Brandão, Luiz E.; Fernandes, Gláucia; Dyer, James S. Valuing multistage investment projects in the pharmaceutical industry. (English) Zbl 1403.91384 Eur. J. Oper. Res. 271, No. 2, 720-732 (2018). MSC: 91G80 PDF BibTeX XML Cite \textit{L. E. Brandão} et al., Eur. J. Oper. Res. 271, No. 2, 720--732 (2018; Zbl 1403.91384) Full Text: DOI
Biancardi, Marta; Villani, Giovanni A fuzzy approach for R&D compound option valuation. (English) Zbl 1368.91169 Fuzzy Sets Syst. 310, 108-121 (2017). MSC: 91G20 91G50 91G80 PDF BibTeX XML Cite \textit{M. Biancardi} and \textit{G. Villani}, Fuzzy Sets Syst. 310, 108--121 (2017; Zbl 1368.91169) Full Text: DOI
Wang, Xiaolu; Carlsson, Christer Patent-related decision-making with fuzzy real option analysis. (English) Zbl 1452.91107 Int. J. Math. Oper. Res. 9, No. 4, 467-486 (2016). MSC: 91B06 68T37 PDF BibTeX XML Cite \textit{X. Wang} and \textit{C. Carlsson}, Int. J. Math. Oper. Res. 9, No. 4, 467--486 (2016; Zbl 1452.91107) Full Text: DOI
Gietzmann, Miles B.; Ostaszewski, Adam J. The sound of silence: equilibrium filtering and optimal censoring in financial markets. (English) Zbl 1427.91293 Adv. Appl. Probab. 48, No. A, 119-144 (2016). MSC: 91G50 91G80 93E11 93E35 60G35 60G25 PDF BibTeX XML Cite \textit{M. B. Gietzmann} and \textit{A. J. Ostaszewski}, Adv. Appl. Probab. 48, No. A, 119--144 (2016; Zbl 1427.91293) Full Text: DOI
Han, Youngchul; Kim, Geonwoo Efficient lattice method for valuing of options with barrier in a regime switching model. (English) Zbl 1410.91485 Discrete Dyn. Nat. Soc. 2016, Article ID 2474305, 14 p. (2016). MSC: 91G60 91G20 65M99 PDF BibTeX XML Cite \textit{Y. Han} and \textit{G. Kim}, Discrete Dyn. Nat. Soc. 2016, Article ID 2474305, 14 p. (2016; Zbl 1410.91485) Full Text: DOI
Lawryshyn, Yuri A practical analytical model for valuing early stage investments using real options. (English) Zbl 1362.91042 Int. J. Oper. Res. 25, No. 4, 475-486 (2016). MSC: 91G50 60H30 PDF BibTeX XML Cite \textit{Y. Lawryshyn}, Int. J. Oper. Res. 25, No. 4, 475--486 (2016; Zbl 1362.91042) Full Text: DOI
Jørgensen, Peter Løchte; Gatzert, Nadine On risk charges and shadow account options in pension funds. (English) Zbl 1401.91152 Scand. Actuar. J. 2015, No. 7, 616-639 (2015). MSC: 91B30 91G20 62P05 PDF BibTeX XML Cite \textit{P. L. Jørgensen} and \textit{N. Gatzert}, Scand. Actuar. J. 2015, No. 7, 616--639 (2015; Zbl 1401.91152) Full Text: DOI
Armerin, Fredrik An axiomatic approach to the valuation of cash flows. (English) Zbl 1401.91549 Scand. Actuar. J. 2014, No. 1, 32-40 (2014). MSC: 91G50 60G48 PDF BibTeX XML Cite \textit{F. Armerin}, Scand. Actuar. J. 2014, No. 1, 32--40 (2014; Zbl 1401.91549) 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
Kung, James J. A continuous-time model for valuing foreign exchange options. (English) Zbl 1420.91471 Abstr. Appl. Anal. 2013, Article ID 635746, 10 p. (2013). MSC: 91G20 60H30 35Q91 PDF BibTeX XML Cite \textit{J. J. Kung}, Abstr. Appl. Anal. 2013, Article ID 635746, 10 p. (2013; Zbl 1420.91471) Full Text: DOI
Tsanakas, Andreas; Wüthrich, Mario V.; Černý, Aleš Market value margin via mean-variance hedging. (English) Zbl 1282.91311 Astin Bull. 43, No. 3, 301-322 (2013). MSC: 91G10 91B30 91G50 PDF BibTeX XML Cite \textit{A. Tsanakas} et al., ASTIN Bull. 43, No. 3, 301--322 (2013; Zbl 1282.91311) Full Text: DOI
