Glau, Kathrin; Wunderlich, Linus The deep parametric PDE method and applications to option pricing. (English) Zbl 1510.91197 Appl. Math. Comput. 432, Article ID 127355, 21 p. (2022). MSC: 91G80 91G20 68T07 91G60 PDF BibTeX XML Cite \textit{K. Glau} and \textit{L. Wunderlich}, Appl. Math. Comput. 432, Article ID 127355, 21 p. (2022; Zbl 1510.91197) Full Text: DOI arXiv
Pigato, Paolo Density estimates and short-time asymptotics for a hypoelliptic diffusion process. (English) Zbl 1480.60170 Stochastic Processes Appl. 145, 117-142 (2022). MSC: 60H10 60H30 60H07 60J60 60F05 91G20 PDF BibTeX XML Cite \textit{P. Pigato}, Stochastic Processes Appl. 145, 117--142 (2022; Zbl 1480.60170) Full Text: DOI arXiv
in ’t Hout, Karel J.; Snoeijer, Jacob Numerical valuation of Bermudan basket options via partial differential equations. (English) Zbl 1480.91316 Int. J. Comput. Math. 98, No. 4, 829-844 (2021). MSC: 91G60 65N06 62H25 65N12 91G20 PDF BibTeX XML Cite \textit{K. J. in 't Hout} and \textit{J. Snoeijer}, Int. J. Comput. Math. 98, No. 4, 829--844 (2021; Zbl 1480.91316) Full Text: DOI arXiv
Bayer, Christian; Redmann, Martin; Schoenmakers, John Dynamic programming for optimal stopping via pseudo-regression. (English) Zbl 1479.91389 Quant. Finance 21, No. 1, 29-44 (2021). MSC: 91G20 60G40 90C39 91G60 PDF BibTeX XML Cite \textit{C. Bayer} et al., Quant. Finance 21, No. 1, 29--44 (2021; Zbl 1479.91389) Full Text: DOI arXiv
Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias Pricing basket default swaps using quasi-analytic techniques. (English) Zbl 1470.91289 Decis. Econ. Finance 44, No. 1, 241-267 (2021). MSC: 91G20 42A38 62P05 62H05 PDF BibTeX XML Cite \textit{N. Umeorah} et al., Decis. Econ. Finance 44, No. 1, 241--267 (2021; Zbl 1470.91289) Full Text: DOI
Taherinasab, Yasser; Soheili, Ali Reza; Amini, Mohammad Lower bound approximation of nonlinear basket option with jump-diffusion. (English) Zbl 1474.91248 J. Math. Model. 9, No. 1, 31-44 (2021). MSC: 91G60 65C30 60H10 65L20 91G20 PDF BibTeX XML Cite \textit{Y. Taherinasab} et al., J. Math. Model. 9, No. 1, 31--44 (2021; Zbl 1474.91248) Full Text: DOI
Umeorah, Nneka; Ehrhardt, Matthias; Mashele, Phillip Valuation of basket credit default swaps under stochastic default intensity models. (English) Zbl 1488.91142 Adv. Appl. Math. Mech. 12, No. 5, 1301-1326 (2020). MSC: 91G20 91G10 91G40 91G60 65C05 PDF BibTeX XML Cite \textit{N. Umeorah} et al., Adv. Appl. Math. Mech. 12, No. 5, 1301--1326 (2020; Zbl 1488.91142) Full Text: DOI
Kirkby, J. Lars; Nguyen, Dang H.; Nguyen, Duy A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. (English) Zbl 1461.91314 Appl. Math. Comput. 386, Article ID 125472, 17 p. (2020). MSC: 91G20 60J28 35Q91 PDF BibTeX XML Cite \textit{J. L. Kirkby} et al., Appl. Math. Comput. 386, Article ID 125472, 17 p. (2020; Zbl 1461.91314) Full Text: DOI
Bihary, Zsolt; Nagy, Noémi; Simon, L. Péter Network model for joined default probabilities. (Hungarian. English summary) Zbl 1474.91234 Alkalmazott Mat. Lapok 37, No. 1, 51-69 (2020). MSC: 91G45 91G40 91G20 PDF BibTeX XML Cite \textit{Z. Bihary} et al., Alkalmazott Mat. Lapok 37, No. 1, 51--69 (2020; Zbl 1474.91234) Full Text: DOI
Dhaene, Jan; Kukush, Alexander; Linders, Daniël Comonotonic asset prices in arbitrage-free markets. (English) Zbl 1430.91108 J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Dhaene} et al., J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020; Zbl 1430.91108) Full Text: DOI Link
Dingeç, Kemal Dinçer Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions. (English) Zbl 1499.91171 Int. J. Comput. Math. 96, No. 12, 2441-2460 (2019). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{K. D. Dingeç}, Int. J. Comput. Math. 96, No. 12, 2441--2460 (2019; Zbl 1499.91171) Full Text: DOI
Grzelak, Lech A. The collocating local volatility framework – a fresh look at efficient pricing with smile. (English) Zbl 1483.91252 Int. J. Comput. Math. 96, No. 11, 2209-2228 (2019). MSC: 91G60 65M70 65C05 91G20 PDF BibTeX XML Cite \textit{L. A. Grzelak}, Int. J. Comput. Math. 96, No. 11, 2209--2228 (2019; Zbl 1483.91252) Full Text: DOI
Jiang, Chunmei The pricing of basket options with default risk. (English) Zbl 1449.91153 Acta Sci. Nat. Univ. Nankaiensis 52, No. 6, 71-83 (2019). MSC: 91G20 91G40 PDF BibTeX XML Cite \textit{C. Jiang}, Acta Sci. Nat. Univ. Nankaiensis 52, No. 6, 71--83 (2019; Zbl 1449.91153)
