibTeX XML Cite \textit{G. Deng}, Complexity 2020, Article ID 1960121, 15 p. (2020; Zbl 1451.91195) Full Text: DOI
Tomovski, Živorad; Dubbeldam, Johan L. A.; Korbel, Jan Applications of Hilfer-Prabhakar operator to option pricing financial model. (English) Zbl 07268216 Fract. Calc. Appl. Anal. 23, No. 4, 996-1012 (2020). MSC: 26A33 34A08 91B25 91G20 PDF BibTeX XML Cite \textit{Ž. Tomovski} et al., Fract. Calc. Appl. Anal. 23, No. 4, 996--1012 (2020; Zbl 07268216) Full Text: DOI
Dautov, R. Z.; Lapin, A. V. Error estimates for backward Euler finite element approximations of American call option valuation. (English) Zbl 1445.91069 Lobachevskii J. Math. 41, No. 4, 475-490 (2020). MSC: 91G60 65M15 65M60 91G20 60G40 PDF BibTeX XML Cite \textit{R. Z. Dautov} and \textit{A. V. Lapin}, Lobachevskii J. Math. 41, No. 4, 475--490 (2020; Zbl 1445.91069) Full Text: DOI
Aliahmadi, Hazhir; Tavakoli-Kakhki, Mahsan; Khaloozadeh, Hamid Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation. (English) Zbl 07265404 Commun. Nonlinear Sci. Numer. Simul. 90, Article ID 105345, 21 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{H. Aliahmadi} et al., Commun. Nonlinear Sci. Numer. Simul. 90, Article ID 105345, 21 p. (2020; Zbl 07265404) Full Text: DOI
Gao, Yu; Song, Haiming; Wang, Xiaoshen; Zhang, Kai Primal-dual active set method for pricing American better-of option on two assets. (English) Zbl 1450.35258 Commun. Nonlinear Sci. Numer. Simul. 80, Article ID 104976, 15 p. (2020). MSC: 35Q91 91G20 91G60 35A35 65M06 65M60 65N30 65K10 65M12 35R35 PDF BibTeX XML Cite \textit{Y. Gao} et al., Commun. Nonlinear Sci. Numer. Simul. 80, Article ID 104976, 15 p. (2020; Zbl 1450.35258) Full Text: DOI
Lin, Sha; He, Xin-Jiang A regime switching fractional Black-Scholes model and European option pricing. (English) Zbl 1448.91299 Commun. Nonlinear Sci. Numer. Simul. 85, Article ID 105222, 11 p. (2020). MSC: 91G20 35R11 35Q91 91G60 42A99 PDF BibTeX XML Cite \textit{S. Lin} and \textit{X.-J. He}, Commun. Nonlinear Sci. Numer. Simul. 85, Article ID 105222, 11 p. (2020; Zbl 1448.91299) Full Text: DOI
Zhang, Qi; Song, Haiming; Yang, Chengbo; Wu, Fangfang An efficient numerical method for the valuation of American multi-asset options. (English) Zbl 07261307 Comput. Appl. Math. 39, No. 3, Paper No. 240, 12 p. (2020). MSC: 35A35 65M12 65M60 PDF BibTeX XML Cite \textit{Q. Zhang} et al., Comput. Appl. Math. 39, No. 3, Paper No. 240, 12 p. (2020; Zbl 07261307) Full Text: DOI
Lin, Sha; Zhu, Song-Ping Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme. (English) Zbl 1448.91325 Comput. Math. Appl. 79, No. 5, 1393-1419 (2020). MSC: 91G60 65M06 65M22 91G20 35Q91 PDF BibTeX XML Cite \textit{S. Lin} and \textit{S.-P. Zhu}, Comput. Math. Appl. 79, No. 5, 1393--1419 (2020; Zbl 1448.91325) Full Text: DOI
Chen, Xu; Ding, Deng; Lei, Siu-Long; Wang, Wenfei A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models. (English) Zbl 1448.65096 Comput. Math. Appl. 79, No. 2, 440-456 (2020). MSC: 65M06 65F08 35R11 91G30 91G15 PDF BibTeX XML Cite \textit{X. Chen} et al., Comput. Math. Appl. 79, No. 2, 440--456 (2020; Zbl 1448.65096) Full Text: DOI
