Cheng, Panhong; Xu, Zhihong; Dai, Zexing Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment. (English) Zbl 07740223 Math. Financ. Econ. 17, No. 3, 429-455 (2023). MSC: 91-XX 60H10 60J70 60J76 PDF BibTeX XML Cite \textit{P. Cheng} et al., Math. Financ. Econ. 17, No. 3, 429--455 (2023; Zbl 07740223) Full Text: DOI
Pang, Xiaochuan; Zhu, Shushang; Cui, Xueting; Ma, Jiali Systemic risk of optioned portfolio: controllability and optimization. (English) Zbl 07737411 J. Econ. Dyn. Control 153, Article ID 104701, 29 p. (2023). MSC: 91-XX PDF BibTeX XML Cite \textit{X. Pang} et al., J. Econ. Dyn. Control 153, Article ID 104701, 29 p. (2023; Zbl 07737411) Full Text: DOI arXiv
Mendes, R. Vilela The fractional volatility model and rough volatility. (English) Zbl 07735468 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350010, 12 p. (2023). MSC: 91G20 60H07 60G22 PDF BibTeX XML Cite \textit{R. V. Mendes}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350010, 12 p. (2023; Zbl 07735468) Full Text: DOI arXiv
Kumar, Abhimanyu; Kumar, Sumit Novel computational technique for the direct estimation of risk-neutral density using call price data quotes. (English) Zbl 07735386 Comput. Appl. Math. 42, No. 6, Paper No. 270, 17 p. (2023). MSC: 91G20 62J07 PDF BibTeX XML Cite \textit{A. Kumar} and \textit{S. Kumar}, Comput. Appl. Math. 42, No. 6, Paper No. 270, 17 p. (2023; Zbl 07735386) Full Text: DOI
Wang, Chunpeng; Zhou, Yanan Carleman estimate and null controllability for a degenerate parabolic equation with a slightly superlinear reaction term. (English) Zbl 07735327 NoDEA, Nonlinear Differ. Equ. Appl. 30, No. 5, Paper No. 69, 32 p. (2023). MSC: 93B05 93C20 35K65 PDF BibTeX XML Cite \textit{C. Wang} and \textit{Y. Zhou}, NoDEA, Nonlinear Differ. Equ. Appl. 30, No. 5, Paper No. 69, 32 p. (2023; Zbl 07735327) Full Text: DOI
Vitali, Sebastiano; Kopa, Miloš; Giana, Gabriele Implied volatility smoothing at COVID-19 times. (English) Zbl 07730671 Comput. Manag. Sci. 20, No. 1, Paper No. 32, 42 p. (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{S. Vitali} et al., Comput. Manag. Sci. 20, No. 1, Paper No. 32, 42 p. (2023; Zbl 07730671) Full Text: DOI
Bakirova, L. N.; Shurygina, M. A.; Shurygin, V. V. jun. Symmetries of the Black-Scholes-Merton equation for European options. (English) Zbl 07730172 Lobachevskii J. Math. 44, No. 4, 1256-1263 (2023). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G20 35B06 PDF BibTeX XML Cite \textit{L. N. Bakirova} et al., Lobachevskii J. Math. 44, No. 4, 1256--1263 (2023; Zbl 07730172) Full Text: DOI arXiv
Tang, Wanxiao; Zhao, Peibiao A non-equilibrium geometric no-arbitrage principle. (English) Zbl 07727789 Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 73, 15 p. (2023). MSC: 91G15 PDF BibTeX XML Cite \textit{W. Tang} and \textit{P. Zhao}, Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 73, 15 p. (2023; Zbl 07727789) Full Text: DOI
Tang, H. S.; Chong, K. Y.; Kee, B. H. Invariant solutions of the Heston model for European option with dividend yield. (English) Zbl 07727662 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 30, No. 1, 79-87 (2023). MSC: 91G20 91B70 35Q91 PDF BibTeX XML Cite \textit{H. S. Tang} et al., Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 30, No. 1, 79--87 (2023; Zbl 07727662) Full Text: Link Link
El-Otmany, Hammou; Eddahbi, Mhamed; Almualim, Anwar; El Rhafiki, Tarik Stochastic modeling for describing crystallization droplets in water emulsion. (English) Zbl 07726171 Stochastic Processes Appl. 163, 237-261 (2023). MSC: 60H15 60H10 80A22 60H30 PDF BibTeX XML Cite \textit{H. El-Otmany} et al., Stochastic Processes Appl. 163, 237--261 (2023; Zbl 07726171) Full Text: DOI
Yu, Jun; Tomas, Michael J. An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation. (English) Zbl 07724163 J. Appl. Math. 2023, Article ID 6725686, 11 p. (2023). MSC: 91G20 35Q91 PDF BibTeX XML Cite \textit{J. Yu} and \textit{M. J. Tomas}, J. Appl. Math. 2023, Article ID 6725686, 11 p. (2023; Zbl 07724163) Full Text: DOI
Murzintseva, A. A.; Pergamenchtchikov, S. M.; Pchelintsev, E. A. Hedging problem for Asian call options with transaction costs. (English. Russian original) Zbl 07723257 Theory Probab. Appl. 68, No. 2, 211-230 (2023); translation from Teor. Veroyatn. Primen. 68, No. 2, 253-276 (2023). MSC: 91G20 PDF BibTeX XML Cite \textit{A. A. Murzintseva} et al., Theory Probab. Appl. 68, No. 2, 211--230 (2023; Zbl 07723257); translation from Teor. Veroyatn. Primen. 68, No. 2, 253--276 (2023) Full Text: DOI
