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Baldimtsi, Foteini (ed.) et al., Financial cryptography and data security. 27th international conference, FC 2023, Bol, Brač, Croatia, May 1–5, 2023. Revised selected papers. Part I. Cham: Springer. Lect. Notes Comput. Sci. 13950, 344-362 (2024).

MSC: 91G20

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Chen, Ze; Feng, Runhuan; Li, Hong; Yang, Tianyu

Coping with longevity via hedging: fair dynamic valuation of variable annuities. (English) Zbl 07882280

Insur. Math. Econ. 117, 154-169 (2024).

MSC: 91G05

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León-Pérez, Belén; Moreno, Manuel

Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (English) Zbl 07881813

Ann. Oper. Res. 337, No. 1, 167-196 (2024).

MSC: 91G20 91G30

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Li, Libo; Wu, Zhuoshu

Defaultable perpetual American put option in a last passage time model. (English) Zbl 07878499

Stat. Probab. Lett. 209, Article ID 110018, 5 p. (2024).

MSC: 91G20 60G40 35R35

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Xie, Wenjia; Huang, Zhongyi

On pricing options under two stochastic volatility processes. (English) Zbl 1541.91248

East Asian J. Appl. Math. 14, No. 2, 418-450 (2024).

MSC: 91G20 91G60 65M06 35C20 35K25 91B70

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Gao, Jinwu; Jia, Ruru; Noorani, Idin; Mehrdoust, Farshid

Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility. (English) Zbl 07876198

J. Comput. Appl. Math. 447, Article ID 115890, 24 p. (2024).

MSC: 91G20 60G10

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Gan, Liu; Yang, Zhaojun

Financial decisions involving credit default swaps over the business cycle. (English) Zbl 07875980

J. Econ. Dyn. Control 161, Article ID 104830, 18 p. (2024).

MSC: 91-XX

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Gonon, Lukas

Deep neural network expressivity for optimal stopping problems. (English) Zbl 07874611

Finance Stoch. 28, No. 3, 865-910 (2024).

MSC: 60G40 60J20 68T07 62M45 91G20 91G60

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Çetin, Umut; Hok, Julien

Speeding up the Euler scheme for killed diffusions. (English) Zbl 07874607

Finance Stoch. 28, No. 3, 663-707 (2024).

MSC: 91G20 60J60 91G60

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Horvath, Blanka; Jacquier, Antoine; Muguruza, Aitor; Søjmark, Andreas

Functional central limit theorems for rough volatility. (English) Zbl 07874606

Finance Stoch. 28, No. 3, 615-661 (2024).

MSC: 91G20 60F17 60F05 60G22 91G60

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Zhao, Yuexu; Bao, Jiayong

Barrier option pricing in regime switching models with rebates. (English) Zbl 07874590

Acta Math. Appl. Sin., Engl. Ser. 40, No. 3, 849-861 (2024).

MSC: 91G20 60B15 91G60

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Duan, Pingtao; Liu, Yuting; Ma, Zhiming

Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity. (English) Zbl 07873901

Commun. Math. Stat. 12, No. 2, 239-263 (2024).

Reviewer: Nikolay Kyurkchiev (Plovdiv)

MSC: 91G60 65T50 91G20 60J74

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Brown, Bruce; Griebel, Michael; Kuo, Frances Y.; Sloan, Ian H.

On the expected uniform error of Brownian motion approximated by the Lévy-Ciesielski construction. (English) Zbl 07873481

Bull. Aust. Math. Soc. 109, No. 3, 581-593 (2024).

MSC: 60J65 60G15 41A63 91G20

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Ha, Mijin; Park, Sangmin; Kim, Donghyun; Yoon, Ji-Hun

Pricing of timer digital power options based on stochstic volatility. (English) Zbl 07873047

East Asian Math. J. 40, No. 1, 63-74 (2024).

MSC: 91G20 35Q91

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Lai, Yi-Hao; Wang, Yi-Chiuan; Chang, Yu-Ching

Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach. (English) Zbl 07872893

Asia-Pac. Financ. Mark. 31, No. 2, 285-305 (2024).

MSC: 91G20 62P05

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Černý, Aleš; Czichowsky, Christoph; Kallsen, Jan

Numeraire-invariant quadratic hedging and mean-variance portfolio allocation. (English) Zbl 07872316

Math. Oper. Res. 49, No. 2, 752-781 (2024).

MSC: 91G10 60G48

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Gankhuu, Battulga

Stochastic DDM with regime-switching process. (English) Zbl 07868843

Numer. Algebra Control Optim. 14, No. 2, 339-365 (2024).