Alfonsi, Aurélien; Krief, David; Tankov, Peter Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing. (English) Zbl 1433.91166 SIAM J. Financ. Math. 10, No. 4, 942-976 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60F10 PDF BibTeX XML Cite \textit{A. Alfonsi} et al., SIAM J. Financ. Math. 10, No. 4, 942--976 (2019; Zbl 1433.91166) Full Text: DOI arXiv Link
Horng, Min-Sun; Horng, Tzyy-Leng; Tien, Chih-Yuan A method-of-lines approach for solving American option problems. (English) Zbl 1428.91018 Taiwanese J. Math. 23, No. 5, 1253-1270 (2019). MSC: 91G60 65M06 65M20 91G20 60G40 PDF BibTeX XML Cite \textit{M.-S. Horng} et al., Taiwanese J. Math. 23, No. 5, 1253--1270 (2019; Zbl 1428.91018) Full Text: DOI Euclid
Hanbali, Hamza; Linders, Daniel American-type basket option pricing: a simple two-dimensional partial differential equation. (English) Zbl 1422.91764 Quant. Finance 19, No. 10, 1689-1704 (2019). MSC: 91G60 91G20 60G40 35Q91 65C05 PDF BibTeX XML Cite \textit{H. Hanbali} and \textit{D. Linders}, Quant. Finance 19, No. 10, 1689--1704 (2019; Zbl 1422.91764) Full Text: DOI Link
Zhang, Lidong; Meng, Xiangbo; Sun, Yanmei; Du, Ziping Geometric average basket option pricing. (Chinese. English summary) Zbl 1438.91169 Acta Sci. Nat. Univ. Nankaiensis 52, No. 2, 76-81 (2019). MSC: 91G20 60J60 PDF BibTeX XML Cite \textit{L. Zhang} et al., Acta Sci. Nat. Univ. Nankaiensis 52, No. 2, 76--81 (2019; Zbl 1438.91169)
Bayer, Christian; Häppölä, Juho; Tempone, Raúl Implied stopping rules for American basket options from Markovian projection. (English) Zbl 1420.91446 Quant. Finance 19, No. 3, 371-390 (2019). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{C. Bayer} et al., Quant. Finance 19, No. 3, 371--390 (2019; Zbl 1420.91446) Full Text: DOI arXiv
Guo, Jie; Dong, Yinghui; Wang, Guojing Basket CDS pricing with default intensities using a regime-switching shot-noise model. (English) Zbl 1508.91589 Commun. Stat., Theory Methods 47, No. 18, 4443-4458 (2018). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{J. Guo} et al., Commun. Stat., Theory Methods 47, No. 18, 4443--4458 (2018; Zbl 1508.91589) Full Text: DOI
Safdari-Vaighani, Ali Radial basis function approximation method for pricing of basket options under jump diffusion model. (English) Zbl 1427.91298 Radu, Florin Adrian (ed.) et al., Numerical mathematics and advanced applications. ENUMATH 2017. Selected papers based on the presentations at the European conference, Bergen, Norway, September 25–29, 2017. Cham: Springer. Lect. Notes Comput. Sci. Eng. 126, 103-112 (2018). MSC: 91G60 91G20 60J74 65M70 35R09 35Q91 PDF BibTeX XML Cite \textit{A. Safdari-Vaighani}, Lect. Notes Comput. Sci. Eng. 126, 103--112 (2018; Zbl 1427.91298) Full Text: DOI
Deelstra, Griselda; Kozpınar, Sinem; Simon, Matthieu Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps. (English) Zbl 1419.91610 Appl. Stoch. Models Bus. Ind. 34, No. 6, 782-802 (2018). MSC: 91G20 60J75 60G51 PDF BibTeX XML Cite \textit{G. Deelstra} et al., Appl. Stoch. Models Bus. Ind. 34, No. 6, 782--802 (2018; Zbl 1419.91610) Full Text: DOI
Klimek, Maciej; Pitera, Marcin The least squares method for option pricing revisited. (English) Zbl 1411.91624 Appl. Math. 45, No. 1, 5-29 (2018). MSC: 91G60 91G20 93E24 60G40 65C05 PDF BibTeX XML Cite \textit{M. Klimek} and \textit{M. Pitera}, Appl. Math. 45, No. 1, 5--29 (2018; Zbl 1411.91624) Full Text: DOI arXiv
Sun, Yongchao; Xu, Chenglong A hybrid Monte Carlo acceleration method of pricing basket options based on splitting. (English) Zbl 1461.91359 J. Comput. Appl. Math. 342, 292-304 (2018). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{Y. Sun} and \textit{C. Xu}, J. Comput. Appl. Math. 342, 292--304 (2018; Zbl 1461.91359) Full Text: DOI
Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael High-order-compact ADI schemes for pricing basket options in the combination technique. (English) Zbl 1420.91509 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 399-405 (2017). MSC: 91G60 65M12 91G20 PDF BibTeX XML Cite \textit{C. Hendricks} et al., Math. Ind. 25, 399--405 (2017; Zbl 1420.91509) Full Text: DOI
Bo, Lijun; Wang, Yongjin The pricing of basket options: a weak convergence approach. (English) Zbl 1409.91227 Oper. Res. Lett. 45, No. 2, 119-125 (2017). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{L. Bo} and \textit{Y. Wang}, Oper. Res. Lett. 45, No. 2, 119--125 (2017; Zbl 1409.91227) Full Text: DOI