Hutzenthaler, Martin; Jentzen, Arnulf; von Wurstemberger, Philippe Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks. (English) Zbl 07252695 Electron. J. Probab. 25, Paper No. 101, 73 p. (2020). MSC: 60H35 PDF BibTeX XML Cite \textit{M. Hutzenthaler} et al., Electron. J. Probab. 25, Paper No. 101, 73 p. (2020; Zbl 07252695) Full Text: DOI Euclid
Charalambous, Chris; Martzoukos, Spiros H.; Taoushianis, Zenon Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S. (English) Zbl 1448.91321 Quant. Finance 20, No. 2, 329-346 (2020). MSC: 91G50 PDF BibTeX XML Cite \textit{C. Charalambous} et al., Quant. Finance 20, No. 2, 329--346 (2020; Zbl 1448.91321) Full Text: DOI
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. Representation of exchange option prices under stochastic volatility jump-diffusion dynamics. (English) Zbl 1448.91294 Quant. Finance 20, No. 2, 291-310 (2020); correction ibid. 20, No. 2, ei (2020). MSC: 91G20 60G40 60J74 PDF BibTeX XML Cite \textit{G. H. L. Cheang} and \textit{L. P. D. M. Garces}, Quant. Finance 20, No. 2, 291--310 (2020; Zbl 1448.91294) Full Text: DOI
Yan, Dong; Zhu, Song-Ping; Lu, Xiaoping A numerical study of the utility-indifference approach for pricing American options. (English) Zbl 1448.91326 Comput. Math. Appl. 80, No. 5, 894-905 (2020). MSC: 91G60 65M06 91G20 PDF BibTeX XML Cite \textit{D. Yan} et al., Comput. Math. Appl. 80, No. 5, 894--905 (2020; Zbl 1448.91326) Full Text: DOI
Krzyżanowski, Grzegorz; Magdziarz, Marcin; Płociniczak, Łukasz A weighted finite difference method for subdiffusive Black-Scholes model. (English) Zbl 1447.65024 Comput. Math. Appl. 80, No. 5, 653-670 (2020). MSC: 65M06 65M12 35R11 26A33 91G60 91G20 PDF BibTeX XML Cite \textit{G. Krzyżanowski} et al., Comput. Math. Appl. 80, No. 5, 653--670 (2020; Zbl 1447.65024) Full Text: DOI
Song, Xinyu; Wang, Yazhen GARCH quasi-likelihood ratios for SV model and the diffusion limit. (English) Zbl 1447.62097 Stat. Probab. Lett. 165, Article ID 108817, 6 p. (2020). MSC: 62M07 62M10 60H15 60J60 62P05 PDF BibTeX XML Cite \textit{X. Song} and \textit{Y. Wang}, Stat. Probab. Lett. 165, Article ID 108817, 6 p. (2020; Zbl 1447.62097) Full Text: DOI
Bhadane, Pradip R.; Ghadle, Kirtiwant P.; Hamoud, Ahmed A. Approximate solution of fractional Black-Scholes European option pricing equation by using ETHPM. (Approximate solution of fractional Black-Schole’s European option pricing equation by using ETHPM.) (English) Zbl 1453.91106 Nonlinear Funct. Anal. Appl. 25, No. 2, 331-344 (2020). MSC: 91G60 65M99 65R10 35R11 91G20 PDF BibTeX XML Cite \textit{P. R. Bhadane} et al., Nonlinear Funct. Anal. Appl. 25, No. 2, 331--344 (2020; Zbl 1453.91106) Full Text: Link
Fergusson, Kevin Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic. (English) Zbl 1447.91136 ASTIN Bull. 50, No. 2, 381-417 (2020). MSC: 91G05 91G30 91G10 PDF BibTeX XML Cite \textit{K. Fergusson}, ASTIN Bull. 50, No. 2, 381--417 (2020; Zbl 1447.91136) Full Text: DOI
Dorobantu, Diana; Salhi, Yahia; Thérond, Pierre-E. Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities. (English) Zbl 1447.91135 Methodol. Comput. Appl. Probab. 22, No. 2, 711-745 (2020). MSC: 91G05 62P05 60J70 PDF BibTeX XML Cite \textit{D. Dorobantu} et al., Methodol. Comput. Appl. Probab. 22, No. 2, 711--745 (2020; Zbl 1447.91135) Full Text: DOI