De Villemeur, Etienne Billette; Ruble, Richard; Versaevel, Bruno Caveat preemptor: coordination failure and success in a duopoly investment game. (English) Zbl 1268.91076 Econ. Lett. 118, No. 2, 250-254 (2013). MSC: 91B26 91B54 91A40 PDF BibTeX XML Cite \textit{E. B. De Villemeur} et al., Econ. Lett. 118, No. 2, 250--254 (2013; Zbl 1268.91076) Full Text: DOI
Carmona, René; Coulon, Michael; Schwarz, Daniel Electricity price modeling and asset valuation: a multi-fuel structural approach. (English) Zbl 1269.91037 Math. Financ. Econ. 7, No. 2, 167-202 (2013). MSC: 91B24 91B25 91B84 91B54 PDF BibTeX XML Cite \textit{R. Carmona} et al., Math. Financ. Econ. 7, No. 2, 167--202 (2013; Zbl 1269.91037) Full Text: DOI
Jator, Samuel N.; Nyonna, Dong Y.; Kerr, Andrew D. Stabilized Adams type method with a block extension for the valuation of options. (English) Zbl 1287.65057 Electron. J. Differ. Equ. 2013, Conf. 20, 79-91 (2013). MSC: 65L05 65L06 34A34 91G60 35Q91 65M20 65L20 PDF BibTeX XML Cite \textit{S. N. Jator} et al., Electron. J. Differ. Equ. 2013, 79--91 (2012; Zbl 1287.65057) Full Text: EMIS
Felix, Bastian Joachim; Weber, Christoph Gas storage valuation applying numerically constructed recombining trees. (English) Zbl 1237.91100 Eur. J. Oper. Res. 216, No. 1, 178-187 (2012). MSC: 91B24 91G50 90C90 PDF BibTeX XML Cite \textit{B. J. Felix} and \textit{C. Weber}, Eur. J. Oper. Res. 216, No. 1, 178--187 (2012; Zbl 1237.91100) Full Text: DOI
Zhu, Dan The martingale pricing for warrant bonds under stochastic interest rate. (Chinese. English summary) Zbl 1249.91135 Acta Math. Appl. Sin. 34, No. 2, 265-271 (2011). MSC: 91G20 91B25 62P05 PDF BibTeX XML Cite \textit{D. Zhu}, Acta Math. Appl. Sin. 34, No. 2, 265--271 (2011; Zbl 1249.91135)
Madan, Dilip B.; Schoutens, Wim Conic finance and the corporate balance sheet. (English) Zbl 1282.91370 Int. J. Theor. Appl. Finance 14, No. 5, 587-610 (2011). MSC: 91G50 91B24 91B38 91G80 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{W. Schoutens}, Int. J. Theor. Appl. Finance 14, No. 5, 587--610 (2011; Zbl 1282.91370) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Pricing and hedging contingent claims with regime switching risk. (English) Zbl 1216.91032 Commun. Math. Sci. 9, No. 2, 477-498 (2011). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Commun. Math. Sci. 9, No. 2, 477--498 (2011; Zbl 1216.91032) Full Text: DOI Euclid
Lai, Guoming; Margot, François; Secomandi, Nicola An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation. (English) Zbl 1228.90166 Oper. Res. 58, No. 3, 564-582 (2010). MSC: 90C90 90C39 90C59 91G50 90B05 PDF BibTeX XML Cite \textit{G. Lai} et al., Oper. Res. 58, No. 3, 564--582 (2010; Zbl 1228.90166) Full Text: DOI
Wang, Shin-Yun; Lee, Cheng-Few A fuzzy real option valuation approach to capital budgeting under uncertainty environment. (English) Zbl 1231.91279 Int. J. Inf. Technol. Decis. Mak. 9, No. 5, 695-713 (2010). MSC: 91B38 91G50 PDF BibTeX XML Cite \textit{S.-Y. Wang} and \textit{C.-F. Lee}, Int. J. Inf. Technol. Decis. Mak. 9, No. 5, 695--713 (2010; Zbl 1231.91279) Full Text: DOI
