## Found 269 Documents (Results 1–100)

100
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MSC:  91Gxx
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### Optimal exercise of American put options near maturity: a new economic perspective. (English)Zbl 07573534

MSC:  91G20 60G40
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### Total value adjustment for European options in a multi-currency setting. (English)Zbl 07427470

MSC:  91Gxx 65Mxx 60Hxx
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### Conditional coherent risk measures and regime-switching conic pricing. (English)Zbl 1490.60220

MSC:  60J27 91G70
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### Solving the Ivancevic options pricing model with the numerical method Some Blaise-Abbo (SBA). (English)Zbl 07527522

MSC:  49M27 35G25 35Q91
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### Limit theorems for prices of options written on semi-Markov processes. (English)Zbl 1480.91294

MSC:  91G20 60J70 60G44
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### Rough volatility and CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the $$k\sqrt{t}$$ regime. (Rough volatility, CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the $$k\sqrt{t}$$ regime.) (English)Zbl 1477.91053

Quant. Finance 21, No. 4, 541-563 (2021); correction ibid. 21, No. 4, i (2021).
MSC:  91G20 60G51 91B70
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### Model-free price bounds under dynamic option trading. (English)Zbl 1476.91188

MSC:  91G20 60G44
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### Removing non-smoothness in solving Black-Scholes equation using a perturbation method. (English)Zbl 07409884

MSC:  81-XX 82-XX
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MSC:  91G20
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### A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. (English)Zbl 1460.91269

MSC:  91G20 91G30
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### Decision tree and Microsoft Excel approach for option pricing model. (English)Zbl 1452.91304

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885-2927 (2021).
MSC:  91G20 91-08
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### Alternative methods for determining option bounds: a review and comparison. (English)Zbl 1454.91299

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917-945 (2021).
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### 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
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MSC:  91G20
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### Pricing European and American options by SPH method. (English)Zbl 07336576

MSC:  91-XX 76-XX
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### The fitted finite volume and power penalty methods for option pricing. (English)Zbl 1458.91008

SpringerBriefs in Applied Sciences and Technology. Mathematical Methods. Singapore: Springer (ISBN 978-981-15-9557-8/pbk; 978-981-15-9558-5/ebook). viii, 94 p. (2020).
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### Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series. (English)Zbl 1454.91279

MSC:  91G20 42C10
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### Trinomial tree method of option pricing based on GARCH model. (Chinese. English summary)Zbl 1463.91150

MSC:  91G20 62P05 62M10

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### Valuation of European options with liquidity shocks switching by fitted finite volume method. (English)Zbl 1444.91219

Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 12th international conference, LSSC 2019, Sozopol, Bulgaria, June 10–14, 2019. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 11958, 584-592 (2020).
MSC:  91G60 65M08 91G20
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MSC:  90B50
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### European rainbow option values under the two-asset Merton jump-diffusion model. (English)Zbl 1429.91316

MSC:  91G20 60G44 60J76
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### A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates. (English)Zbl 1448.91300

MSC:  91G20 91G40
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### Pricing vulnerable European options under a jump-diffusion model with stochastic rate. (Chinese. English summary)Zbl 1463.91170

MSC:  91G20 91G30 60J70

### A semi-analytical pricing formula for European options under the rough Heston-CIR model. (English)Zbl 1443.91291

MSC:  91G20 60G22 91B70
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### Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English)Zbl 1431.91404

MSC:  91G20 60J28 91G10
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### A general closed form option pricing formula. (English)Zbl 1414.91384

MSC:  91G20 30B50
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### Mathematical analysis of a nonlinear PDE model for European options with counterparty risk. (Analyse mathématique d’un modèle d’EDP non linéaire pour les options européennes avec risque de contrepartie.) (English. French summary)Zbl 1411.91537

MSC:  91G20 91G80 35Q91
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### An accurate European option pricing model under fractional stable process based on Feynman path integral. (English)Zbl 07548363

MSC:  91G20 46T12 60G22
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### Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics. (English)Zbl 1461.91321