Tang, Zhenyu; Zhong, Bin; Zhou, Liang; Shen, Chuanhe Structural credit risk model driven by Lévy process under knight uncertainty. (English) Zbl 07720634 Ann. Oper. Res. 326, No. 1, 281-294 (2023). MSC: 91G40 60G51 PDF BibTeX XML Cite \textit{Z. Tang} et al., Ann. Oper. Res. 326, No. 1, 281--294 (2023; Zbl 07720634) Full Text: DOI
Su, Xiaonan; Han, Miao; Xing, Yu; Wang, Wei Pricing and hedging for correlation options with regime switching and common jump risk. (English) Zbl 07720169 Commun. Stat., Theory Methods 52, No. 18, 6504-6524 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{X. Su} et al., Commun. Stat., Theory Methods 52, No. 18, 6504--6524 (2023; Zbl 07720169) Full Text: DOI
Zhu, Song-Ping; Zheng, Yawen An integral equation approach for pricing American put options under regime-switching model. (English) Zbl 1515.91163 Int. J. Comput. Math. 100, No. 7, 1454-1479 (2023). MSC: 91G60 65C30 65R20 91G20 60G40 PDF BibTeX XML Cite \textit{S.-P. Zhu} and \textit{Y. Zheng}, Int. J. Comput. Math. 100, No. 7, 1454--1479 (2023; Zbl 1515.91163) Full Text: DOI
Ko, Dongnam; Ha, Seung-Yeal; Lee, Euntaek; Shim, Woojoo Collective behaviors of stochastic agent-based models and applications to finance and optimization. (English) Zbl 07716185 Math. Models Methods Appl. Sci. 33, No. 7, 1373-1436 (2023). MSC: 34D05 34C15 60H10 70K20 92B25 PDF BibTeX XML Cite \textit{D. Ko} et al., Math. Models Methods Appl. Sci. 33, No. 7, 1373--1436 (2023; Zbl 07716185) Full Text: DOI
Bansal, Saurabh; Natesan, Srinivasan Richardson extrapolation technique for generalized Black-Scholes PDEs for European options. (English) Zbl 07714796 Comput. Appl. Math. 42, No. 5, Paper No. 238, 17 p. (2023). MSC: 65M06 65M12 65M15 PDF BibTeX XML Cite \textit{S. Bansal} and \textit{S. Natesan}, Comput. Appl. Math. 42, No. 5, Paper No. 238, 17 p. (2023; Zbl 07714796) Full Text: DOI
Li, Cuixiang; Liu, Huili; Liu, Lixia; Yao, Qiumei Pricing vulnerable options under jump diffusion processes using double Mellin transform. (English) Zbl 07713649 Commun. Stat., Simulation Comput. 52, No. 3, 703-716 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{C. Li} et al., Commun. Stat., Simulation Comput. 52, No. 3, 703--716 (2023; Zbl 07713649) Full Text: DOI
Guglielmi, Nicola; Manucci, Mattia Model order reduction in contour integral methods for parametric PDEs. (English) Zbl 1515.65234 SIAM J. Sci. Comput. 45, No. 4, A1711-A1740 (2023). MSC: 65M20 65J10 65L05 65M99 65R10 PDF BibTeX XML Cite \textit{N. Guglielmi} and \textit{M. Manucci}, SIAM J. Sci. Comput. 45, No. 4, A1711--A1740 (2023; Zbl 1515.65234) Full Text: DOI arXiv
Divandar, Mahin Sadat; Sadeghi, Ghadir The Itô integral and near-martingales in Riesz spaces. (English) Zbl 07710583 Commun. Stat., Theory Methods 52, No. 14, 5068-5081 (2023). MSC: 46A40 60G44 60G48 PDF BibTeX XML Cite \textit{M. S. Divandar} and \textit{G. Sadeghi}, Commun. Stat., Theory Methods 52, No. 14, 5068--5081 (2023; Zbl 07710583) Full Text: DOI
Tan, Li; Wang, Shengrong; Luo, Liangqing Strong convergence rate of implicit Euler scheme to a CIR model with delay. (English) Zbl 07710404 Appl. Numer. Math. 190, 15-26 (2023). MSC: 65C30 60H10 91G30 60H35 PDF BibTeX XML Cite \textit{L. Tan} et al., Appl. Numer. Math. 190, 15--26 (2023; Zbl 07710404) Full Text: DOI
Hussain, Javed Pricing of Quanto power options and related exotic options. (English) Zbl 07707604 Results Appl. Math. 18, Article ID 100371, 11 p. (2023). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Hussain}, Results Appl. Math. 18, Article ID 100371, 11 p. (2023; Zbl 07707604) Full Text: DOI
Blanc-Blocquel, Augusto; Ortiz-Gracia, Luis; Oviedo, Rodolfo Hedging at-the-money digital options near maturity. (English) Zbl 07706931 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 18, 18 p. (2023). MSC: 91G20 PDF BibTeX XML Cite \textit{A. Blanc-Blocquel} et al., Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 18, 18 p. (2023; Zbl 07706931) Full Text: DOI
Aimi, Alessandra; Guardasoni, Chiara; Ortiz-Gracia, Luis; Sanfelici, Simona Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code). (English) Zbl 1514.91202 Comput. Methods Appl. Math. 23, No. 2, 301-331 (2023). MSC: 91G60 65M38 65M80 91G20 91-04 PDF BibTeX XML Cite \textit{A. Aimi} et al., Comput. Methods Appl. Math. 23, No. 2, 301--331 (2023; Zbl 1514.91202) Full Text: DOI arXiv
