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Found 282 Documents (Results 1–100)

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Forde, Martin; Smith, Benjamin; Viitasaari, Lauri

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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\textit{M. Forde} et al., Quant. Finance 21, No. 4, 541--563 (2021; Zbl 1477.91053)
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Chang, Jow-Ran; Lee, John

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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\textit{J.-R. Chang} and \textit{J. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885--2927 (2021; Zbl 1452.91304)
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Lee, Cheng Few; Zhong, Zhaodong; Tai, Tzu; Chuang, Hongwei

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).
MSC:  91G20 60G40 60E15 90C05 62P05
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\textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917--945 (2021; Zbl 1454.91299)
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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
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\textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Stud. Comput. Intell. 902, 249--261 (2021; Zbl 1448.91323)
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Wang, Song

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).
Reviewer: Nikolay Kyurkchiev (Plovdiv)
MSC:  91-02 91G60 65M08 91G20
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\textit{S. Wang}, The fitted finite volume and power penalty methods for option pricing. Singapore: Springer (2020; Zbl 1458.91008)
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Koleva, Miglena N.; Vulkov, Lubin G.

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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\textit{M. N. Koleva} and \textit{L. G. Vulkov}, Lect. Notes Comput. Sci. 11958, 584--592 (2020; Zbl 1444.91219)
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Arregui, Iñigo; Salvador, Beatriz; Ševčovič, Daniel; Vázquez, Carlos

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

C. R., Math., Acad. Sci. Paris 357, No. 3, 252-257 (2019).
MSC:  91G20 91G80 35Q91
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\textit{I. Arregui} et al., C. R., Math., Acad. Sci. Paris 357, No. 3, 252--257 (2019; Zbl 1411.91537)
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Nikulin, V. N.

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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\textit{V. N. Nikulin}, J. Math. Sci., New York 227, No. 2, 229--240 (2017; Zbl 1407.91255); translation from Statisticheskie Metody Otsenivaniya i Proverki Gipotez 21, 208--223 (2008)
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von Sydow, Lina; Ghafari, Paria; Lehto, Erik; Wångersjö, Mats

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).
MSC:  91G60 91G20 65M06 65M60
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\textit{L. von Sydow} et al., Lect. Notes Comput. Sci. Eng. 112, 607--615 (2016; Zbl 1414.91417)
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Petters, Arlie O.; Dong, Xiaoying

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).
Reviewer: Anatoliy Swishchuk (Calgary)
MSC:  91-01 91Gxx 91B30 91B70 60H30 62P05
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\textit{A. O. Petters} and \textit{X. Dong}, An introduction to mathematical finance with applications. Understanding and building financial intuition. Cham: Springer (2016; Zbl 1348.91002)
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Kabanov, Yuri; Lepinette, Emmanuel

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).
MSC:  49J53 49J55 06A06 06F30 60G70 91G80
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\textit{Y. Kabanov} and \textit{E. Lepinette}, Springer Proc. Math. Stat. 151, 275--291 (2015; Zbl 1338.49033)
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Patidar, Kailash C.; Sidahmed, Abdelmgid O. M.

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).
MSC:  91G60 65M06 65M12 91G20
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\textit{K. C. Patidar} and \textit{A. O. M. Sidahmed}, Springer Proc. Math. Stat. 143, 439--450 (2015; Zbl 1335.91108)
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Patel, Kuldip Singh; Mehra, Mani

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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\textit{K. S. Patel} and \textit{M. Mehra}, Springer Proc. Math. Stat. 143, 393--403 (2015; Zbl 1337.65119)
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