MSC: 91G20 91G05 91G50 62M10

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Yu, Jicheng

Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion. (English) Zbl 1541.35513

J. Appl. Anal. 30, No. 1, 137-145 (2024).

MSC: 35Q91 91G20 60G22 17B81 35B06 35C05 26A33 35R11

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Cui, Bing; Najafi, Alireza

Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint. (English) Zbl 07866539

J. Comput. Appl. Math. 445, Article ID 115837, 16 p. (2024).

MSC: 91G20 60G22 62P05

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Buscaglia, Emelin L.; Lotito, Pablo A.; Parente, Lisandro A.

An inexact algorithm for stochastic variational inequalities. (English) Zbl 07865884

Oper. Res. Lett. 52, Article ID 107064, 8 p. (2024).

MSC: 90-XX

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Dong, Yuchao

Randomized optimal stopping problem in continuous time and reinforcement learning algorithm. (English) Zbl 07865496

SIAM J. Control Optim. 62, No. 3, 1590-1614 (2024).

MSC: 91G20 60G40 91G60 68T07 60G22

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Kelly, Cónall

Computation and simulation for finance. An introduction with Python. (English) Zbl 07863730

Springer Undergraduate Texts in Mathematics and Technology. Cham: Springer (ISBN 978-3-031-60574-1/hbk; 978-3-031-60577-2/pbk; 978-3-031-60575-8/ebook). (2024).

MSC: 91-01 91G60 65C05 65M06 91G20 91G30 91-08 91-04

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Zhang, Qi; Wang, Qi; Song, Haiming; Hao, Yongle

Primal-dual active set method for evaluating American put options on zero-coupon bonds. (English) Zbl 07862445

Comput. Appl. Math. 43, No. 4, Paper No. 213, 18 p. (2024).

MSC: 91G60 65M60 65M12 91G20 60G40

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Liu, Hanjie; Zhu, Yuanguo; He, Liu

Extreme values of solution of Caputo-Hadamard uncertain fractional differential equation and applications. (English) Zbl 07861242

Math. Methods Appl. Sci. 47, No. 6, 4105-4121 (2024).

MSC: 34A08 65L05 91G20

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Nikan, Omid; Avazzadeh, Zakieh; Machado, José A. Tenreiro

Localized kernel-based meshless method for pricing financial options underlying fractal transmission system. (English) Zbl 07861195

Math. Methods Appl. Sci. 47, No. 5, 3247-3260 (2024).

MSC: 91G20 65L05

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Wang, Zhenyi; Wang, Haizi; Zhang, Shibin; Qiu, Shuai

Shipment lead time hedging and coordination in prefabricated construction supply chain. (English) Zbl 1541.90029

RAIRO, Oper. Res. 58, No. 3, 2143-2166 (2024).

MSC: 90B05 90B06

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Di Nunno, Giulia; Yurchenko-Tytarenko, Anton

Power law in sandwiched Volterra volatility model. (English) Zbl 1537.91318

Mod. Stoch., Theory Appl. 11, No. 2, 169-194 (2024).

MSC: 91G20 60H07 60G22

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Azze, Abel; D’Auria, Bernardo; García-Portugués, Eduardo

Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (English) Zbl 07860059

Stochastics 96, No. 1, Article ID 2325402, 26 p. (2024).

MSC: 91G20 60G40 60G10 35R35

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Deng, Guohe; Liu, Shuai

Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate. (English) Zbl 07860045

Int. J. Comput. Math. 101, No. 3, 331-356 (2024).

MSC: 91G20 91G30 91G60

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Stahl, Philip; Blauth, Jérôme

Martingale defects in the volatility surface and bubble conditions in the underlying. (English) Zbl 1537.91335

Rev. Deriv. Res. 27, No. 1, 85-111 (2024).

MSC: 91G20 91B70 60G46

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Glória, Carlos Miguel; Dias, José Carlos; Cruz, Aricson

Pricing levered warrants under the CEV diffusion model. (English) Zbl 1537.91320

Rev. Deriv. Res. 27, No. 1, 55-84 (2024).

MSC: 91G20

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Han, Yuecai; Zhang, Fengtong

Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility. (English) Zbl 1537.91324

Rev. Deriv. Res. 27, No. 1, 37-53 (2024).

MSC: 91G20

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Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; Sibbertsen, Philipp

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (English) Zbl 1537.91317

Rev. Deriv. Res. 27, No. 1, 1-35 (2024).

MSC: 91G20

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Chang, Shih-Chung; Wang, Frank Yong

Two-sided asymmetric information and convertible securities in venture financing. (English) Zbl 1537.91315

Econ. Lett. 237, Article ID 111635, 5 p. (2024).