MSC:  91G20 91G80 60J74
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### Evaluation finite moment log-stable option pricing by a spectral method. (English)Zbl 1424.91126

MSC:  91G20 35K10 35R11
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### Approximation of non-Lipschitz SDEs by Picard iterations. (English)Zbl 1418.91501

MSC:  91G20 91G80 60H10
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### Singular Fourier-Padé series expansion of European option prices. (English)Zbl 1400.91583

MSC:  91G20 60G51
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### Asynchronous iterations of parareal algorithm for option pricing models. (English)Zbl 1390.91323

MSC:  91G60 65M55 91G20
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### Index options and volatility derivatives in a Gaussian random field risk-neutral density model. (English)Zbl 1395.91447

MSC:  91G20 60G60 62P05
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### Computation of Greeks in jump-diffusion models using discrete Malliavin calculus. (English)Zbl 07313853

MSC:  05-XX 68-XX
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### Alternating direction explicit methods for linear, nonlinear and multi-dimensional Black-Scholes models. (English)Zbl 1420.91503

Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 333-371 (2017).
MSC:  91G60 65M06 91G20
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### PDE methods for SABR. (English)Zbl 1420.91512

Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 265-291 (2017).
MSC:  91G60 65M06 91G20
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### A highly efficient numerical method for the SABR model. (English)Zbl 1420.91517

Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 253-263 (2017).
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### Modeling asset price under two-factor Heston model with jumps. (English)Zbl 1397.91573

MSC:  91G20 91B70 60J75 91G60
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### Discrete hedging in the mean/variance model for European call options. (English. Russian original)Zbl 1407.91255

J. Math. Sci., New York 227, No. 2, 229-240 (2017); translation from Statisticheskie Metody Otsenivaniya i Proverki Gipotez 21, 208-223 (2008).
MSC:  91G20 91G10 62P05
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### Valuation and hedging strategy of currency options under regime-switching jump-diffusion model. (English)Zbl 1416.91369

MSC:  91G20 60G44 60H15 60J75
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### On the convergence of He and Zhu’s new series solution for pricing options with the Heston model. (English)Zbl 1399.91128

MSC:  91G20 60G44 60H30

### Optimal hedging with basis risk under mean-variance criterion. (English)Zbl 1394.91242

MSC:  91B30 91G10 93E20
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### Convex duality with transaction costs. (English)Zbl 1414.91370

MSC:  91G20 60G44
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### Finite volume method for pricing European options with stochastic volatility. (Chinese. English summary)Zbl 1389.91127

MSC:  91G60 65M08 91G20
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MSC:  91G20
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### Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time. (English)Zbl 1414.91417

Karasözen, Bülent (ed.) et al., Numerical mathematics and advanced applications – ENUMATH 2015. Selected papers based on the presentations at the European conference, Ankara, Turkey, September 14–18, 2015. Cham: Springer. Lect. Notes Comput. Sci. Eng. 112, 607-615 (2016).
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### Option convergence rate with geometric random walks approximations. (English)Zbl 1410.91456

MSC:  91G20 60J20 60G50
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### Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. (English)Zbl 1345.91072

MSC:  91G20 91G40
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### Path averaged option value criteria for selecting better options. (English)Zbl 1346.91235

MSC:  91G20 91G60
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### An introduction to mathematical finance with applications. Understanding and building financial intuition. (English)Zbl 1348.91002

Springer Undergraduate Texts in Mathematics and Technology. Cham: Springer (ISBN 978-1-4939-3781-3/hbk; 978-1-4939-3783-7/ebook). xvii, 483 p. (2016).
MSC:  91-01 91Gxx 91B30 91B70 60H30 62P05
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### IMEX schemes for a parabolic-ODE system of European options with liquidity shocks. (English)Zbl 1331.91193

MSC:  91G60 65L12 91G20
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### On supremal and maximal sets with respect to random partial orders. (English)Zbl 1338.49033