Yin, Kai; Mondal, Anirban Bayesian uncertainty quantification of local volatility model. (English) Zbl 07705117 Sankhyā, Ser. B 85, No. 1, Suppl., S290-S324 (2023). MSC: 62F15 91B28 60G15 65C05 65D25 PDF BibTeX XML Cite \textit{K. Yin} and \textit{A. Mondal}, Sankhyā, Ser. B 85, No. 1, S290--S324 (2023; Zbl 07705117) Full Text: DOI arXiv
Das, Milan Kumar; Goswami, Anindya; Rajani, Sharan Inference of binary regime models with jump discontinuities. (English) Zbl 07705109 Sankhyā, Ser. B 85, No. 1, Suppl., S49-S86 (2023). MSC: 60J76 62F12 62M09 91G70 PDF BibTeX XML Cite \textit{M. K. Das} et al., Sankhyā, Ser. B 85, No. 1, S49--S86 (2023; Zbl 07705109) Full Text: DOI arXiv
Cao, Jiling; Kim, Jeong-Hoon; Li, Xi; Zhang, Wenjun Valuation of barrier and lookback options under hybrid CEV and stochastic volatility. (English) Zbl 07703422 Math. Comput. Simul. 208, 660-676 (2023). MSC: 91-XX 62-XX PDF BibTeX XML Cite \textit{J. Cao} et al., Math. Comput. Simul. 208, 660--676 (2023; Zbl 07703422) Full Text: DOI
Ma, Yong; Chen, Li; Lyu, Jianping Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility. (English) Zbl 07702493 Commun. Stat., Theory Methods 52, No. 7, 2043-2056 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Ma} et al., Commun. Stat., Theory Methods 52, No. 7, 2043--2056 (2023; Zbl 07702493) Full Text: DOI
Hussain, Sultan; Arif, Hifsa; Noorullah, Muhammad; Pantelous, Athanasios A. Pricing American options under Azzalini Ito-McKean skew Brownian motions. (English) Zbl 07701113 Appl. Math. Comput. 451, Article ID 128040, 14 p. (2023). MSC: 91G20 91A80 60G40 60J60 91G15 PDF BibTeX XML Cite \textit{S. Hussain} et al., Appl. Math. Comput. 451, Article ID 128040, 14 p. (2023; Zbl 07701113) Full Text: DOI
Kim, Hyun-Gyoon; Kim, Jeong-Hoon A stochastic-local volatility model with Lévy jumps for pricing derivatives. (English) Zbl 07701109 Appl. Math. Comput. 451, Article ID 128034, 17 p. (2023). MSC: 91Gxx 60Jxx 60Gxx PDF BibTeX XML Cite \textit{H.-G. Kim} and \textit{J.-H. Kim}, Appl. Math. Comput. 451, Article ID 128034, 17 p. (2023; Zbl 07701109) Full Text: DOI
Nyoumbi, Christelle Dleuna; Tambue, Antoine Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities. (English) Zbl 07701034 Math. Comput. Simul. 207, 388-416 (2023). MSC: 65-XX 76-XX PDF BibTeX XML Cite \textit{C. D. Nyoumbi} and \textit{A. Tambue}, Math. Comput. Simul. 207, 388--416 (2023; Zbl 07701034) Full Text: DOI
Gatta, Federico; Di Cola, Vincenzo Schiano; Giampaolo, Fabio; Piccialli, Francesco; Cuomo, Salvatore Meshless methods for American option pricing through physics-informed neural networks. (English) Zbl 07698636 Eng. Anal. Bound. Elem. 151, 68-82 (2023). MSC: 91-XX 68-XX PDF BibTeX XML Cite \textit{F. Gatta} et al., Eng. Anal. Bound. Elem. 151, 68--82 (2023; Zbl 07698636) Full Text: DOI
Alexander, Carol; Imeraj, Arben Delta hedging bitcoin options with a smile. (English) Zbl 07698411 Quant. Finance 23, No. 5, 799-817 (2023). MSC: 91G20 PDF BibTeX XML Cite \textit{C. Alexander} and \textit{A. Imeraj}, Quant. Finance 23, No. 5, 799--817 (2023; Zbl 07698411) Full Text: DOI
Funahashi, Hideharu SABR equipped with AI wings. (English) Zbl 07698380 Quant. Finance 23, No. 2, 229-249 (2023). MSC: 91G20 68T07 PDF BibTeX XML Cite \textit{H. Funahashi}, Quant. Finance 23, No. 2, 229--249 (2023; Zbl 07698380) Full Text: DOI
Mikkilä, Oskari; Kanniainen, Juho Empirical deep hedging. (English) Zbl 07698364 Quant. Finance 23, No. 1, 111-122 (2023). MSC: 91G20 68T07 PDF BibTeX XML Cite \textit{O. Mikkilä} and \textit{J. Kanniainen}, Quant. Finance 23, No. 1, 111--122 (2023; Zbl 07698364) Full Text: DOI
Ye, Wuyi; Wu, Bin; Chen, Pengzhan Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure. (English) Zbl 07696913 Probab. Eng. Inf. Sci. 37, No. 1, 245-274 (2023). MSC: 91G20 60G55 60J74 PDF BibTeX XML Cite \textit{W. Ye} et al., Probab. Eng. Inf. Sci. 37, No. 1, 245--274 (2023; Zbl 07696913) Full Text: DOI
Fishman, George S.; Stidham, Shaler An adaptive strategy for offering \(m\)-out-of-\(n\) insurance policies. (English) Zbl 07696906 Probab. Eng. Inf. Sci. 37, No. 1, 106-134 (2023). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{G. S. Fishman} and \textit{S. Stidham}, Probab. Eng. Inf. Sci. 37, No. 1, 106--134 (2023; Zbl 07696906) Full Text: DOI
Jacquier, Antoine; Oumgari, Mugad Deep curve-dependent PDEs for affine rough volatility. (English) Zbl 1516.91062 SIAM J. Financ. Math. 14, No. 2, 353-382 (2023). MSC: 91G20 35R15 60H30 68T07 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{M. Oumgari}, SIAM J. Financ. Math. 14, No. 2, 353--382 (2023; Zbl 1516.91062) Full Text: DOI arXiv