Shokrollahi, Foad The valuation of European option under subdiffusive fractional Brownian motion of the short rate. (English) Zbl 1447.91184 Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050022, 16 p. (2020). MSC: 91G20 91G80 60G22 PDF BibTeX XML Cite \textit{F. Shokrollahi}, Int. J. Theor. Appl. Finance 23, No. 4, Article ID 2050022, 16 p. (2020; Zbl 1447.91184) Full Text: DOI
Pellegrino, Tommaso Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives. (English) Zbl 1447.91181 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050021, 30 p. (2020). MSC: 91G20 34E15 PDF BibTeX XML Cite \textit{T. Pellegrino}, Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050021, 30 p. (2020; Zbl 1447.91181) Full Text: DOI
Grishenko, Olesya; Han, Xiao; Nistor, Victor A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (English) Zbl 1441.91075 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020). MSC: 91G20 91G80 35K08 41A60 PDF BibTeX XML Cite \textit{O. Grishenko} et al., Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020; Zbl 1441.91075) Full Text: DOI
Attalienti, Antonio; Bufalo, Michele Option pricing formulas under a change of numèraire. (English) Zbl 1444.91205 Opusc. Math. 40, No. 4, 451-473 (2020). MSC: 91G20 60G46 PDF BibTeX XML Cite \textit{A. Attalienti} and \textit{M. Bufalo}, Opusc. Math. 40, No. 4, 451--473 (2020; Zbl 1444.91205) Full Text: DOI
Nunes, João Pedro Vidal; Dias, José Carlos; Ruas, João Pedro The early exercise boundary under the jump to default extended CEV model. (English) Zbl 1439.35510 Appl. Math. Optim. 82, No. 1, 151-181 (2020). MSC: 35R09 60G40 60J55 60J60 PDF BibTeX XML Cite \textit{J. P. V. Nunes} et al., Appl. Math. Optim. 82, No. 1, 151--181 (2020; Zbl 1439.35510) Full Text: DOI
Liu, Jin; Zhang, Yi The stability analysis for uncertain heat equations based on \(p\)-th moment. (English) Zbl 1436.35217 Soft Comput. 24, No. 4, 2833-2839 (2020). MSC: 35K05 35B35 35R13 PDF BibTeX XML Cite \textit{J. Liu} and \textit{Y. Zhang}, Soft Comput. 24, No. 4, 2833--2839 (2020; Zbl 1436.35217) Full Text: DOI
Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco Market attention and Bitcoin price modeling: theory, estimation and option pricing. (English) Zbl 1444.91208 Decis. Econ. Finance 43, No. 1, 187-228 (2020). MSC: 91G20 91G99 62P05 91B70 PDF BibTeX XML Cite \textit{A. Cretarola} et al., Decis. Econ. Finance 43, No. 1, 187--228 (2020; Zbl 1444.91208) Full Text: DOI
Muzzioli, Silvia; Gambarelli, Luca; De Baets, Bernard Option implied moments obtained through fuzzy regression. (English) Zbl 1442.62171 Fuzzy Optim. Decis. Mak. 19, No. 2, 211-238 (2020). MSC: 62J86 62M20 62P20 PDF BibTeX XML Cite \textit{S. Muzzioli} et al., Fuzzy Optim. Decis. Mak. 19, No. 2, 211--238 (2020; Zbl 1442.62171) Full Text: DOI
Li, Nan; Wang, Song; Zhang, Shuhua Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method. (English) Zbl 1449.90170 J. Ind. Manag. Optim. 16, No. 3, 1349-1368 (2020). MSC: 90B50 PDF BibTeX XML Cite \textit{N. Li} et al., J. Ind. Manag. Optim. 16, No. 3, 1349--1368 (2020; Zbl 1449.90170) Full Text: DOI
Kirkby, J. Lars; Mitra, Sovan; Nguyen, Duy An analysis of dollar cost averaging and market timing investment strategies. (English) Zbl 1443.91264 Eur. J. Oper. Res. 286, No. 3, 1168-1186 (2020). MSC: 91G10 91G20 PDF BibTeX XML Cite \textit{J. L. Kirkby} et al., Eur. J. Oper. Res. 286, No. 3, 1168--1186 (2020; Zbl 1443.91264) Full Text: DOI