MSC: 91G20 91G50

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Bouri, Elie; Alsagr, Naif

Hedging investment-grade and high-yield bonds with credit VIX. (English) Zbl 1537.91312

Econ. Lett. 237, Article ID 111630, 7 p. (2024).

MSC: 91G20 91G40

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Grigorian, Karen; Jarrow, Robert A.

Filtration reduction and incomplete markets. (English) Zbl 1537.91322

Front. Math. Finance 3, No. 1, 78-105 (2024).

MSC: 91G20 91G15 60G35 60G42

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Herrera, Calypso; Krach, Florian; Ruyssen, Pierre; Teichmann, Josef

Optimal stopping via randomized neural networks. (English) Zbl 1537.91325

Front. Math. Finance 3, No. 1, 31-77 (2024).

MSC: 91G20 60G40 68T07 60G22

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Shirai, Yoshihiro

Extreme measures in continuous time conic finance. (English) Zbl 1537.91363

Front. Math. Finance 3, No. 1, 1-30 (2024).

MSC: 91G70 91G20 60H10 60G51 91G80

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Carassus, Laurence; Ferhoune, Massinissa

Efficient approximations for utility-based pricing. (English) Zbl 1537.91355

Methodol. Comput. Appl. Probab. 26, No. 2, Paper No. 10, 38 p. (2024).

MSC: 91G60 65C05 91G20 60E10

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Michielon, Matteo; Khedher, Asma; Spreij, Peter

Proxying credit curves via Wasserstein distances. (English) Zbl 1537.91340

Ann. Oper. Res. 336, No. 1-2, 1351-1367 (2024).

MSC: 91G40 91G20 49Q22

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Frau, Carme; Fanelli, Viviana

Seasonality in commodity prices: new approaches for pricing plain vanilla options. (English) Zbl 1539.91129

Ann. Oper. Res. 336, No. 1-2, 1089-1131 (2024).

MSC: 91G20 91G30 91G60 65T50

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De Giovanni, Domenico; Leccadito, Arturo; Loccisano, Debora

Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. (English) Zbl 1537.91316

Ann. Oper. Res. 336, No. 1-2, 1039-1061 (2024).

MSC: 91G20 91G70

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Carr, Peter; Torricelli, Lorenzo

Convex duality in continuous option pricing models. (English) Zbl 1539.91127

Ann. Oper. Res. 336, No. 1-2, 1013-1037 (2024).

MSC: 91G20 91G80

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Bernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven

Implied value-at-risk and model-free simulation. (English) Zbl 1537.91309

Ann. Oper. Res. 336, No. 1-2, 925-943 (2024).

MSC: 91G20 91G70 62P05 62G08

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Berton, Edoardo; Mercuri, Lorenzo

An efficient unified approach for spread option pricing in a copula market model. (English) Zbl 1537.91310

Ann. Oper. Res. 336, No. 1-2, 307-329 (2024).

MSC: 91G20 62P05 62H05 91G60

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Brignone, Riccardo; Gonzato, Luca; Sgarra, Carlo

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. (English) Zbl 1537.91314

Ann. Oper. Res. 336, No. 1-2, 275-306 (2024).

MSC: 91G20 60J74

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Silotto, Lorenzo; Scaringi, Marco; Bianchetti, Marco

XVA modelling: validation, performance and model risk management. (English) Zbl 1537.91334

Ann. Oper. Res. 336, No. 1-2, 183-274 (2024).

MSC: 91G20 91G60

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Hölzermann, Julian

Pricing interest rate derivatives under volatility uncertainty. (English) Zbl 1537.91326

Ann. Oper. Res. 336, No. 1-2, 153-182 (2024).

MSC: 91G20 91G30 60G65

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Found 10,175 Documents (Results 1–100)

The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions. (English) Zbl 07901810

Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment. (English) Zbl 07900361

A generalized integral equation formulation for pricing American options under regime-switching model. (English) Zbl 07900335

On some semi-parametric estimates for European option prices. (English) Zbl 07925103

A novel portfolio optimization method and its application to the hedging problem. (English) Zbl 07922094

Conditional indicators. (English) Zbl 07914183

Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function. (English) Zbl 07912574

Optimization of electricity futures and LNG futures trading under practical constraints of power producers in Japan. (English) Zbl 07910135

A robust numerical simulation of a fractional Black-Scholes equation for pricing American options. (English) Zbl 07906464

Correction to: “Trinomial tree based option pricing model in supply chain financing”. (English) Zbl 07905532

Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay. (English) Zbl 07904966

Optimal stopping: Bermudan strategies meet non-linear evaluations. (English) Zbl 07904064

Regret-aversion over different maturities: application to energy futures markets. (English) Zbl 07903194