Damircheli, Davood; Razzaghi, Mohsen; Kazemi, Seyed-Mohammad-Mahdi; Bastani, Ali Foroush A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model. (English) Zbl 07688923 Eng. Anal. Bound. Elem. 150, 364-373 (2023). MSC: 65-XX 91-XX PDF BibTeX XML Cite \textit{D. Damircheli} et al., Eng. Anal. Bound. Elem. 150, 364--373 (2023; Zbl 07688923) Full Text: DOI
Sam, C. N.; Zhang, K. X.; Hon, Jeffrey M. H. Generalized finite integration method with space-time decomposition technique for solving high dimensional option pricing models. (English) Zbl 07687490 Eng. Anal. Bound. Elem. 146, 706-714 (2023). MSC: 65-XX 91-XX PDF BibTeX XML Cite \textit{C. N. Sam} et al., Eng. Anal. Bound. Elem. 146, 706--714 (2023; Zbl 07687490) Full Text: DOI
Tang, Wanxiao; Zhao, Peibiao Nonequilibrium geometric no-arbitrage principle and asset pricing theorem. (English) Zbl 1515.91156 Discrete Dyn. Nat. Soc. 2023, Article ID 9077099, 11 p. (2023). MSC: 91G20 58J65 PDF BibTeX XML Cite \textit{W. Tang} and \textit{P. Zhao}, Discrete Dyn. Nat. Soc. 2023, Article ID 9077099, 11 p. (2023; Zbl 1515.91156) Full Text: DOI
Sanford, Anthony State price density estimation with an application to the recovery theorem. (English) Zbl 07681762 Stud. Nonlinear Dyn. Econom. 27, No. 1, 97-115 (2023). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{A. Sanford}, Stud. Nonlinear Dyn. Econom. 27, No. 1, 97--115 (2023; Zbl 07681762) Full Text: DOI
Cavoretto, R.; De Rossi, A.; Perracchione, E. Learning with partition of unity-based kriging estimators. (English) Zbl 1511.65016 Appl. Math. Comput. 448, Article ID 127938, 14 p. (2023). MSC: 65D15 68T05 PDF BibTeX XML Cite \textit{R. Cavoretto} et al., Appl. Math. Comput. 448, Article ID 127938, 14 p. (2023; Zbl 1511.65016) Full Text: DOI
Tocino, Angel; Hernández Serrano, Daniel; Hernández-Serrano, Juan; Villarroel, Javier A stochastic simplicial SIS model for complex networks. (English) Zbl 1509.05163 Commun. Nonlinear Sci. Numer. Simul. 120, Article ID 107161, 17 p. (2023). MSC: 05C82 55U10 60H10 60H35 90B15 PDF BibTeX XML Cite \textit{A. Tocino} et al., Commun. Nonlinear Sci. Numer. Simul. 120, Article ID 107161, 17 p. (2023; Zbl 1509.05163) Full Text: DOI
Lépinette, Emmanuel; Vu, Duc Thinh Dynamic programming principle and computable prices in financial market models with transaction costs. (English) Zbl 1511.91145 J. Math. Anal. Appl. 524, No. 2, Article ID 127068, 27 p. (2023). MSC: 91G15 91G20 90C39 PDF BibTeX XML Cite \textit{E. Lépinette} and \textit{D. T. Vu}, J. Math. Anal. Appl. 524, No. 2, Article ID 127068, 27 p. (2023; Zbl 1511.91145) Full Text: DOI
Todorov, Viktor; Zhang, Yang Bias reduction in spot volatility estimation from options. (English) Zbl 07674649 J. Econom. 234, No. 1, 53-81 (2023). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{V. Todorov} and \textit{Y. Zhang}, J. Econom. 234, No. 1, 53--81 (2023; Zbl 07674649) Full Text: DOI
Madan, Dilip B.; Wang, King The valuation of corporations: a derivative pricing perspective. (English) Zbl 1511.91151 Ann. Finance 19, No. 1, 1-21 (2023). MSC: 91G20 91G50 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{K. Wang}, Ann. Finance 19, No. 1, 1--21 (2023; Zbl 1511.91151) Full Text: DOI
Cho, Junhyun; Yang, Donghee; Kim, Yejin; Lee, Sungchul An operator splitting method for multi-asset options with the Feynman-Kac formula. (English) Zbl 07667337 Comput. Math. Appl. 135, 93-101 (2023). MSC: 65-XX 81-XX PDF BibTeX XML Cite \textit{J. Cho} et al., Comput. Math. Appl. 135, 93--101 (2023; Zbl 07667337) Full Text: DOI
Zhao, Pingping; Xiang, Kaili; Chen, Peimin \(N\)-fold compound option pricing with technical risk under fractional jump-diffusion model. (English) Zbl 1516.91063 Optimization 72, No. 3, 713-735 (2023). MSC: 91G20 60G22 60J74 PDF BibTeX XML Cite \textit{P. Zhao} et al., Optimization 72, No. 3, 713--735 (2023; Zbl 1516.91063) Full Text: DOI
Ota, Yasushi; Jiang, Yu; Maki, Daiki Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach. (English) Zbl 07663298 Results Appl. Math. 17, Article ID 100353, 14 p. (2023). MSC: 65Cxx 91Gxx 35Rxx PDF BibTeX XML Cite \textit{Y. Ota} et al., Results Appl. Math. 17, Article ID 100353, 14 p. (2023; Zbl 07663298) Full Text: DOI arXiv
Barigou, Karim; Linders, Daniël; Yang, Fan Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. (English) Zbl 1511.91113 Scand. Actuar. J. 2023, No. 2, 191-217 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDF BibTeX XML Cite \textit{K. Barigou} et al., Scand. Actuar. J. 2023, No. 2, 191--217 (2023; Zbl 1511.91113) Full Text: DOI arXiv