Driouchi, Tarik; Trigeorgis, Lenos; So, Raymond H. Y. Individual antecedents of real options appraisal: the role of national culture and ambiguity. (English) Zbl 1443.91323 Eur. J. Oper. Res. 286, No. 3, 1018-1032 (2020). MSC: 91G50 91B06 91B16 PDF BibTeX XML Cite \textit{T. Driouchi} et al., Eur. J. Oper. Res. 286, No. 3, 1018--1032 (2020; Zbl 1443.91323) Full Text: DOI
Tour, Geraldine; Thakoor, Nawdha; Ma, Jingtang; Tangman, Désiré Yannick A spectral element method for option pricing under regime-switching with jumps. (English) Zbl 1442.65463 J. Sci. Comput. 83, No. 3, Paper No. 61, 31 p. (2020). MSC: 65R20 91G20 91G60 91G80 PDF BibTeX XML Cite \textit{G. Tour} et al., J. Sci. Comput. 83, No. 3, Paper No. 61, 31 p. (2020; Zbl 1442.65463) Full Text: DOI
Guan, Chonghu A fully nonlinear free boundary problem for minimizing the ruin probability. (English) Zbl 1440.35348 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 198, Article ID 111924, 14 p. (2020). MSC: 35R35 35Q91 91B70 93E20 PDF BibTeX XML Cite \textit{C. Guan}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 198, Article ID 111924, 14 p. (2020; Zbl 1440.35348) Full Text: DOI
Cuomo, S.; Piccialli, F.; Sica, F. RBF methods in a stochastic volatility framework for Greeks computation. (English) Zbl 1443.91326 J. Comput. Appl. Math. 380, Article ID 112987, 7 p. (2020). MSC: 91G60 65M99 91G20 PDF BibTeX XML Cite \textit{S. Cuomo} et al., J. Comput. Appl. Math. 380, Article ID 112987, 7 p. (2020; Zbl 1443.91326) Full Text: DOI
Patel, Kuldip Singh; Mehra, Mani Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients. (English) Zbl 1440.65097 J. Comput. Appl. Math. 380, Article ID 112963, 14 p. (2020). MSC: 65M06 26A33 35R11 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{K. S. Patel} and \textit{M. Mehra}, J. Comput. Appl. Math. 380, Article ID 112963, 14 p. (2020; Zbl 1440.65097) Full Text: DOI
Vidal Nunes, João Pedro; Ruas, João Pedro; Dias, José Carlos Early exercise boundaries for American-style knock-out options. (English) Zbl 1441.91079 Eur. J. Oper. Res. 285, No. 2, 753-766 (2020). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{J. P. Vidal Nunes} et al., Eur. J. Oper. Res. 285, No. 2, 753--766 (2020; Zbl 1441.91079) Full Text: DOI
Wang, Xingchun; Xu, Guangli; Li, Dan A closed-form GARCH valuation model for power exchange options with counterparty risk. (English) Zbl 1443.91302 Probab. Eng. Inf. Sci. 34, No. 2, 279-296 (2020). MSC: 91G20 91G45 62P05 PDF BibTeX XML Cite \textit{X. Wang} et al., Probab. Eng. Inf. Sci. 34, No. 2, 279--296 (2020; Zbl 1443.91302) Full Text: DOI
Zhang, Shuhua; Yang, Zhuo; Wang, Song Design of green bonds by double-barrier options. (English) Zbl 1443.91304 Discrete Contin. Dyn. Syst., Ser. S 13, No. 6, 1867-1882 (2020). MSC: 91G20 91B76 PDF BibTeX XML Cite \textit{S. Zhang} et al., Discrete Contin. Dyn. Syst., Ser. S 13, No. 6, 1867--1882 (2020; Zbl 1443.91304) Full Text: DOI
Ruiz Goldstein, Giséle; Goldstein, Jerome A.; Mininni, Rosa Maria; Romanelli, Silvia A generalized Cox-Ingersoll-Ross equation with growing initial conditions. (English) Zbl 1446.35044 Discrete Contin. Dyn. Syst., Ser. S 13, No. 5, 1513-1528 (2020). MSC: 35K15 35K65 47D06 35Q91 PDF BibTeX XML Cite \textit{G. Ruiz Goldstein} et al., Discrete Contin. Dyn. Syst., Ser. S 13, No. 5, 1513--1528 (2020; Zbl 1446.35044) Full Text: DOI