Chawla, M. M.; Kalla, S. L. A Simpson-type scheme for the valuation of European and American options. (English) Zbl 1195.91172 Bull. Pure Appl. Math. 3, No. 2, 212-218 (2009). MSC: 91G60 65L05 65M06 PDF BibTeX XML Cite \textit{M. M. Chawla} and \textit{S. L. Kalla}, Bull. Pure Appl. Math. 3, No. 2, 212--218 (2009; Zbl 1195.91172)
Zhu, Dan; Yang, Xiangqun The martingale pricing for convertible bonds with dividend-paying under stochastic interest. (Chinese. English summary) Zbl 1199.91064 Chin. J. Appl. Probab. Stat. 24, No. 6, 613-620 (2008). MSC: 91B25 91G20 60G48 PDF BibTeX XML Cite \textit{D. Zhu} and \textit{X. Yang}, Chin. J. Appl. Probab. Stat. 24, No. 6, 613--620 (2008; Zbl 1199.91064)
Schröder, Michael On constructive complex analysis in finance: explicit formulas for Asian options. (English) Zbl 1160.91361 Q. Appl. Math. 66, No. 4, 633-658 (2008). MSC: 91G20 44A10 33C90 33F05 41A58 41A60 PDF BibTeX XML Cite \textit{M. Schröder}, Q. Appl. Math. 66, No. 4, 633--658 (2008; Zbl 1160.91361) Full Text: DOI Link
Imai, Junichi; Watanabe, Takahiro The investment game under uncertainty: an analysis of equilibrium values in the presence of first or second mover advantage. (English) Zbl 1211.91250 Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, Kyoto, Japan, March 6–10, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-413-9/hbk). 151-172 (2007). MSC: 91G50 91G60 91B26 91B38 PDF BibTeX XML Cite \textit{J. Imai} and \textit{T. Watanabe}, in: Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, Kyoto, Japan, March 6--10, 2006. Hackensack, NJ: World Scientific. 151--172 (2007; Zbl 1211.91250)
Schröder, Michael On ladder height densities and Laguerre series in the study of stochastic functionals. I: Basic methods and results. (English) Zbl 1124.65012 Adv. Appl. Probab. 38, No. 4, 969-994 (2006). Reviewer: Silvia Curteanu (Iaşi) MSC: 65C50 33C45 33C90 91G60 60J65 PDF BibTeX XML Cite \textit{M. Schröder}, Adv. Appl. Probab. 38, No. 4, 969--994 (2006; Zbl 1124.65012) Full Text: DOI
Schrager, David F. Affine stochastic mortality. (English) Zbl 1103.60063 Insur. Math. Econ. 38, No. 1, 81-97 (2006). Reviewer: Alexandr B. Vasil’ev (Odessa) MSC: 60H30 60H10 91G20 PDF BibTeX XML Cite \textit{D. F. Schrager}, Insur. Math. Econ. 38, No. 1, 81--97 (2006; Zbl 1103.60063) Full Text: DOI
Chawla, M. M.; Evans, D. J. High-accuracy finite-difference methods for the valuation of options. (English) Zbl 1115.91324 Int. J. Comput. Math. 82, No. 9, 1157-1165 (2005). MSC: 91B28 65M06 PDF BibTeX XML Cite \textit{M. M. Chawla} and \textit{D. J. Evans}, Int. J. Comput. Math. 82, No. 9, 1157--1165 (2005; Zbl 1115.91324) Full Text: DOI
Duan, Jin-Chuan; Pliska, Stanley R. Option valuation with co-integrated asset prices. (English) Zbl 1179.91261 J. Econ. Dyn. Control 28, No. 4, 727-754 (2004). MSC: 91G70 91G20 62P05 PDF BibTeX XML Cite \textit{J.-C. Duan} and \textit{S. R. Pliska}, J. Econ. Dyn. Control 28, No. 4, 727--754 (2004; Zbl 1179.91261) Full Text: DOI
Koulisianis, M. D.; Papatheodorou, T. S. Improving projected successive overrelaxation method for linear complementarity problems. (English) Zbl 1018.65117 Appl. Numer. Math. 45, No. 1, 29-40 (2003). MSC: 65M20 90C33 65M06 65K05 35K05 35R35 65F10 91G60 PDF BibTeX XML Cite \textit{M. D. Koulisianis} and \textit{T. S. Papatheodorou}, Appl. Numer. Math. 45, No. 1, 29--40 (2003; Zbl 1018.65117) Full Text: DOI