Yamada, Yuji Optimal hedging of basket barrier options with additive models and its application to equity value separation problem. (English) Zbl 1418.91605 Asia-Pac. Financ. Mark. 24, No. 1, 1-18 (2017). MSC: 91G60 91G20 65C05 PDF BibTeX XML Cite \textit{Y. Yamada}, Asia-Pac. Financ. Mark. 24, No. 1, 1--18 (2017; Zbl 1418.91605) Full Text: DOI Link
Hozman, Jiří; Tichý, Tomáš DG method for the numerical pricing of two-asset European-style Asian options with fixed strike. (English) Zbl 1458.91226 Appl. Math., Praha 62, No. 6, 607-632 (2017). MSC: 91G60 91G20 65M60 35Q91 PDF BibTeX XML Cite \textit{J. Hozman} and \textit{T. Tichý}, Appl. Math., Praha 62, No. 6, 607--632 (2017; Zbl 1458.91226) Full Text: DOI
Karipova, Gulnur; Magdziarz, Marcin Pricing of basket options in subdiffusive fractional Black-Scholes model. (English) Zbl 1376.91160 Chaos Solitons Fractals 102, 245-253 (2017). MSC: 91G20 91G80 35Q84 35R11 35Q91 PDF BibTeX XML Cite \textit{G. Karipova} and \textit{M. Magdziarz}, Chaos Solitons Fractals 102, 245--253 (2017; Zbl 1376.91160) Full Text: DOI
Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance. (English) Zbl 1375.65113 J. Comput. Appl. Math. 316, 175-194 (2017). MSC: 65M06 35K20 65M50 91G60 PDF BibTeX XML Cite \textit{C. Hendricks} et al., J. Comput. Appl. Math. 316, 175--194 (2017; Zbl 1375.65113) Full Text: DOI
Hozman, Jiří; Tichý, Tomáš DG method for numerical pricing of multi-asset Asian options – the case of options with floating strike. (English) Zbl 1458.91225 Appl. Math., Praha 62, No. 2, 171-195 (2017). MSC: 91G60 91G20 65M60 35Q91 PDF BibTeX XML Cite \textit{J. Hozman} and \textit{T. Tichý}, Appl. Math., Praha 62, No. 2, 171--195 (2017; Zbl 1458.91225) Full Text: DOI Link
Colldeforns-Papiol, G.; Ortiz-Gracia, L.; Oosterlee, C. W. Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options. (English) Zbl 1414.91409 Appl. Numer. Math. 117, 115-138 (2017). MSC: 91G60 65T50 91G20 60G51 PDF BibTeX XML Cite \textit{G. Colldeforns-Papiol} et al., Appl. Numer. Math. 117, 115--138 (2017; Zbl 1414.91409) Full Text: DOI Link
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing Pricing credit derivatives under a correlated regime-switching hazard processes model. (English) Zbl 1361.91060 J. Ind. Manag. Optim. 13, No. 3, 1395-1415 (2017). MSC: 91G40 91G20 60J27 PDF BibTeX XML Cite \textit{Y. Dong} et al., J. Ind. Manag. Optim. 13, No. 3, 1395--1415 (2017; Zbl 1361.91060) Full Text: DOI
Wu, Ping; Elliott, Robert J. A simple efficient approximation to price basket stock options with volatility smile. (English) Zbl 1398.91620 Ann. Finance 13, No. 1, 1-29 (2017). MSC: 91G20 60G51 62P05 91G60 PDF BibTeX XML Cite \textit{P. Wu} and \textit{R. J. Elliott}, Ann. Finance 13, No. 1, 1--29 (2017; Zbl 1398.91620) Full Text: DOI Link
Novikov, A.; Alexander, S.; Kordzakhia, N.; Ling, T. Pricing of Asian-type and basket options via bounds. (English. Russian original) Zbl 1358.91100 Theory Probab. Appl. 61, No. 1, 94-106 (2017); translation from Teor. Veroyatn. Primen. 61, No. 1, 53-68 (2016). MSC: 91G20 60G51 91G60 PDF BibTeX XML Cite \textit{A. Novikov} et al., Theory Probab. Appl. 61, No. 1, 94--106 (2017; Zbl 1358.91100); translation from Teor. Veroyatn. Primen. 61, No. 1, 53--68 (2016) Full Text: DOI arXiv
Linders, Daniël; Stassen, Ben The multivariate variance gamma model: basket option pricing and calibration. (English) Zbl 1468.91171 Quant. Finance 16, No. 4, 555-572 (2016). MSC: 91G20 62P05 62H10 PDF BibTeX XML Cite \textit{D. Linders} and \textit{B. Stassen}, Quant. Finance 16, No. 4, 555--572 (2016; Zbl 1468.91171) Full Text: DOI Link
Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino General closed-form basket option pricing bounds. (English) Zbl 1468.91162 Quant. Finance 16, No. 4, 535-554 (2016). MSC: 91G20 60J74 91G60 PDF BibTeX XML Cite \textit{R. Caldana} et al., Quant. Finance 16, No. 4, 535--554 (2016; Zbl 1468.91162) Full Text: DOI Link
Shcherbakov, Victor; Larsson, Elisabeth Radial basis function partition of unity methods for pricing vanilla basket options. (English) Zbl 1443.91333 Comput. Math. Appl. 71, No. 1, 185-200 (2016). MSC: 91G60 65M70 91G20 PDF BibTeX XML Cite \textit{V. Shcherbakov} and \textit{E. Larsson}, Comput. Math. Appl. 71, No. 1, 185--200 (2016; Zbl 1443.91333) Full Text: DOI