Hamel, Andreas H. (ed.) et al., Set optimization and applications – the state of the art. From set relations to set-valued risk measures. Berlin: Springer (ISBN 978-3-662-48668-9/hbk; 978-3-662-48670-2/ebook). Springer Proceedings in Mathematics & Statistics 151, 275-291 (2015).
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### Efficient meshfree method for pricing European and American put options on a non-dividend paying asset. (English)Zbl 1335.91108

Agrawal, P. N. (ed.) et al., Mathematical analysis and its applications. Proceedings of the international conference on recent trends in mathematical analyis and its applications, ICRTMAA 2014, Roorkee, India, December 21–23, 2014. New Delhi: Springer (ISBN 978-81-322-2484-6/hbk; 978-81-322-2485-3/ebook). Springer Proceedings in Mathematics & Statistics 143, 439-450 (2015).
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### High-order compact finite difference method for Black-Scholes PDE. (English)Zbl 1337.65119

Agrawal, P. N. (ed.) et al., Mathematical analysis and its applications. Proceedings of the international conference on recent trends in mathematical analyis and its applications, ICRTMAA 2014, Roorkee, India, December 21–23, 2014. New Delhi: Springer (ISBN 978-81-322-2484-6/hbk; 978-81-322-2485-3/ebook). Springer Proceedings in Mathematics & Statistics 143, 393-403 (2015).
MSC:  65M06 91G60 35Q91 91B25 65M15
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### Stochastic modeling in finance and Monte Carlo simulations with R. III: Stochastic log-linear model. (Chinese. English summary)Zbl 1340.91136

MSC:  91G30 91G20 91G60

### Pricing of European gap options under fractional Brownian motion with time-varying parameters. (Chinese. English summary)Zbl 1340.91122

MSC:  91G20 60G22

### Stochastic modeling in finance and Monte Carlo simulations with R. I: Finance options. (Chinese. English summary)Zbl 1340.91125

MSC:  91G20 91G30 91G60

### Efficient option pricing by frame duality with the fast Fourier transform. (English)Zbl 1320.91155

MSC:  91G60 91G20 65T50
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### Static hedging under maturity mismatch. (English)Zbl 1338.91142

MSC:  91G20 60G51 91G60
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### On pricing options with stressed-beta in a reduced form model. (English)Zbl 1315.91063

MSC:  91G20 91G60 65D32
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### The time-discrete method of lines for options and bonds. A PDE approach. (English)Zbl 1319.91008

Hackensack, NJ: World Scientific (ISBN 978-981-4619-67-7/hbk; 978-981-4619-69-1/ebook). xv, 269 p. (2015).
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### On some generalization of the Cox-Ross-Rubinstein model and its asymptotics of Black-Scholes type. (English)Zbl 1366.91154

MSC:  91G20 60H15

### European option pricing under the G-Brownian motion environment. (Chinese. English summary)Zbl 1324.91060

MSC:  91G20 62P05 60J70

### Fractional Brownian motions in financial models and their Monte Carlo simulation. (English)Zbl 1319.91158

Takahashi, Akihiko (ed.) et al., Recent advances in financial engineering 2012. Proceedings of the international workshop on finance, Tokyo, Japan, October 30–31, 2012. Hackensack, NJ: World Scientific (ISBN 978-981-4571-63-0/hbk; 978-981-4571-65-4/ebook). 133-176 (2014).
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### European call options with singularly perturbed two time scale regime-switching model. (English)Zbl 1307.91181

MSC:  91G20 60J20
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### Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (English)Zbl 1303.91189

MSC:  91G60 91G20 60J75 65D05
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### Option pricing for stochastic volatility models: vol-of-vol expansion. (English)Zbl 1308.91170

MSC:  91G20 91G60 91B25 35Q84 35Q91 60H30
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### Robust hedging with proportional transaction costs. (English)Zbl 1304.91189

MSC:  91G10 60G42 91G20
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### An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model. (Chinese. English summary)Zbl 1313.91188

MSC:  91G60 91G20
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