Junghenn, Hugo D. An introduction to financial mathematics. Option valuation. 2nd edition. (English) Zbl 1417.91003 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-0-367-20882-0/hbk; 978-0-429-26393-4/ebook). xiii, 303 p. (2019). Reviewer: Frank Viola (Berlin) MSC: 91-01 91G20 91G10 60G42 60G44 60H30 PDF BibTeX XML Cite \textit{H. D. Junghenn}, An introduction to financial mathematics. Option valuation. 2nd edition. Boca Raton, FL: CRC Press (2019; Zbl 1417.91003) Full Text: DOI
Carassus, Laurence; Vargiolu, Tiziano Super-replication price: it can be OK. (English. French summary) Zbl 1419.91606 ESAIM, Proc. Surv. 64, 54-64 (2018). MSC: 91G20 PDF BibTeX XML Cite \textit{L. Carassus} and \textit{T. Vargiolu}, ESAIM, Proc. Surv. 64, 54--64 (2018; Zbl 1419.91606) Full Text: DOI
Chojnowska-Michalik, Anna; Fraszka-Sobczyk, Emilia On the uniform convergence of Cox-Ross-Rubinstein formulas to the Black-Scholes formula. (English) Zbl 1366.91153 Bull. Soc. Sci. Lett. Łódź, Sér. Rech. Déform. 66, No. 3, 29-38 (2016). MSC: 91G20 60H15 PDF BibTeX XML Cite \textit{A. Chojnowska-Michalik} and \textit{E. Fraszka-Sobczyk}, Bull. Soc. Sci. Lett. Łódź, Sér. Rech. Déform. 66, No. 3, 29--38 (2016; Zbl 1366.91153)
Glazyrina, Anna; Melnikov, Alexander Bernstein’s inequalities and their extensions for getting the Black-Scholes option pricing formula. (English) Zbl 1338.91140 Stat. Probab. Lett. 111, 86-92 (2016). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G20 41A25 60G15 PDF BibTeX XML Cite \textit{A. Glazyrina} and \textit{A. Melnikov}, Stat. Probab. Lett. 111, 86--92 (2016; Zbl 1338.91140) Full Text: DOI
Kuchuk-Iatsenko, S. V.; Mishura, Yu. S. The weak convergence of Greek symbols for prices of European options: from discrete time to continuous. (English. Ukrainian original) Zbl 1335.91083 Theory Probab. Math. Stat. 91, 93-104 (2015); translation from Teor. Jmovirn. Mat. Stat. 91, 86-96 (2014). Reviewer: Jacek Jakubowski (Warszawa) MSC: 91G20 60F05 PDF BibTeX XML Cite \textit{S. V. Kuchuk-Iatsenko} and \textit{Yu. S. Mishura}, Theory Probab. Math. Stat. 91, 93--104 (2015; Zbl 1335.91083); translation from Teor. Jmovirn. Mat. Stat. 91, 86--96 (2014) Full Text: DOI
Fraszka-Sobczyk, Emilia On some generalization of the Cox-Ross-Rubinstein model and its asymptotics of Black-Scholes type. (English) Zbl 1366.91154 Bull. Soc. Sci. Lett. Łódź, Sér. Rech. Déform. 64, No. 1, 25-34 (2014). MSC: 91G20 60H15 PDF BibTeX XML Cite \textit{E. Fraszka-Sobczyk}, Bull. Soc. Sci. Lett. Łódź, Sér. Rech. Déform. 64, No. 1, 25--34 (2014; Zbl 1366.91154)
Nakajima, Ryuichi; Kumon, Masayuki Approximations and asymptotics of upper hedging prices in multinomial models. (English) Zbl 1261.91045 Japan J. Ind. Appl. Math. 29, No. 1, 1-21 (2012). MSC: 91G20 91A60 93E20 90C05 PDF BibTeX XML Cite \textit{R. Nakajima} and \textit{M. Kumon}, Japan J. Ind. Appl. Math. 29, No. 1, 1--21 (2012; Zbl 1261.91045) Full Text: DOI
Gzyl, Henryk; Molina, German; ter Horst, Enrique Assessment and propagation of input uncertainty in tree-based option pricing models. (English) Zbl 1224.91154 Appl. Stoch. Models Bus. Ind. 25, No. 3, 275-308 (2009). Reviewer: A. D. Borisenko (Kyïv) MSC: 91G20 91G70 62F15 PDF BibTeX XML Cite \textit{H. Gzyl} et al., Appl. Stoch. Models Bus. Ind. 25, No. 3, 275--308 (2009; Zbl 1224.91154) Full Text: DOI
Dimakos, Georgios; Karantzi, Athina Optimal stopping time for stochastic processes: an application to the employer’s profile formation option. (English) Zbl 1149.60023 Panam. Math. J. 18, No. 3, 1-13 (2008). MSC: 60G40 60G42 91B40 91B28 PDF BibTeX XML Cite \textit{G. Dimakos} and \textit{A. Karantzi}, Panam. Math. J. 18, No. 3, 1--13 (2008; Zbl 1149.60023)
Çetin, Umut; Rogers, L. C. G. Modeling liquidity effects in discrete time. (English) Zbl 1278.91125 Math. Finance 17, No. 1, 15-29 (2007). MSC: 91G10 91G80 93E20 91G20 PDF BibTeX XML Cite \textit{U. Çetin} and \textit{L. C. G. Rogers}, Math. Finance 17, No. 1, 15--29 (2007; Zbl 1278.91125) Full Text: DOI