Teng, Huei-Wen; Fuh, Cheng-Der; Chen, Chun-Chieh On an automatic and optimal importance sampling approach with applications in finance. (English) Zbl 1400.91613 Quant. Finance 16, No. 8, 1259-1271 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{H.-W. Teng} et al., Quant. Finance 16, No. 8, 1259--1271 (2016; Zbl 1400.91613) Full Text: DOI
Linders, Daniël; Schoutens, Wim Basket option pricing and implied correlation in a one-factor Lévy model. (English) Zbl 1398.91605 Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 335-367 (2016). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{D. Linders} and \textit{W. Schoutens}, Springer Proc. Math. Stat. 165, 335--367 (2016; Zbl 1398.91605) Full Text: DOI
Çetinkaya, Elçin; Thiele, Aurélie A moment matching approach to log-normal portfolio optimization. (English) Zbl 1416.91343 Comput. Manag. Sci. 13, No. 4, 501-520 (2016). MSC: 91G10 90C20 91G20 PDF BibTeX XML Cite \textit{E. Çetinkaya} and \textit{A. Thiele}, Comput. Manag. Sci. 13, No. 4, 501--520 (2016; Zbl 1416.91343) Full Text: DOI
Dan, Jingyi; Xue, Hong Pricing of basket option in bi-fractional Brownian motion environment. (Chinese. English summary) Zbl 1374.91117 Basic Sci. J. Text. Univ. 29, No. 4, 460-464 (2016). MSC: 91G20 60J70 60H30 PDF BibTeX XML Cite \textit{J. Dan} and \textit{H. Xue}, Basic Sci. J. Text. Univ. 29, No. 4, 460--464 (2016; Zbl 1374.91117) Full Text: DOI
Dan, Jingyi; Xue, Hong Basket option pricing under bi-fractional jump-diffusion process. (Chinese. English summary) Zbl 1374.91116 J. Hefei Univ. Technol., Nat. Sci. 39, No. 7, 1004-1008 (2016). MSC: 91G20 60J70 60J75 60H30 PDF BibTeX XML Cite \textit{J. Dan} and \textit{H. Xue}, J. Hefei Univ. Technol., Nat. Sci. 39, No. 7, 1004--1008 (2016; Zbl 1374.91116) Full Text: DOI
Cho, Hyunseok; Kim, Kyoung-Kuk; Lee, Kyungsik Computing lower bounds on basket option prices by discretizing semi-infinite linear programming. (English) Zbl 1414.91366 Optim. Lett. 10, No. 8, 1629-1644 (2016). MSC: 91G20 90C34 PDF BibTeX XML Cite \textit{H. Cho} et al., Optim. Lett. 10, No. 8, 1629--1644 (2016; Zbl 1414.91366) Full Text: DOI
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 PDF BibTeX XML Cite \textit{L. von Sydow} et al., Lect. Notes Comput. Sci. Eng. 112, 607--615 (2016; Zbl 1414.91417) Full Text: DOI
Escobar, Marcos; Krause, Daniel; Zagst, Rudi Stochastic covariance and dimension reduction in the pricing of basket options. (English) Zbl 1349.91305 Rev. Deriv. Res. 19, No. 3, 165-200 (2016). MSC: 91G60 65C60 91G20 PDF BibTeX XML Cite \textit{M. Escobar} et al., Rev. Deriv. Res. 19, No. 3, 165--200 (2016; Zbl 1349.91305) Full Text: DOI
Leccadito, Arturo; Paletta, Tommaso; Tunaru, Radu Pricing and hedging basket options with exact moment matching. (English) Zbl 1369.91183 Insur. Math. Econ. 69, 59-69 (2016). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{A. Leccadito} et al., Insur. Math. Econ. 69, 59--69 (2016; Zbl 1369.91183) Full Text: DOI arXiv Link
Marabel Romo, Jacinto Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (English) Zbl 1345.91074 Rev. Deriv. Res. 19, No. 1, 65-83 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Marabel Romo}, Rev. Deriv. Res. 19, No. 1, 65--83 (2016; Zbl 1345.91074) Full Text: DOI
Shiraya, Kenichiro; Takahashi, Akihiko An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. (English) Zbl 1320.91148 J. Comput. Appl. Math. 292, 230-256 (2016). MSC: 91G20 60J75 60H30 PDF BibTeX XML Cite \textit{K. Shiraya} and \textit{A. Takahashi}, J. Comput. Appl. Math. 292, 230--256 (2016; Zbl 1320.91148) Full Text: DOI
Bayer, Christian; Laurence, Peter Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model. (English) Zbl 1418.91595 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 213-237 (2015). MSC: 91G60 65C05 91G20 35K08 PDF BibTeX XML Cite \textit{C. Bayer} and \textit{P. Laurence}, Springer Proc. Math. Stat. 110, 213--237 (2015; Zbl 1418.91595) Full Text: DOI
Gulisashvili, Archil; Tankov, Peter Implied volatility of basket options at extreme strikes. (English) Zbl 1418.91516 Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 175-212 (2015). MSC: 91G20 62P05 62H05 PDF BibTeX XML Cite \textit{A. Gulisashvili} and \textit{P. Tankov}, Springer Proc. Math. Stat. 110, 175--212 (2015; Zbl 1418.91516) Full Text: DOI arXiv