Hollstein, Fabian; Wese Simen, Chardin Variance risk: a bird’s eye view. (English) Zbl 07202734 J. Econom. 215, No. 2, 517-535 (2020). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{F. Hollstein} and \textit{C. Wese Simen}, J. Econom. 215, No. 2, 517--535 (2020; Zbl 07202734) Full Text: DOI
Cruz, Aricson; Dias, José Carlos Valuing American-style options under the CEV model: an integral representation based method. (English) Zbl 1437.91427 Rev. Deriv. Res. 23, No. 1, 63-83 (2020). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{A. Cruz} and \textit{J. C. Dias}, Rev. Deriv. Res. 23, No. 1, 63--83 (2020; Zbl 1437.91427) Full Text: DOI
Mitra, Sovan Downside risk measurement in regime switching stochastic volatility. (English) Zbl 1437.91461 J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{S. Mitra}, J. Comput. Appl. Math. 378, Article ID 112845, 17 p. (2020; Zbl 1437.91461) Full Text: DOI
Song, Yuping; Hou, Weijie; Yang, Guang Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model. (English) Zbl 1437.62167 Methodol. Comput. Appl. Probab. 22, No. 1, 191-221 (2020). MSC: 62G20 62M05 60J60 62P05 PDF BibTeX XML Cite \textit{Y. Song} et al., Methodol. Comput. Appl. Probab. 22, No. 1, 191--221 (2020; Zbl 1437.62167) Full Text: DOI
Wu, Tung-Lung Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries. (English) Zbl 1437.60050 Methodol. Comput. Appl. Probab. 22, No. 1, 13-24 (2020). MSC: 60J65 60J70 60J60 60J10 PDF BibTeX XML Cite \textit{T.-L. Wu}, Methodol. Comput. Appl. Probab. 22, No. 1, 13--24 (2020; Zbl 1437.60050) Full Text: DOI
Roul, Pradip; Prasad Goura, V. M. K. A sixth order numerical method and its convergence for generalized Black-Scholes PDE. (English) Zbl 1437.65110 J. Comput. Appl. Math. 377, Article ID 112881, 19 p. (2020). MSC: 65M06 65N35 65D07 65M12 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{P. Roul} and \textit{V. M. K. Prasad Goura}, J. Comput. Appl. Math. 377, Article ID 112881, 19 p. (2020; Zbl 1437.65110) Full Text: DOI
Caginalp, Carey; Caginalp, Gunduz Asset price volatility and price extrema. (English) Zbl 1437.91440 Discrete Contin. Dyn. Syst., Ser. B 25, No. 5, 1935-1958 (2020). MSC: 91G30 91B42 60H10 PDF BibTeX XML Cite \textit{C. Caginalp} and \textit{G. Caginalp}, Discrete Contin. Dyn. Syst., Ser. B 25, No. 5, 1935--1958 (2020; Zbl 1437.91440) Full Text: DOI
Bellassoued, Mourad; Brummelhuis, Raymond; Cristofol, Michel; Soccorsi, Éric Stable reconstruction of the volatility in a regime-switching local-volatility model. (English) Zbl 1434.35279 Math. Control Relat. Fields 10, No. 1, 189-215 (2020). MSC: 35R30 35K10 35Q91 91G20 PDF BibTeX XML Cite \textit{M. Bellassoued} et al., Math. Control Relat. Fields 10, No. 1, 189--215 (2020; Zbl 1434.35279) Full Text: DOI
Arabas, Sylwester; Farhat, Ahmad Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations. (English) Zbl 1437.91451 J. Comput. Appl. Math. 373, Article ID 112275, 10 p. (2020). MSC: 91G60 65M06 91G20 35Q91 60G40 PDF BibTeX XML Cite \textit{S. Arabas} and \textit{A. Farhat}, J. Comput. Appl. Math. 373, Article ID 112275, 10 p. (2020; Zbl 1437.91451) Full Text: DOI
Bender, Christian; Thiel, Matthias Arbitrage-free interpolation of call option prices. (English) Zbl 1433.91193 Stat. Risk. Model. 37, No. 1-2, 55-78 (2020). MSC: 91G60 65D05 91G20 PDF BibTeX XML Cite \textit{C. Bender} and \textit{M. Thiel}, Stat. Risk. Model. 37, No. 1--2, 55--78 (2020; Zbl 1433.91193) Full Text: DOI