Foreign investments of Japanese life insurance companies. (English) Zbl 07902749

Pricing airbag option via first passage time approach. (English) Zbl 07900987

Valuation and hedging of cryptocurrency inverse options. (English) Zbl 07900982

RBF-based IMEX finite difference schemes for pricing option under liquidity switching. (English) Zbl 07899562

A novel term-structure-based Heston model for implied volatility surface. (English) Zbl 07899552

Primal-dual active set algorithm for valuating American options under regime switching. (English) Zbl 07899550

A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model. (English) Zbl 07899549

Controlled measure-valued martingales: a viscosity solution approach. (English) Zbl 07899438

Monte Carlo method for pricing lookback type options in Lévy models. (English. Russian original) Zbl 07898579

High-dimensional stochastic control models for newsvendor problems and deep learning resolution. (English) Zbl 07898272

Carbon risk hedging: reducing portfolio carbon risk using a beta hedge ratio. (English) Zbl 07896872

Pricing and hedging of temperature derivatives in a model with memory. (English) Zbl 07896869

The information premium on a finite probability space. (English) Zbl 07895248

Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy. (English) Zbl 07895137

Asset pricing and hedging in financial markets with fixed and proportional transaction costs. (English) Zbl 07895136

Partial hedging in rough volatility models. (English) Zbl 07895127

On robust fundamental theorems of asset pricing in discrete time. (English) Zbl 07895126

Pricing European call options with interval-valued volatility and interest rate. (English) Zbl 07894925

Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models. (English) Zbl 07893831

A short note on super-hedging an arbitrary number of European options with integer-valued strategies. (English) Zbl 07891548

Mean reflected BSDE driven by a marked point process and application in insurance risk management. (English) Zbl 07891423

Pricing CDS index tranches under thinning-dependence structure with regime switching. (English) Zbl 07890911

Pricing vulnerable lookback options using Laplace transforms. (English) Zbl 07890866

Numerical analysis of fractional order Black-Scholes option pricing model with band equation method. (English) Zbl 07890863

Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model. (English) Zbl 07890862

Optimal liquidation with high risk aversion and small linear price impact. (English) Zbl 07890796

The power of derivatives in portfolio optimization under affine GARCH models. (English) Zbl 07890795

The geometry of risk adjustments. (English) Zbl 07890792

Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model. (English) Zbl 07890791

On entropy martingale optimal transport theory. (English) Zbl 07890790

Short time behavior of the ATM implied skew in the ADO-Heston model. (English) Zbl 07889733

Option pricing under jump diffusion model. (English) Zbl 07888218

Asymptotics for short maturity Asian options in jump-diffusion models with local volatility. (English) Zbl 07885177

A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM-MVA. (English) Zbl 07885176

Tail risk aversion and backwardation of index futures. (English) Zbl 07885175

Speed and duration of drawdown under general Markov models. (English) Zbl 07885174

Implied roughness in the term structure of oil market volatility. (English) Zbl 07885172

Robust and accurate reconstruction of the time-dependent continuous volatility from option prices. (English) Zbl 07884756

The Merton’s default risk model for private company. (English) Zbl 07882612

Mitigating decentralized finance liquidations with reversible call options. (English) Zbl 07882518

Coping with longevity via hedging: fair dynamic valuation of variable annuities. (English) Zbl 07882280

Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (English) Zbl 07881813

Defaultable perpetual American put option in a last passage time model. (English) Zbl 07878499

On pricing options under two stochastic volatility processes. (English) Zbl 1541.91248

Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility. (English) Zbl 07876198

Financial decisions involving credit default swaps over the business cycle. (English) Zbl 07875980

Deep neural network expressivity for optimal stopping problems. (English) Zbl 07874611

Speeding up the Euler scheme for killed diffusions. (English) Zbl 07874607

Functional central limit theorems for rough volatility. (English) Zbl 07874606

Barrier option pricing in regime switching models with rebates. (English) Zbl 07874590

Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity. (English) Zbl 07873901

On the expected uniform error of Brownian motion approximated by the Lévy-Ciesielski construction. (English) Zbl 07873481

Pricing of timer digital power options based on stochstic volatility. (English) Zbl 07873047

Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach. (English) Zbl 07872893

Numeraire-invariant quadratic hedging and mean-variance portfolio allocation. (English) Zbl 07872316

Stochastic DDM with regime-switching process. (English) Zbl 07868843

Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion. (English) Zbl 1541.35513

Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint. (English) Zbl 07866539

An inexact algorithm for stochastic variational inequalities. (English) Zbl 07865884

Randomized optimal stopping problem in continuous time and reinforcement learning algorithm. (English) Zbl 07865496