Leitao, Álvaro; Oosterlee, Cornelis W. GPU acceleration of the stochastic grid bundling method for early-exercise options. (English) Zbl 1335.91105 Int. J. Comput. Math. 92, No. 12, 2433-2454 (2015). MSC: 91G60 65Y05 65C05 65C10 91G20 PDF BibTeX XML Cite \textit{Á. Leitao} and \textit{C. W. Oosterlee}, Int. J. Comput. Math. 92, No. 12, 2433--2454 (2015; Zbl 1335.91105) Full Text: DOI Link
Hendricks, C.; Ehrhardt, M.; Günther, M. High order combination technique for the efficient pricing of basket options. (English) Zbl 1363.91130 Acta Math. Univ. Comen., New Ser. 84, No. 2, 243-253 (2015). MSC: 91G60 65M06 65D05 91G20 PDF BibTeX XML Cite \textit{C. Hendricks} et al., Acta Math. Univ. Comen., New Ser. 84, No. 2, 243--253 (2015; Zbl 1363.91130)
Rüschendorf, Ludger; Wolf, Viktor Cost-efficiency in multivariate Lévy models. (English) Zbl 1320.91146 Depend. Model. 3, 1-16 (2015). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{L. Rüschendorf} and \textit{V. Wolf}, Depend. Model. 3, 1--16 (2015; Zbl 1320.91146) Full Text: DOI
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle On an optimization problem related to static super-replicating strategies. (English) Zbl 1299.91140 J. Comput. Appl. Math. 278, 213-230 (2015). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Chen} et al., J. Comput. Appl. Math. 278, 213--230 (2015; Zbl 1299.91140) Full Text: DOI
Alfonsi, Aurélien Affine diffusions and related processes: simulation, theory and applications. (English) Zbl 1387.60002 Bocconi & Springer Series 6. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-05220-5/hbk; 978-3-319-05221-2/ebook). xiii, 252 p. (2015). Reviewer: Heinrich Hering (Rockenberg) MSC: 60-02 91-02 60J20 60J70 60H30 91G70 62P05 65C30 91B25 91B70 91G60 PDF BibTeX XML Cite \textit{A. Alfonsi}, Affine diffusions and related processes: simulation, theory and applications. Milano: Bocconi University Press; Cham: Springer (2015; Zbl 1387.60002) Full Text: DOI
Funahashi, Hideharu; Kijima, Masaaki An extension of the chaos expansion approximation for the pricing of exotic basket options. (English) Zbl 1396.91727 Appl. Math. Finance 21, No. 1-2, 109-139 (2014). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{H. Funahashi} and \textit{M. Kijima}, Appl. Math. Finance 21, No. 1--2, 109--139 (2014; Zbl 1396.91727) Full Text: DOI
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues. (English) Zbl 1314.91224 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). 51-73 (2014). MSC: 91G40 91G10 91G20 62H05 PDF BibTeX XML Cite \textit{T. R. Bielecki} et al., in: Recent advances in financial engineering 2012. Proceedings of the international workshop on finance, Tokyo, Japan, October 30--31, 2012. Hackensack, NJ: World Scientific. 51--73 (2014; Zbl 1314.91224) Full Text: DOI
Bayer, Christian; Laurence, Peter Asymptotics beats Monte Carlo: the case of correlated local vol baskets. (English) Zbl 1302.91193 Commun. Pure Appl. Math. 67, No. 10, 1618-1657 (2014). Reviewer: Paweł Kliber (Poznan) MSC: 91G60 91G20 91G80 35K08 60H30 65C05 65C30 PDF BibTeX XML Cite \textit{C. Bayer} and \textit{P. Laurence}, Commun. Pure Appl. Math. 67, No. 10, 1618--1657 (2014; Zbl 1302.91193) Full Text: DOI
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. (English) Zbl 1307.91186 Stochastic Anal. Appl. 32, No. 4, 687-710 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G40 60J27 91G20 60G55 60H30 62P05 PDF BibTeX XML Cite \textit{Y. Dong} et al., Stochastic Anal. Appl. 32, No. 4, 687--710 (2014; Zbl 1307.91186) Full Text: DOI
Talponen, Jarno; Viitasaari, Lauri Note on multidimensional Breeden-Litzenberger representation for state price densities. (English) Zbl 1287.91147 Math. Financ. Econ. 8, No. 2, 153-157 (2014). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Talponen} and \textit{L. Viitasaari}, Math. Financ. Econ. 8, No. 2, 153--157 (2014; Zbl 1287.91147) Full Text: DOI arXiv
Xu, Guoping; Zheng, Harry Lower bound approximation to basket option values for local volatility jump-diffusion models. (English) Zbl 1290.91168 Int. J. Theor. Appl. Finance 17, No. 1, Article ID 1450007, 15 p. (2014). MSC: 91G20 60H30 60J75 35C20 35R60 91G60 PDF BibTeX XML Cite \textit{G. Xu} and \textit{H. Zheng}, Int. J. Theor. Appl. Finance 17, No. 1, Article ID 1450007, 15 p. (2014; Zbl 1290.91168) Full Text: DOI arXiv