Izhakian, Yehuda A theoretical foundation of ambiguity measurement. (English) Zbl 1437.91146 J. Econ. Theory 187, Article ID 105001, 43 p. (2020). MSC: 91B06 91G30 PDF BibTeX XML Cite \textit{Y. Izhakian}, J. Econ. Theory 187, Article ID 105001, 43 p. (2020; Zbl 1437.91146) Full Text: DOI
Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; Fabozzi, Frank J. Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. (English) Zbl 1437.91435 Ann. Finance 16, No. 1, 141-157 (2020). MSC: 91G20 91G40 91G45 PDF BibTeX XML Cite \textit{V. Russo} et al., Ann. Finance 16, No. 1, 141--157 (2020; Zbl 1437.91435) Full Text: DOI
Sheng, De-Lei; Shen, Peilong Portfolio optimization with asset-liability ratio regulation constraints. (English) Zbl 1435.91173 Complexity 2020, Article ID 1435356, 13 p. (2020). MSC: 91G10 90C15 93E20 PDF BibTeX XML Cite \textit{D.-L. Sheng} and \textit{P. Shen}, Complexity 2020, Article ID 1435356, 13 p. (2020; Zbl 1435.91173) Full Text: DOI
Cuomo, Salvatore; Sica, Federica; Toraldo, Gerardo Greeks computation in the option pricing problem by means of RBF-PU methods. (English) Zbl 1437.91453 J. Comput. Appl. Math. 376, Article ID 112882, 14 p. (2020). MSC: 91G60 65D12 91G20 PDF BibTeX XML Cite \textit{S. Cuomo} et al., J. Comput. Appl. Math. 376, Article ID 112882, 14 p. (2020; Zbl 1437.91453) Full Text: DOI
Echenim, Mnacho; Guiol, Hervé; Peltier, Nicolas Formalizing the Cox-Ross-Rubinstein pricing of European derivatives in Isabelle/HOL. (English) Zbl 07187045 J. Autom. Reasoning 64, No. 4, 737-765 (2020). MSC: 68V15 PDF BibTeX XML Cite \textit{M. Echenim} et al., J. Autom. Reasoning 64, No. 4, 737--765 (2020; Zbl 07187045) Full Text: DOI
Tian, Yingxu; Zhang, Haoyan European option pricing under stochastic volatility jump-diffusion models with transaction cost. (English) Zbl 1435.91199 Comput. Math. Appl. 79, No. 9, 2722-2741 (2020). MSC: 91G60 91G20 45K05 PDF BibTeX XML Cite \textit{Y. Tian} and \textit{H. Zhang}, Comput. Math. Appl. 79, No. 9, 2722--2741 (2020; Zbl 1435.91199) Full Text: DOI
Estrada, Ernesto ‘Hubs-repelling’ Laplacian and related diffusion on graphs/networks. (English) Zbl 1435.05127 Linear Algebra Appl. 596, 256-280 (2020). MSC: 05C50 05C82 15A18 47N50 PDF BibTeX XML Cite \textit{E. Estrada}, Linear Algebra Appl. 596, 256--280 (2020; Zbl 1435.05127) 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 Link
Dyshaev, Mikhaĭl Mikhaĭlovich; Fedorov, Vladimir Evgen’evich The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs. (English) Zbl 1433.91174 Izv. Irkutsk. Gos. Univ., Ser. Mat. 31, 3-17 (2020). MSC: 91G20 91G10 91G60 PDF BibTeX XML Cite \textit{M. M. Dyshaev} and \textit{V. E. Fedorov}, Izv. Irkutsk. Gos. Univ., Ser. Mat. 31, 3--17 (2020; Zbl 1433.91174) Full Text: DOI Link
Tiwari, Bhupendra Nath; Thakran, Dimple Singh; Sejwal, Priyanka; Vats, Antim; Yadav, Santosh Fractional order solutions to fractional order partial differential equations. (English) Zbl 1431.35236 S\(\vec{\text{e}}\)MA J. 77, No. 1, 27-46 (2020). MSC: 35R11 35Q60 35K05 PDF BibTeX XML Cite \textit{B. N. Tiwari} et al., S\(\vec{\text{e}}\)MA J. 77, No. 1, 27--46 (2020; Zbl 1431.35236) Full Text: DOI