Ghoudi, Kilani; Laïb, Naâmane; Chaouch, Mohamed Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations. (English) Zbl 07661832 J. Nonparametric Stat. 35, No. 1, 88-121 (2023). MSC: 62Gxx PDF BibTeX XML Cite \textit{K. Ghoudi} et al., J. Nonparametric Stat. 35, No. 1, 88--121 (2023; Zbl 07661832) Full Text: DOI arXiv
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro Lattice-based model for pricing contingent claims under mixed fractional Brownian motion. (English) Zbl 1507.91220 Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 107042, 13 p. (2023). MSC: 91G20 60G22 60G40 PDF BibTeX XML Cite \textit{M. Costabile} et al., Commun. Nonlinear Sci. Numer. Simul. 118, Article ID 107042, 13 p. (2023; Zbl 1507.91220) Full Text: DOI
Gong, Wenxiu; Xu, Zuoliang Reconstruction of local volatility surface from American options. (English) Zbl 1507.91237 J. Inverse Ill-Posed Probl. 31, No. 1, 91-102 (2023). MSC: 91G60 65M32 65D07 65M06 49M41 91G20 60G40 35Q91 PDF BibTeX XML Cite \textit{W. Gong} and \textit{Z. Xu}, J. Inverse Ill-Posed Probl. 31, No. 1, 91--102 (2023; Zbl 1507.91237) Full Text: DOI
Augustyniak, Maciej; Badescu, Alexandru; Bégin, Jean-François A discrete-time hedging framework with multiple factors and fat tails: on what matters. (English) Zbl 07648720 J. Econom. 232, No. 2, 416-444 (2023). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{M. Augustyniak} et al., J. Econom. 232, No. 2, 416--444 (2023; Zbl 07648720) Full Text: DOI
Zhang, Chenxi; Zhu, Quanxin Exponential stability of random perturbation nonlinear delay systems with intermittent stochastic noise. (English) Zbl 1506.93076 J. Franklin Inst. 360, No. 2, 792-812 (2023). MSC: 93D23 93E15 93C73 93C10 93C43 PDF BibTeX XML Cite \textit{C. Zhang} and \textit{Q. Zhu}, J. Franklin Inst. 360, No. 2, 792--812 (2023; Zbl 1506.93076) Full Text: DOI
He, Xin-Jiang; Lin, Sha A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching. (English) Zbl 1505.91382 Japan J. Ind. Appl. Math. 40, No. 1, 525-536 (2023). MSC: 91G20 60J20 PDF BibTeX XML Cite \textit{X.-J. He} and \textit{S. Lin}, Japan J. Ind. Appl. Math. 40, No. 1, 525--536 (2023; Zbl 1505.91382) Full Text: DOI
Luo, Cheng; Wu, Guo-Cheng; Huang, Lan-Lan Fractional uncertain differential equations with general memory effects: existences and \(\alpha\)-path solutions. (English) Zbl 1512.34012 Nonlinear Anal., Model. Control 28, No. 1, 152-179 (2023). MSC: 34A08 60G99 60H10 PDF BibTeX XML Cite \textit{C. Luo} et al., Nonlinear Anal., Model. Control 28, No. 1, 152--179 (2023; Zbl 1512.34012) Full Text: DOI
Oliva-Maza, Jesús; Warma, Mahamadi Introducing and solving generalized Black-Scholes PDEs through the use of functional calculus. (English) Zbl 07638775 J. Evol. Equ. 23, No. 1, Paper No. 10, 40 p. (2023). MSC: 47F10 34G10 35R11 47A60 47B12 47D06 PDF BibTeX XML Cite \textit{J. Oliva-Maza} and \textit{M. Warma}, J. Evol. Equ. 23, No. 1, Paper No. 10, 40 p. (2023; Zbl 07638775) Full Text: DOI arXiv
Marino, Raffaele; Macris, Nicolas Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes. (English) Zbl 1506.65174 J. Sci. Comput. 94, No. 1, Paper No. 8, 31 p. (2023). Reviewer: Piotr Biler (Wrocław) MSC: 65M75 65C30 60H35 68T07 91G20 91A26 91G60 35K55 35Q91 35R60 PDF BibTeX XML Cite \textit{R. Marino} and \textit{N. Macris}, J. Sci. Comput. 94, No. 1, Paper No. 8, 31 p. (2023; Zbl 1506.65174) Full Text: DOI arXiv
Zhou, Xinping; Xing, Jiamin; Jiang, Xiaomeng; Li, Yong Periodic solutions in distribution of mean-field stochastic differential equations. (English) Zbl 1509.34041 J. Stat. Phys. 190, No. 2, Paper No. 31, 34 p. (2023). MSC: 34C25 34F05 60J65 PDF BibTeX XML Cite \textit{X. Zhou} et al., J. Stat. Phys. 190, No. 2, Paper No. 31, 34 p. (2023; Zbl 1509.34041) Full Text: DOI
Sigrist, Fabio; Leuenberger, Nicola Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities. (English) Zbl 07632174 Eur. J. Oper. Res. 305, No. 3, 1390-1406 (2023). MSC: 90Bxx PDF BibTeX XML Cite \textit{F. Sigrist} and \textit{N. Leuenberger}, Eur. J. Oper. Res. 305, No. 3, 1390--1406 (2023; Zbl 07632174) Full Text: DOI
Nabubie, Bashiruddin; Wang, Song Numerical techniques for determining implied volatility in option pricing. (English) Zbl 1505.91414 J. Comput. Appl. Math. 422, Article ID 114913, 12 p. (2023). MSC: 91G60 65M06 91G20 PDF BibTeX XML Cite \textit{B. Nabubie} and \textit{S. Wang}, J. Comput. Appl. Math. 422, Article ID 114913, 12 p. (2023; Zbl 1505.91414) Full Text: DOI