Morozov, V. V.; Khizhnyak, K. V. An upper bound on the value of an infinite American call option on difference and sum of two assets. (English. Russian original) Zbl 1326.91028 Comput. Math. Model. 24, No. 1, 54-64 (2013); translation from Prikl. Mat. Inf. 40, 61-69 (2012). MSC: 91G20 60J70 91G60 PDF BibTeX XML Cite \textit{V. V. Morozov} and \textit{K. V. Khizhnyak}, Comput. Math. Model. 24, No. 1, 54--64 (2013; Zbl 1326.91028); translation from Prikl. Mat. Inf. 40, 61--69 (2012) Full Text: DOI
Jiang, Ying Pricing basket option in a multi-dimensional jump-diffusion model. (Chinese. English summary) Zbl 1299.91142 J. Ningxia Univ., Nat. Sci. Ed. 34, No. 4, 289-293 (2013). MSC: 91G20 62P05 60J60 60J75 PDF BibTeX XML Cite \textit{Y. Jiang}, J. Ningxia Univ., Nat. Sci. Ed. 34, No. 4, 289--293 (2013; Zbl 1299.91142)
Schröter, A.; Heider, P. Numerical methods to quantify the model risk of basket default swaps. (English) Zbl 1288.91194 J. Comput. Appl. Math. 251, 117-132 (2013). MSC: 91G60 91G20 91G40 PDF BibTeX XML Cite \textit{A. Schröter} and \textit{P. Heider}, J. Comput. Appl. Math. 251, 117--132 (2013; Zbl 1288.91194) Full Text: DOI
Dingeç, Kemal Dinçer; Hörmann, Wolfgang Control variates and conditional Monte Carlo for basket and Asian options. (English) Zbl 1284.91570 Insur. Math. Econ. 52, No. 3, 421-434 (2013). MSC: 91G60 91G20 PDF BibTeX XML Cite \textit{K. D. Dingeç} and \textit{W. Hörmann}, Insur. Math. Econ. 52, No. 3, 421--434 (2013; Zbl 1284.91570) Full Text: DOI
Zhang, Jizhou; Fu, Yi; Weng, Ze’nan Application of a control variate Monte Carlo method for pricing basket option under stochastic interest rates. (English) Zbl 1299.91174 Commun. Appl. Math. Comput. 27, No. 3, 372-381 (2013). MSC: 91G60 91G20 65C05 91G30 PDF BibTeX XML Cite \textit{J. Zhang} et al., Commun. Appl. Math. Comput. 27, No. 3, 372--381 (2013; Zbl 1299.91174) Full Text: DOI
Cufaro Petroni, Nicola; Sabino, Piergiacomo Pricing and hedging Asian basket options with quasi-Monte Carlo simulations. (English) Zbl 1267.91079 Methodol. Comput. Appl. Probab. 15, No. 1, 147-163 (2013). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{N. Cufaro Petroni} and \textit{P. Sabino}, Methodol. Comput. Appl. Probab. 15, No. 1, 147--163 (2013; Zbl 1267.91079) Full Text: DOI arXiv
Liang, Xue; Wang, Guojing On a reduced form credit risk model with common shock and regime switching. (English) Zbl 1285.91140 Insur. Math. Econ. 51, No. 3, 567-575 (2012). MSC: 91G40 60J28 91G20 PDF BibTeX XML Cite \textit{X. Liang} and \textit{G. Wang}, Insur. Math. Econ. 51, No. 3, 567--575 (2012; Zbl 1285.91140) Full Text: DOI
Mudzimbabwe, W.; Patidar, Kailash C.; Witbooi, Peter Joseph European basket option pricing by maximizing over a subset of lower bounds. (English) Zbl 1274.91430 Quaest. Math. 35, No. 4, 507-520 (2012). MSC: 91G20 60H30 91G60 PDF BibTeX XML Cite \textit{W. Mudzimbabwe} et al., Quaest. Math. 35, No. 4, 507--520 (2012; Zbl 1274.91430) Full Text: DOI
Alexander, Carol; Venkatramanan, Aanand Analytic approximations for multi-asset option pricing. (English) Zbl 1272.91118 Math. Finance 22, No. 4, 667-689 (2012). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{C. Alexander} and \textit{A. Venkatramanan}, Math. Finance 22, No. 4, 667--689 (2012; Zbl 1272.91118) Full Text: DOI
Frikha, Noufel; Sagna, Abass Quantization based recursive importance sampling. (English) Zbl 1272.65004 Monte Carlo Methods Appl. 18, No. 4, 287-326 (2012). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 65C50 65C60 60H35 91G60 PDF BibTeX XML Cite \textit{N. Frikha} and \textit{A. Sagna}, Monte Carlo Methods Appl. 18, No. 4, 287--326 (2012; Zbl 1272.65004) Full Text: DOI arXiv
Barski, Michał Integral representations of risk functions for basket derivatives. (English) Zbl 1254.91718 Appl. Math. 39, No. 4, 489-514 (2012). MSC: 91G20 91B30 91B24 91B70 PDF BibTeX XML Cite \textit{M. Barski}, Appl. Math. 39, No. 4, 489--514 (2012; Zbl 1254.91718) Full Text: DOI arXiv
Yamada, Yuji Properties of optimal smooth functions in additive models for hedging multivariate derivatives. (English) Zbl 1242.91199 Asia-Pac. Financ. Mark. 19, No. 2, 149-179 (2012). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Yamada}, Asia-Pac. Financ. Mark. 19, No. 2, 149--179 (2012; Zbl 1242.91199) Full Text: DOI Link
Barski, Michał Quantile hedging for basket derivatives. (English) Zbl 1232.91643 Appl. Math. 39, No. 1, 103-127 (2012). MSC: 91G20 91B70 62P05 PDF BibTeX XML Cite \textit{M. Barski}, Appl. Math. 39, No. 1, 103--127 (2012; Zbl 1232.91643) Full Text: DOI arXiv
