## Found 225 Documents (Results 1–100)

100
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### A closed-form pricing formula for catastrophe equity options. (English)Zbl 07621907

MSC:  91-XX 60-XX
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### Risk-averse stochastic programming: time consistency and optimal stopping. (English)Zbl 07587533

MSC:  90C15 90C90
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### Valuing guaranteed minimum death benefits by complex Fourier series expansion. (Chinese. English summary)Zbl 07554558

MSC:  91G20 42A16
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### An adaptive Monte Carlo algorithm for European and American options. (English)Zbl 07527958

MSC:  65C05 65F10 65N06
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### Pricing multi-asset American option under Heston-CIR diffusion model with jumps. (English)Zbl 07545717

MSC:  91G20 60G40 91G60
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### An improvement of an analytical approximation method for American options. (English)Zbl 1481.91218

MSC:  91G60 91G20 60G40
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### Optimal hedging of a perpetual American put with a single trade. (English)Zbl 1471.91562

MSC:  91G20 60G40 35R35
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### Impacts of put option contract and supply chain structure in a multi-period supply chain with uncertain demand. (English)Zbl 1469.90047

MSC:  90B06 90B05
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### Closed form optimal exercise boundary of the American put option. (English)Zbl 1467.91188

MSC:  91G20 60G40
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### Synthetic options, portfolio insurance, and contingent immunization. (English)Zbl 1454.91295

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3099-3141 (2021).
MSC:  91G20 91G10
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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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### Options and option strategies: theory and empirical results. (English)Zbl 1454.91293

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2839-2884 (2021).
MSC:  91G20 60G40
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### How does investor sentiment affect implied risk-neutral distributions of call and put options? (English)Zbl 1454.91308

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1599-1636 (2021).
MSC:  91G20
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### Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree. (English)Zbl 1471.91580

MSC:  91G20 91G30
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### A note on options and bubbles under the CEV model: implications for pricing and hedging. (English)Zbl 1451.91196

MSC:  91G20 60G44
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MSC:  91G20
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### Early exercise boundaries for American-style knock-out options. (English)Zbl 1441.91079

MSC:  91G20 60G40 91G60
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MSC:  82-XX
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MSC:  91G50

### American option model and negative Fichera function on degenerate boundary. (English)Zbl 1427.91269

Yin, George (ed.) et al., Modeling, stochastic control, optimization, and applications. Selected papers based on invited talks given at the IMA workshop in modeling, stochastic control, optimization, and related applications, Institute for Mathematics and Its Applications, University of Minnesota, Minneapolis, MN, USA, May 1 – June 30, 2018. Cham: Springer. IMA Vol. Math. Appl. 164, 95-113 (2019).
MSC:  91G20 60G40 35Q91
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### Valuation of American continuous-installment put options. (Chinese. English summary)Zbl 1438.91149

MSC:  91G20 60G40 35Q92
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### A pricing option approach based on backward stochastic differential equation theory. (English)Zbl 1422.91705

MSC:  91G20 60H10
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### The left-curtain martingale coupling in the presence of atoms. (English)Zbl 1427.60073

MSC:  60G42 60G40 91G20
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### Robust bounds for the American put. (English)Zbl 1411.91558

MSC:  91G20 60G40 60G42
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### Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost. (English)Zbl 07549495

MSC:  91G30 91G20 91G60
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### Can outstanding dividend payments be estimated by American options? (English)Zbl 1491.91143

MSC:  91G20 60G40
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### On the integral relationship between the early exercise boundary and the value function of the American put option. (English)Zbl 1419.91627

MSC:  91G20 60G40 60H20
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### The two-point Geske-Johnson approximation of American put option pricing. (Chinese. English summary)Zbl 1424.91130

MSC:  91G20 60G40 60G22

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### A new integral equation formulation for American put options. (English)Zbl 1400.91627

MSC:  91G20 60G40
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### Semi-efficient valuations and put-call parity. (English)Zbl 1417.91503

MSC:  91G20 60G48 60G40
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### Cubic B-spline collocation method for pricing European put option. (Chinese. English summary)Zbl 1413.65388