Lu, Yu-Ming; Lyuu, Yuh-Dauh Very fast algorithms for implied barriers and moving-barrier options pricing. (English) Zbl 07627995 Math. Comput. Simul. 205, 251-271 (2023). MSC: 91-XX 68-XX PDF BibTeX XML Cite \textit{Y.-M. Lu} and \textit{Y.-D. Lyuu}, Math. Comput. Simul. 205, 251--271 (2023; Zbl 07627995) Full Text: DOI
You, Cuilian; Bo, Le Pricing of European call option under fuzzy interest rate. (English) Zbl 1513.91089 J. Ind. Manag. Optim. 19, No. 3, 2091-2103 (2023). MSC: 91G20 91G30 35R13 PDF BibTeX XML Cite \textit{C. You} and \textit{L. Bo}, J. Ind. Manag. Optim. 19, No. 3, 2091--2103 (2023; Zbl 1513.91089) Full Text: DOI
Jing, Xinxin; Nie, Yuanyuan; Wang, Chunpeng Asymptotic behavior of solutions to coupled semilinear parabolic equations with general degenerate diffusion coefficients. (English) Zbl 1501.35062 Discrete Contin. Dyn. Syst., Ser. B 28, No. 2, 959-983 (2023). MSC: 35B40 35K20 35K58 35K65 PDF BibTeX XML Cite \textit{X. Jing} et al., Discrete Contin. Dyn. Syst., Ser. B 28, No. 2, 959--983 (2023; Zbl 1501.35062) Full Text: DOI
Biancardi, Marta; Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni Flexibility to switch project size: a real option application for photovoltaic investment valuation. (English) Zbl 1501.91175 Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106869, 14 p. (2023). MSC: 91G50 60G40 PDF BibTeX XML Cite \textit{M. Biancardi} et al., Commun. Nonlinear Sci. Numer. Simul. 116, Article ID 106869, 14 p. (2023; Zbl 1501.91175) Full Text: DOI
Chan, Leunglung; Zhu, Song-Ping An exact and explicit formula for pricing lookback options with regime switching. (English) Zbl 1513.91083 J. Ind. Manag. Optim. 19, No. 1, 723-729 (2023). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{L. Chan} and \textit{S.-P. Zhu}, J. Ind. Manag. Optim. 19, No. 1, 723--729 (2023; Zbl 1513.91083) Full Text: DOI arXiv
Rujivan, Sanae Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case. (English) Zbl 1500.91140 J. Comput. Appl. Math. 418, Article ID 114672, 31 p. (2023). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Rujivan}, J. Comput. Appl. Math. 418, Article ID 114672, 31 p. (2023; Zbl 1500.91140) Full Text: DOI
Kazmi, Kamran A second order numerical method for the time-fractional Black-Scholes European option pricing model. (English) Zbl 1502.91058 J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023). MSC: 91G60 65N06 65D25 65D30 65B05 35R09 35R11 35Q91 45K05 65R20 65M12 91G20 PDF BibTeX XML Cite \textit{K. Kazmi}, J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023; Zbl 1502.91058) Full Text: DOI
Chen, Wenting; Jiang, Xiaoying An IMEX-based approach for the pricing of equity warrants under fractional Brownian motion models. (English) Zbl 07740747 ANZIAM J. 64, No. 4, 380-393 (2022). MSC: 00A69 62P05 PDF BibTeX XML Cite \textit{W. Chen} and \textit{X. Jiang}, ANZIAM J. 64, No. 4, 380--393 (2022; Zbl 07740747) Full Text: DOI
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng Hedging option books using neural-SDE market models. (English) Zbl 07723600 Appl. Math. Finance 29, No. 5, 366-401 (2022). MSC: 91G20 60H35 PDF BibTeX XML Cite \textit{S. N. Cohen} et al., Appl. Math. Finance 29, No. 5, 366--401 (2022; Zbl 07723600) Full Text: DOI arXiv
Todorov, Venelin On a full Monte Carlo approach to computational finance. (English) Zbl 07720698 Fidanova, Stefka (ed.), Recent advances in computational optimization. Results of the workshop on computational optimization, WCO 2021. Cham: Springer. Stud. Comput. Intell. 1044, 289-302 (2022). MSC: 90C27 90C59 PDF BibTeX XML Cite \textit{V. Todorov}, Stud. Comput. Intell. 1044, 289--302 (2022; Zbl 07720698) Full Text: DOI
Kharrat, Mohamed Pricing options under time-fractional model using Adomian decomposition. (English) Zbl 07720337 Pinto, Carla M. A. (ed.), Nonlinear dynamics and complexity. Mathematical modelling of real-world problems. Cham: Springer. Nonlinear Syst. Complex. 36, 429-445 (2022). MSC: 91-XX PDF BibTeX XML Cite \textit{M. Kharrat}, Nonlinear Syst. Complex. 36, 429--445 (2022; Zbl 07720337) Full Text: DOI
Naito, Riu; Yamada, Toshihiro Deep weak approximation of SDEs: a spatial approximation scheme for solving Kolmogorov equations. (English) Zbl 07714903 Int. J. Comput. Methods 19, No. 8, Article ID 2142014, 21 p. (2022). MSC: 65-XX 76-XX PDF BibTeX XML Cite \textit{R. Naito} and \textit{T. Yamada}, Int. J. Comput. Methods 19, No. 8, Article ID 2142014, 21 p. (2022; Zbl 07714903) Full Text: DOI