Cheng, Xixin; Yu, Philip L. H.; Li, W. K. Basket trading under co-integration with the logistic mixture autoregressive model. (English) Zbl 1277.91166 Quant. Finance 11, No. 9, 1407-1419 (2011). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{X. Cheng} et al., Quant. Finance 11, No. 9, 1407--1419 (2011; Zbl 1277.91166) Full Text: DOI
Daum, Sebastian; Werner, Ralf A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing. (English) Zbl 1230.91189 Optimization 60, No. 10-12, 1379-1398 (2011). MSC: 91G60 65K05 90C34 90C90 91G20 PDF BibTeX XML Cite \textit{S. Daum} and \textit{R. Werner}, Optimization 60, No. 10--12, 1379--1398 (2011; Zbl 1230.91189) Full Text: DOI
Hoppe, R. H. W.; Lipp, T. Optimal control of European double barrier basket options. (English) Zbl 1218.91154 J. Numer. Math. 19, No. 2, 113-136 (2011). MSC: 91G20 49N90 49K20 49M25 65N30 91G60 PDF BibTeX XML Cite \textit{R. H. W. Hoppe} and \textit{T. Lipp}, J. Numer. Math. 19, No. 2, 113--136 (2011; Zbl 1218.91154) Full Text: DOI
Tankov, Peter Improved Fréchet bounds and model-free pricing of multi-asset options. (English) Zbl 1219.60016 J. Appl. Probab. 48, No. 2, 389-403 (2011). MSC: 60E15 91G20 PDF BibTeX XML Cite \textit{P. Tankov}, J. Appl. Probab. 48, No. 2, 389--403 (2011; Zbl 1219.60016) Full Text: DOI arXiv
Lin, Jianwei; Liang, Gechun; Wu, Sen; Zheng, Harry The valuation of the basket CDS in a primary-subsidiary model. (English) Zbl 1211.91237 Asia-Pac. J. Oper. Res. 28, No. 2, 213-238 (2011). MSC: 91G20 91G40 91G80 PDF BibTeX XML Cite \textit{J. Lin} et al., Asia-Pac. J. Oper. Res. 28, No. 2, 213--238 (2011; Zbl 1211.91237) Full Text: DOI
Benth, Fred Espen; Henriksen, Pål Nicolai Pricing of basket options using univariate normal inverse Gaussian approximations. (English) Zbl 1211.91252 J. Forecast. 30, No. 3, 355-376 (2011). MSC: 91G70 PDF BibTeX XML Cite \textit{F. E. Benth} and \textit{P. N. Henriksen}, J. Forecast. 30, No. 3, 355--376 (2011; Zbl 1211.91252) Full Text: DOI Link
Carr, Peter; Laurence, Peter Multi-asset stochastic local variance contracts. (English) Zbl 1229.91301 Math. Finance 21, No. 1, 21-52 (2011). MSC: 91G20 PDF BibTeX XML Cite \textit{P. Carr} and \textit{P. Laurence}, Math. Finance 21, No. 1, 21--52 (2011; Zbl 1229.91301) Full Text: DOI
Xu, Guoping; Zheng, Harry Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method. (English) Zbl 1231.91451 Insur. Math. Econ. 47, No. 3, 415-422 (2010). MSC: 91G20 91G60 35R09 60J75 91B70 PDF BibTeX XML Cite \textit{G. Xu} and \textit{H. Zheng}, Insur. Math. Econ. 47, No. 3, 415--422 (2010; Zbl 1231.91451) Full Text: DOI arXiv
De Luigi, Christophe; Maire, Sylvain Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing. (English) Zbl 1206.65014 Monte Carlo Methods Appl. 16, No. 3-4, 265-282 (2010). MSC: 65C05 91G60 PDF BibTeX XML Cite \textit{C. De Luigi} and \textit{S. Maire}, Monte Carlo Methods Appl. 16, No. 3--4, 265--282 (2010; Zbl 1206.65014) Full Text: DOI
Jackson, Ken; Kreinin, Alex; Zhang, Wanhe Fast valuation of forward-starting basket default swaps. (English) Zbl 1203.91292 Int. J. Theor. Appl. Finance 13, No. 2, 195-209 (2010). MSC: 91G20 91G40 65C05 62H05 91G60 PDF BibTeX XML Cite \textit{K. Jackson} et al., Int. J. Theor. Appl. Finance 13, No. 2, 195--209 (2010; Zbl 1203.91292) Full Text: DOI
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle Moment matching approximation of Asian basket option prices. (English) Zbl 1195.91155 J. Comput. Appl. Math. 234, No. 4, 1006-1016 (2010). Reviewer: Klaus Schürger (Bonn) MSC: 91G20 91B25 91G60 60J65 PDF BibTeX XML Cite \textit{G. Deelstra} et al., J. Comput. Appl. Math. 234, No. 4, 1006--1016 (2010; Zbl 1195.91155) Full Text: DOI
Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle Pricing and hedging Asian basket spread options. (English) Zbl 1186.91212 J. Comput. Appl. Math. 233, No. 11, 2814-2830 (2010). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91G20 PDF BibTeX XML Cite \textit{G. Deelstra} et al., J. Comput. Appl. Math. 233, No. 11, 2814--2830 (2010; Zbl 1186.91212) Full Text: DOI
Lee, Hyoseop; Sheen, Dongwoo Laplace transformation method for the Black-Scholes equation. (English) Zbl 1499.91143 Int. J. Numer. Anal. Model. 6, No. 4, 642-658 (2009). MSC: 91G20 44A10 PDF BibTeX XML Cite \textit{H. Lee} and \textit{D. Sheen}, Int. J. Numer. Anal. Model. 6, No. 4, 642--658 (2009; Zbl 1499.91143) Full Text: Link