MSC:  65M70 65M06 91B25 91G20 65D07 91G60
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### Stochastic orders to approach investments in condor financial derivatives. (English)Zbl 1390.60077

MSC:  60E15 62P05
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### Mathematical analysis of the early exercise boundary for the American put option. (English)Zbl 07563980

MSC:  60G48 91B25
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### Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations. (English)Zbl 1420.91457

Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 129-142 (2017).
MSC:  91G20 60G40 91G60
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### Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function. (English)Zbl 1418.91508

MSC:  91G20 60G40
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MSC:  91G20
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MSC:  91G20
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### Longevity risk management and shareholder value for a life annuity business. (English)Zbl 1390.91161

MSC:  91B30 91G20
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### Optimal exercise boundary via intermediate function with jump risk. (English)Zbl 1411.91623

MSC:  91G60 91G20 60G40 65M06 60J75
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### Explicit formula for the valuation of catastrophe put option with exponential jump and default risk. (English)Zbl 1375.91225

MSC:  91G20 91G40 91G60
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### Barrier options pricing with joint distribution of Gaussian process and its maximum. (English)Zbl 1396.91724

MSC:  91G20 60G15 91G60
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### The British asset-or-nothing put option. (English)Zbl 1396.91728

MSC:  91G20 60G40 60J65
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### An interpolation-based approach to American put option pricing. (English)Zbl 1364.91149

Abualrub, Taher (ed.) et al., Mathematics across contemporary sciences. AUS-ICMS, American University of Sharjah, United Arab Emirates, April 2–5, 2015. Cham: Springer (ISBN 978-3-319-46309-4/hbk; 978-3-319-46310-0/ebook). Springer Proceedings in Mathematics & Statistics 190, 167-175 (2017).
MSC:  91G20 60G40
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### Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen. (English)Zbl 1419.60035

MSC:  60G40 62L15 35R35
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MSC:  91G20
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### How do short-sale costs affect put options trading? Evidence from separating hedging and speculative shorting demands. (English)Zbl 1402.91801

MSC:  91G20 62P05
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MSC:  91G20
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MSC:  91G20
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### Catastrophe equity put options with target variance. (English)Zbl 1371.91184

MSC:  91G20 91B30
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### Sensitivity analysis of the optimal exercise boundary of the American put option. (English)Zbl 1371.91183

MSC:  91G20 60G40 60H30
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### The critical price of the American put near maturity in the jump diffusion model. (English)Zbl 1336.60130

MSC:  60H30 60J75 91G20 91G80
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### A new look at short-term implied volatility in asset price models with jumps. (English)Zbl 1403.91348

MSC:  91G20 60G51 60J75
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MSC:  91G20
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### Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market. (English)Zbl 1406.91449

MSC:  91G20 60G40 60G44 60J75
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### A note on market completeness with American put options. (English)Zbl 1418.91505

Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 73-82 (2014).
MSC:  91G20 60G40
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MSC:  91G10
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### Finite difference methods for solving American lookback put options under the Black-Scholes model. (Chinese. English summary)Zbl 1313.91187

MSC:  91G60 91G20 65M06
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### A finite difference method for solving American put option under the CEV model. (Chinese. English summary)Zbl 1313.91192

MSC:  91G60 65M06 91G20
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### Quasi-self-dual exponential Lévy processes. (English)Zbl 1312.60058

MSC:  60G51 60E07 91G20
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### Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options. (English)Zbl 1297.91137

MSC:  91G20 44A15
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MSC:  91G20
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### Option pricing in Heston model by means of weak approximations. (English)Zbl 1354.91153

MSC:  91G20 91B70

MSC:  91G20
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### Area estimation between the early exercise boundaries for the American put option with different local volatilities. (English)Zbl 1273.49013

MSC:  49J40 91G80 91B25
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MSC:  91G20
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### Hedging under arbitrage. (English)Zbl 1262.91138

MSC:  91G20 60H30
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MSC:  91G20
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### Exercise boundary of the American put near maturity in an exponential Lévy model. (English)Zbl 1267.91074

MSC:  91G20 60G40 60G51
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MSC:  91G60
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MSC:  91G20
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MSC:  91G20
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