Mesgarani, Hamid; Adl, Adele; Esmaeelzade, Aghdam Yones Approximate price of the option under discretization by applying fractional quadratic interpolation. (English) Zbl 07665285 Comput. Methods Differ. Equ. 10, No. 4, 1075-1085 (2022). MSC: 91G60 65M70 65D05 91G20 26A33 PDF BibTeX XML Cite \textit{H. Mesgarani} et al., Comput. Methods Differ. Equ. 10, No. 4, 1075--1085 (2022; Zbl 07665285) Full Text: DOI
Mesgarani, Hamid; Ahanj, Sara; Esmaeelzade, Aghdam Yones A novel local meshless scheme based on the radial basis function for pricing multi-asset options. (English) Zbl 07665250 Comput. Methods Differ. Equ. 10, No. 3, 716-725 (2022). MSC: 91G60 65D12 65M06 91G20 35Q91 PDF BibTeX XML Cite \textit{H. Mesgarani} et al., Comput. Methods Differ. Equ. 10, No. 3, 716--725 (2022; Zbl 07665250) Full Text: DOI
Hendrickson, Joshua R. Competitively-issued convertible bank notes in a theory of finance: Earl Thompson meets Fischer Black. (English) Zbl 1508.91363 B. E. J. Theor. Econ. 22, No. 1, 311-328 (2022). MSC: 91B64 PDF BibTeX XML Cite \textit{J. R. Hendrickson}, B. E. J. Theor. Econ. 22, No. 1, 311--328 (2022; Zbl 1508.91363) Full Text: DOI
Gao, Jun; Wu, Fei; Yasen, Yakufu; Song, Wanqing; Ren, Lijia Generalized Cauchy process based on heavy-tailed distribution and grey relational analysis for reliability predicting of distribution systems. (English) Zbl 1512.90078 Math. Biosci. Eng. 19, No. 7, 6620-6637 (2022). MSC: 90B25 PDF BibTeX XML Cite \textit{J. Gao} et al., Math. Biosci. Eng. 19, No. 7, 6620--6637 (2022; Zbl 1512.90078) Full Text: DOI
Buckner, Dean; Dowd, Kevin Discounting the discounted projection approach. (English) Zbl 1507.91168 N. Am. Actuar. J. 26, No. 4, 521-536 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{D. Buckner} and \textit{K. Dowd}, N. Am. Actuar. J. 26, No. 4, 521--536 (2022; Zbl 1507.91168) Full Text: DOI
Taghipour, M.; Aminikhah, H. A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model. (English) Zbl 1507.91238 Chaos Solitons Fractals 163, Article ID 112571, 10 p. (2022). MSC: 91G60 91G20 35R11 65M70 65M06 PDF BibTeX XML Cite \textit{M. Taghipour} and \textit{H. Aminikhah}, Chaos Solitons Fractals 163, Article ID 112571, 10 p. (2022; Zbl 1507.91238) Full Text: DOI
Abdi, N.; Aminikhah, H.; Refahi Sheikhani, A. H. High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options. (English) Zbl 1506.91181 Chaos Solitons Fractals 162, Article ID 112423, 18 p. (2022). MSC: 91G60 91G20 65M06 65M12 PDF BibTeX XML Cite \textit{N. Abdi} et al., Chaos Solitons Fractals 162, Article ID 112423, 18 p. (2022; Zbl 1506.91181) Full Text: DOI
He, Xue Dong; Strub, Moris S. How endogenization of the reference point affects loss aversion: a study of portfolio selection. (English) Zbl 1511.91125 Oper. Res. 70, No. 6, 3035-3053 (2022). MSC: 91G10 PDF BibTeX XML Cite \textit{X. D. He} and \textit{M. S. Strub}, Oper. Res. 70, No. 6, 3035--3053 (2022; Zbl 1511.91125) Full Text: DOI
Feng, Runhuan; Gan, Guojun; Zhang, Ning Variable annuity pricing, valuation, and risk management: a survey. (English) Zbl 1510.91144 Scand. Actuar. J. 2022, No. 10, 867-900 (2022). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91-02 PDF BibTeX XML Cite \textit{R. Feng} et al., Scand. Actuar. J. 2022, No. 10, 867--900 (2022; Zbl 1510.91144) Full Text: DOI
Jiang, I-Ming; Liu, Yu-Hong; Pakavaleetorn, Sutee Optimal sequential investment decision-making with jump risk. (English) Zbl 1505.91411 Asia-Pac. J. Oper. Res. 39, No. 4, Article ID 2140035, 19 p. (2022). MSC: 91G50 PDF BibTeX XML Cite \textit{I-M. Jiang} et al., Asia-Pac. J. Oper. Res. 39, No. 4, Article ID 2140035, 19 p. (2022; Zbl 1505.91411) Full Text: DOI
Masak, Tomas; Rubin, Tomas; Panaretos, Victor M. Inference and computation for sparsely sampled random surfaces. (English) Zbl 07633326 J. Comput. Graph. Stat. 31, No. 4, 1361-1374 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{T. Masak} et al., J. Comput. Graph. Stat. 31, No. 4, 1361--1374 (2022; Zbl 07633326) Full Text: DOI arXiv
Kil, Hye-Mee; Kim, Jeong-Hoon A closed-form approximation formula for pricing European options under a three-factor model. (English) Zbl 1503.91123 Probab. Eng. Inf. Sci. 36, No. 4, 1214-1240 (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{H.-M. Kil} and \textit{J.-H. Kim}, Probab. Eng. Inf. Sci. 36, No. 4, 1214--1240 (2022; Zbl 1503.91123) Full Text: DOI