Janssen, Jacques; Manca, Raimondo Semi-Markov risk models for finance, insurance and reliability. (English) Zbl 1144.91027 New York, NY: Springer (ISBN 978-0-387-70729-7/hbk). xvii, 429 p. (2007). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 91-01 91B30 91G40 91G80 60K20 PDF BibTeX XML Cite \textit{J. Janssen} and \textit{R. Manca}, Semi-Markov risk models for finance, insurance and reliability. New York, NY: Springer (2007; Zbl 1144.91027) Full Text: DOI
Belyavskij, G. I.; Kondrat’eva, T. N. Hedging for incomplete \((B,S)\) markets. (Russian) Zbl 1048.91047 Izv. Vyssh. Uchebn. Zaved., Sev.-Kavk. Reg., Estestv. Nauki 2003, No. 3, Suppl., 9-17 (2003). Reviewer: Andrei Zemskov (Moskva) MSC: 91B26 91G20 PDF BibTeX XML Cite \textit{G. I. Belyavskij} and \textit{T. N. Kondrat'eva}, Izv. Vyssh. Uchebn. Zaved., Sev.-Kavk. Reg., Estestv. Nauki 2003, No. 3, 9--17 (2003; Zbl 1048.91047)
Nguyen Van Huu; Tran Trong Nguyen On a generalized Cox-Ross-Rubinstein option market model. (English) Zbl 0999.91029 Acta Math. Vietnam. 26, No. 2, 187-204 (2001). Reviewer: Aleksandr D.Borisenko (Kyïv) MSC: 91B28 PDF BibTeX XML Cite \textit{Nguyen Van Huu} and \textit{Tran Trong Nguyen}, Acta Math. Vietnam. 26, No. 2, 187--204 (2001; Zbl 0999.91029)
Kociński, Marek Hedging in the CRR model under concave transaction costs. (English) Zbl 1040.91052 Demonstr. Math. 34, No. 2, 497-512 (2001). Reviewer: T. Postelnicu (Bucureşti) MSC: 91B28 PDF BibTeX XML Cite \textit{M. Kociński}, Demonstr. Math. 34, No. 2, 497--512 (2001; Zbl 1040.91052)
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)
Gapeev, P. V. Calculation of the high and low prices of European-type options. (English. Russian original) Zbl 0921.90017 Russ. Math. Surv. 52, No. 4, 828-829 (1997); translation from Usp. Mat. Nauk 52, No. 4, 199-200 (1997). MSC: 91G20 PDF BibTeX XML Cite \textit{P. V. Gapeev}, Russ. Math. Surv. 52, No. 4, 828--829 (1997; Zbl 0921.90017); translation from Usp. Mat. Nauk 52, No. 4, 199--200 (1997) Full Text: DOI
Rejman, Aleksander; Weron, Aleksander; Weron, Rafał Option pricing proposals under the generalized hyperbolic model. (English) Zbl 0893.90016 Commun. Stat., Stochastic Models 13, No. 4, 867-885 (1997). MSC: 91G10 91G80 PDF BibTeX XML Cite \textit{A. Rejman} et al., Commun. Stat., Stochastic Models 13, No. 4, 867--885 (1997; Zbl 0893.90016) Full Text: DOI
Hüsler, Jürg Multivariate option price models and extremes. (English) Zbl 0875.62617 Commun. Stat., Theory Methods 25, No. 4, 853-869 (1996). MSC: 62P20 91B24 PDF BibTeX XML Cite \textit{J. Hüsler}, Commun. Stat., Theory Methods 25, No. 4, 853--869 (1996; Zbl 0875.62617) Full Text: DOI
Baxter, Martin; Rennie, Andrew Financial calculus. An introduction to derivative pricing. (English) Zbl 0858.62094 Cambridge: Cambridge Univ. Press. ix, 233 p. (1996). Reviewer: M.Schweizer (Berlin) MSC: 62P05 91B28 60G35 91-01 62-01 PDF BibTeX XML Cite \textit{M. Baxter} and \textit{A. Rennie}, Financial calculus. An introduction to derivative pricing. Cambridge: Cambridge Univ. Press (1996; Zbl 0858.62094)
Rejman, Aleksander; Weron, Aleksander Option pricing for hyperbolic CRR model. (English) Zbl 0860.90012 Heyde, C. C. (ed.) et al., Athens conference on applied probability and time series analysis, Athens, Greece, March 22–26, 1995. Vol. I: Applied probability. In honor of J. M. Gani. Berlin: Springer. Lect. Notes Stat., Springer-Verlag. 114, 321-331 (1996). MSC: 91G10 91G80 PDF BibTeX XML Cite \textit{A. Rejman} and \textit{A. Weron}, in: Athens conference on applied probability and time series analysis, Athens, Greece, March 22--26, 1995. Vol. I: Applied probability. In honor of J. M. Gani. Berlin: Springer. 321--331 (1996; Zbl 0860.90012)
Boyle, Phelim P. Valuation of derivative securities involving several assets using discrete time methods. (English) Zbl 0707.90015 Insur. Math. Econ. 9, No. 2-3, 131-139 (1990). MSC: 91B24 91B62 93C95 93C55 PDF BibTeX XML Cite \textit{P. P. Boyle}, Insur. Math. Econ. 9, No. 2--3, 131--139 (1990; Zbl 0707.90015) 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