Thomann, Enrique; Waymire, Edward C. Contingent claims on assets with conversion costs. (English) Zbl 1071.91023 J. Stat. Plann. Inference 113, No. 2, 403-417 (2003). Reviewer: Serguei V. Solov’ev (Toulouse) MSC: 91B28 91B40 60H30 65M99 PDF BibTeX XML Cite \textit{E. Thomann} and \textit{E. C. Waymire}, J. Stat. Plann. Inference 113, No. 2, 403--417 (2003; Zbl 1071.91023) Full Text: DOI
Hanke, Michael Credit risk, capital structure, and the pricing of equity options. (English) Zbl 1094.91026 Wien: Springer (ISBN 3-211-00520-X/pbk). xvi, 208 p. (2003). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91-02 91G40 91G50 91G20 PDF BibTeX XML Cite \textit{M. Hanke}, Credit risk, capital structure, and the pricing of equity options. Wien: Springer (2003; Zbl 1094.91026)
Yoshida, Yuji The valuation of European options in uncertain environment. (English) Zbl 1011.91045 Eur. J. Oper. Res. 145, No. 1, 221-229 (2003). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Yoshida}, Eur. J. Oper. Res. 145, No. 1, 221--229 (2003; Zbl 1011.91045) Full Text: DOI
Wörner, Stefan; Racheva-Iotova, Boryana; Stoyanov, Stoyan Calibration of a basket option model applied to company valuation. (English) Zbl 1035.91041 Math. Methods Oper. Res. 55, No. 2, 247-263 (2002). MSC: 91B38 91B28 PDF BibTeX XML Cite \textit{S. Wörner} et al., Math. Methods Oper. Res. 55, No. 2, 247--263 (2002; Zbl 1035.91041) Full Text: DOI
Koulisianis, M. D.; Papatheodorou, T. S. A ‘moving index’ method for the solution of the American options valuation problem. (English) Zbl 0973.91068 Math. Comput. Simul. 54, No. 4-5, 373-381 (2000). MSC: 91B82 90C33 91G60 PDF BibTeX XML Cite \textit{M. D. Koulisianis} and \textit{T. S. Papatheodorou}, Math. Comput. Simul. 54, No. 4--5, 373--381 (2000; Zbl 0973.91068) Full Text: DOI
Fischer, Edwin O.; Keber, Christian; Maringer, Dietmar G. The valuation of credit guarantees by compound options. (Die Bewertung der Kreditgarantien mittels Hyperoptionen.) (German) Zbl 1017.91043 OR Spektrum 22, No. 4, 461-489 (2000). MSC: 91B28 PDF BibTeX XML Cite \textit{E. O. Fischer} et al., OR Spektrum 22, No. 4, 461--489 (2000; Zbl 1017.91043) Full Text: DOI
Grosen, Anders; Jørgensen, Peter Løchte Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. (English) Zbl 0977.62108 Insur. Math. Econ. 26, No. 1, 37-57 (2000). MSC: 62P05 PDF BibTeX XML Cite \textit{A. Grosen} and \textit{P. L. Jørgensen}, Insur. Math. Econ. 26, No. 1, 37--57 (2000; Zbl 0977.62108) Full Text: DOI
Bollen, Nicolas P. B.; Gray, Stephen F.; Whaley, Robert E. Regime switching in foreign exchange rates: Evidence from currency option prices. (English) Zbl 0970.62072 J. Econom. 94, No. 1-2, 239-276 (2000). MSC: 62P05 91B84 62P20 PDF BibTeX XML Cite \textit{N. P. B. Bollen} et al., J. Econom. 94, No. 1--2, 239--276 (2000; Zbl 0970.62072) Full Text: DOI
Alvarez, Luis H. R. Optimal exit and valuation under demand uncertainty: a real options approach. (English) Zbl 0935.91016 Eur. J. Oper. Res. 114, No. 2, 320-329 (1999). MSC: 91G50 PDF BibTeX XML Cite \textit{L. H. R. Alvarez}, Eur. J. Oper. Res. 114, No. 2, 320--329 (1999; Zbl 0935.91016) Full Text: DOI