Wu, Huojun; Jia, Zhaoli; Yang, Shuquan; Liu, Ce Pricing variance swaps under double Heston stochastic volatility model with stochastic interest rate. (English) Zbl 1505.91393 Probab. Eng. Inf. Sci. 36, No. 2, 564-580 (2022). MSC: 91G20 91G30 91B70 42A38 PDF BibTeX XML Cite \textit{H. Wu} et al., Probab. Eng. Inf. Sci. 36, No. 2, 564--580 (2022; Zbl 1505.91393) Full Text: DOI
Bode, Tim The two-particle irreducible effective action for classical stochastic processes. (English) Zbl 1507.82049 J. Phys. A, Math. Theor. 55, No. 26, Article ID 265401, 22 p. (2022). MSC: 82C10 82C31 65C30 PDF BibTeX XML Cite \textit{T. Bode}, J. Phys. A, Math. Theor. 55, No. 26, Article ID 265401, 22 p. (2022; Zbl 1507.82049) Full Text: DOI arXiv
Wang, Jian; Wen, Shuai; Yang, Mengdie; Shao, Wei Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market. (English) Zbl 1498.91499 Chaos Solitons Fractals 157, Article ID 111895, 13 p. (2022). MSC: 91G60 65M06 35R11 91G20 PDF BibTeX XML Cite \textit{J. Wang} et al., Chaos Solitons Fractals 157, Article ID 111895, 13 p. (2022; Zbl 1498.91499) Full Text: DOI
Shi, Chao Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications. (English) Zbl 07619230 J. Econ. Dyn. Control 143, Article ID 104518, 17 p. (2022). MSC: 91G20 60J74 44A10 91G60 PDF BibTeX XML Cite \textit{C. Shi}, J. Econ. Dyn. Control 143, Article ID 104518, 17 p. (2022; Zbl 07619230) Full Text: DOI
Muck, Matthias Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities. (English) Zbl 1501.91167 Rev. Deriv. Res. 25, No. 3, 293-314 (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{M. Muck}, Rev. Deriv. Res. 25, No. 3, 293--314 (2022; Zbl 1501.91167) Full Text: DOI
Aschakulporn, Pakorn; Zhang, Jin E. Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach. (English) Zbl 1501.91165 Rev. Deriv. Res. 25, No. 3, 233-281 (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{P. Aschakulporn} and \textit{J. E. Zhang}, Rev. Deriv. Res. 25, No. 3, 233--281 (2022; Zbl 1501.91165) Full Text: DOI
Chen, Yijun; Islam, Razibul; Ratnam, Elizabeth L.; Petersen, Ian R.; Shi, Guodong Competitive equilibriums and social shaping for multi-agent systems. (English) Zbl 1505.93011 Automatica 146, Article ID 110663, 13 p. (2022). MSC: 93A16 93A14 93B70 91B15 91B24 PDF BibTeX XML Cite \textit{Y. Chen} et al., Automatica 146, Article ID 110663, 13 p. (2022; Zbl 1505.93011) Full Text: DOI arXiv
Zhao, Xutong; Zhou, Mingjun; Zhou, Qian Asymptotic behavior of solutions to coupled porous medium systems with boundary degeneracy. (English) Zbl 1501.35079 Electron. J. Differ. Equ. 2022, Paper No. 73, 19 p. (2022). MSC: 35B40 35B33 35K20 35K59 35K65 PDF BibTeX XML Cite \textit{X. Zhao} et al., Electron. J. Differ. Equ. 2022, Paper No. 73, 19 p. (2022; Zbl 1501.35079) Full Text: Link
Gkelsinis, Thomas; Karagrigoriou, Alex; Barbu, Vlad Stefan Statistical inference based on weighted divergence measures with simulations and applications. (English) Zbl 1497.62110 Stat. Pap. 63, No. 5, 1511-1536 (2022). MSC: 62G10 62H15 62P20 62E20 PDF BibTeX XML Cite \textit{T. Gkelsinis} et al., Stat. Pap. 63, No. 5, 1511--1536 (2022; Zbl 1497.62110) Full Text: DOI
Klibanov, Michael V.; Shananin, Aleksander A.; Golubnichiy, Kirill V.; Kravchenko, Sergey M. Forecasting stock options prices via the solution of an ill-posed problem for the Black-Scholes equation. (English) Zbl 1501.35405 Inverse Probl. 38, No. 11, Article ID 115008, 29 p. (2022). MSC: 35Q91 91G20 91G60 60J65 35R25 35R60 PDF BibTeX XML Cite \textit{M. V. Klibanov} et al., Inverse Probl. 38, No. 11, Article ID 115008, 29 p. (2022; Zbl 1501.35405) Full Text: DOI arXiv
Yang, Zheng; Zhang, Liqin; Tao, Xiangxing; Ji, Yanting Heston-GA hybrid option pricing model based on ResNet50. (English) Zbl 1499.91151 Discrete Dyn. Nat. Soc. 2022, Article ID 7274598, 17 p. (2022). MSC: 91G20 PDF BibTeX XML Cite \textit{Z. Yang} et al., Discrete Dyn. Nat. Soc. 2022, Article ID 7274598, 17 p. (2022; Zbl 1499.91151) Full Text: DOI
Madan, Dilip B.; Wang, King Implied price processes anchored in statistical realizations. (English) Zbl 1500.91138 Front. Math. Finance 1, No. 3, 321-342 (2022). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{K. Wang}, Front. Math. Finance 1, No. 3, 321--342 (2022; Zbl 1500.91138) Full Text: DOI
Dufitinema, Josephine; Pynnönen, Seppo; Sottinen, Tommi Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets. (English) Zbl 07603814 Commun. Stat., Simulation Comput. 51, No. 9, 5264-5287 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{J. Dufitinema} et al., Commun. Stat., Simulation Comput. 51, No. 9, 5264--5287 (2022; Zbl 07603814) Full Text: DOI