Xu, Guoping; Zheng, Harry Approximate basket options valuation for a jump-diffusion model. (English) Zbl 1231.91450 Insur. Math. Econ. 45, No. 2, 188-194 (2009). MSC: 91G20 PDF BibTeX XML Cite \textit{G. Xu} and \textit{H. Zheng}, Insur. Math. Econ. 45, No. 2, 188--194 (2009; Zbl 1231.91450) Full Text: DOI Link
Zheng, Harry; Jiang, Lishang Basket CDS pricing with interacting intensities. (English) Zbl 1195.91152 Finance Stoch. 13, No. 3, 445-469 (2009). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G10 60J75 91G60 91G20 PDF BibTeX XML Cite \textit{H. Zheng} and \textit{L. Jiang}, Finance Stoch. 13, No. 3, 445--469 (2009; Zbl 1195.91152) Full Text: DOI Link
Antonov, Alexandre; Misirpashaev, Timur; Piterbarg, Vladimir Markovian projection onto a Heston model. (English) Zbl 1178.91187 J. Comput. Finance 13, No. 1, 23-47 (2009). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{A. Antonov} et al., J. Comput. Finance 13, No. 1, 23--47 (2009; Zbl 1178.91187) Full Text: DOI
Pironneau, Olivier; Achdou, Yves Partial differential equations for option pricing. (English) Zbl 1180.91311 Bensoussan, Alain (ed.) et al., Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance. Amsterdam: Elsevier/North-Holland (ISBN 978-0-444-51879-8/hbk). Handbook of Numerical Analysis 15, 369-495 (2009). MSC: 91G60 91-02 91G20 65M60 65M50 91G80 PDF BibTeX XML Cite \textit{O. Pironneau} and \textit{Y. Achdou}, Handb. Numer. Anal. 15, 369--495 (2009; Zbl 1180.91311) Full Text: DOI
Wu, Yang-Che; Liao, Szu-Lang; Shyu, So-De Closed-form valuations of basket options using a multivariate normal inverse Gaussian model. (English) Zbl 1156.91389 Insur. Math. Econ. 44, No. 1, 95-102 (2009). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{Y.-C. Wu} et al., Insur. Math. Econ. 44, No. 1, 95--102 (2009; Zbl 1156.91389) Full Text: DOI
Zhou, Jinke; Wang, Xiaolu Accurate closed-form approximation for pricing Asian and basket options. (English) Zbl 1199.91240 Appl. Stoch. Models Bus. Ind. 24, No. 4, 343-358 (2008). Reviewer: A. D. Borisenko (Kyïv) MSC: 91G20 91G60 91G70 65C20 PDF BibTeX XML Cite \textit{J. Zhou} and \textit{X. Wang}, Appl. Stoch. Models Bus. Ind. 24, No. 4, 343--358 (2008; Zbl 1199.91240) Full Text: DOI
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle Bounds for Asian basket options. (English) Zbl 1151.91500 J. Comput. Appl. Math. 218, No. 2, 215-228 (2008). MSC: 91B28 60E15 60J65 PDF BibTeX XML Cite \textit{G. Deelstra} et al., J. Comput. Appl. Math. 218, No. 2, 215--228 (2008; Zbl 1151.91500) Full Text: DOI
Li, Xun; Wu, Zhenyu On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices. (English) Zbl 1139.91336 Comput. Oper. Res. 35, No. 1, 76-89 (2008). MSC: 91G60 65C05 PDF BibTeX XML Cite \textit{X. Li} and \textit{Z. Wu}, Comput. Oper. Res. 35, No. 1, 76--89 (2008; Zbl 1139.91336) Full Text: DOI
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio Option pricing when correlations are stochastic: an analytical framework. (English) Zbl 1174.91006 Rev. Deriv. Res. 10, No. 2, 151-180 (2007). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 PDF BibTeX XML Cite \textit{J. Da Fonseca} et al., Rev. Deriv. Res. 10, No. 2, 151--180 (2007; Zbl 1174.91006) Full Text: DOI
Yu, Fan Correlated defaults in intensity-based models. (English) Zbl 1186.91237 Math. Finance 17, No. 2, 155-173 (2007). MSC: 91G70 62P05 62H20 91G20 PDF BibTeX XML Cite \textit{F. Yu}, Math. Finance 17, No. 2, 155--173 (2007; Zbl 1186.91237) Full Text: DOI
Hobson, David; Laurence, Peter; Wang, Tai-Ho Static-arbitrage upper bounds for the prices of basket options. (English) Zbl 1134.91425 Quant. Finance 5, No. 4, 329-342 (2005). MSC: 91G20 PDF BibTeX XML Cite \textit{D. Hobson} et al., Quant. Finance 5, No. 4, 329--342 (2005; Zbl 1134.91425) Full Text: DOI
Hobson, David; Laurence, Peter; Wang, Tai-Ho Static-arbitrage optimal subreplicating strategies for basket options. (English) Zbl 1129.62424 Insur. Math. Econ. 37, No. 3, 553-572 (2005). MSC: 62P05 91G20 90C90 PDF BibTeX XML Cite \textit{D. Hobson} et al., Insur. Math. Econ. 37, No. 3, 553--572 (2005; Zbl 1129.62424) Full Text: DOI
Brigo, Damiano; Mercurio, Fabio; Rapisarda, Francesco; Scotti, Rita Approximated moment-matching dynamics for basket-options pricing. (English) Zbl 1405.91592 Quant. Finance 4, No. 1, 1-16 (2004). MSC: 91G20 PDF BibTeX XML Cite \textit{D. Brigo} et al., Quant. Finance 4, No. 1, 1--16 (2004; Zbl 1405.91592) Full Text: DOI