Korn, Ralf; Korn, Elke Valuation of options and portfolio optimization. (Optionsbewertung und Portofolio-Optimierung.) (German) Zbl 0924.90020 Wiesbaden: Vieweg. xiv, 294 S. (1999). Reviewer: Klaus Ehemann (Hamburg) MSC: 91G10 91-01 91G70 PDF BibTeX XML Cite \textit{R. Korn} and \textit{E. Korn}, Optionsbewertung und Portofolio-Optimierung. Wiesbaden: Vieweg (1999; Zbl 0924.90020)
Mbanefo, A. Co-movement term structure and the valuation of energy spread options. (English) Zbl 0913.90021 Dempster, M. A. H. (ed.) et al., Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Cambridge: Cambridge Univ. Press. Publ. Newton Inst. 15, 88-102 (1997). MSC: 91B28 PDF BibTeX XML Cite \textit{A. Mbanefo}, in: Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Cambridge: Cambridge Univ. Press. 88--102 (1997; Zbl 0913.90021)
Bouchouev, Ilia; Isakov, Victor The inverse problem of option pricing. (English) Zbl 0894.90014 Inverse Probl. 13, No. 5, L11-L17 (1997). MSC: 91G80 35R30 91G20 PDF BibTeX XML Cite \textit{I. Bouchouev} and \textit{V. Isakov}, Inverse Probl. 13, No. 5, L11--L17 (1997; Zbl 0894.90014) Full Text: DOI
Zhang, Xiaolan Valuation of American options in a jump-diffusion model. (English) Zbl 0898.90038 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 93-114 (1997). MSC: 91B28 60H15 60J75 60J70 PDF BibTeX XML Cite \textit{X. Zhang}, in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 93--114 (1997; Zbl 0898.90038)
Schotman, Peter A Bayesian approach to the empirical valuation of bond options. (English) Zbl 0864.62085 J. Econom. 75, No. 1, 183-215 (1996). MSC: 62P20 62F15 91B28 PDF BibTeX XML Cite \textit{P. Schotman}, J. Econom. 75, No. 1, 183--215 (1996; Zbl 0864.62085) Full Text: DOI
Drees, Burkhard; Eckwert, Bernhard The risk and price volatility of stock options in general equilibrium. (English) Zbl 0916.90018 Scand. J. Econ. 97, No. 3, 459-467 (1995). MSC: 91B28 PDF BibTeX XML Cite \textit{B. Drees} and \textit{B. Eckwert}, Scand. J. Econ. 97, No. 3, 459--467 (1995; Zbl 0916.90018) Full Text: DOI
Dewynne, J. N.; Wilmott, P. A note on American options with varying exercise price. (English) Zbl 0843.90014 J. Aust. Math. Soc., Ser. B 37, No. 1, 45-57 (1995). MSC: 91B24 91B62 60H10 PDF BibTeX XML Cite \textit{J. N. Dewynne} and \textit{P. Wilmott}, J. Aust. Math. Soc., Ser. B 37, No. 1, 45--57 (1995; Zbl 0843.90014) Full Text: DOI
Yor, Marc On some exponential-integral functionals of Bessel processes. (English) Zbl 0884.90056 Math. Finance 3, No. 2, 231-240 (1993). MSC: 91B28 PDF BibTeX XML Cite \textit{M. Yor}, Math. Finance 3, No. 2, 231--240 (1993; Zbl 0884.90056) Full Text: DOI
Myneni, Ravi The pricing of the American option. (English) Zbl 0753.60040 Ann. Appl. Probab. 2, No. 1, 1-23 (1992). Reviewer: M.Scheutzow (Berlin) MSC: 60G35 91B28 60G40 35R35 60J45 PDF BibTeX XML Cite \textit{R. Myneni}, Ann. Appl. Probab. 2, No. 1, 1--23 (1992; Zbl 0753.60040) Full Text: DOI
Cox, John C.; Ross, Stephen A.; Rubinstein, Mark Option pricing: a simplified approach. (English) Zbl 1131.91333 J. Financ. Econ. 7, No. 3, 229-263 (1979). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. C. Cox} et al., J. Financ. Econ. 7, No. 3, 229--263 (1979; Zbl 1131.91333) Full Text: DOI