New analytical option pricing models with Weyl–Titchmarsh theory (Q2873531): Difference between revisions

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+Yi-Shen Li
@@ Property / author: Yi-Shen Li / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2010.503659
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@@ Property / OpenAlex ID @@
+W2002402620
@@ Property / OpenAlex ID: W2002402620 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
+Normal rank
@@ Property / cites work @@
+Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE
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@@ Property / cites work @@
+Analysis, Geometry, and Modeling in Finance
@@ Property / cites work: Analysis, Geometry, and Modeling in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Eigenfunction Expansions in Continuous-Time Finance
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@@ Property / cites work @@
+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
@@ Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank @@
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@@ Property / cites work @@
+Q5838785
@@ Property / cites work: Q5838785 / rank @@
+Normal rank
@@ Property / cites work @@
+On valuation of derivative securities: A Lie group analytical approach.
+Normal rank
@@ Property / cites work @@
+The implied volatility smirk
@@ Property / cites work: The implied volatility smirk / rank @@
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+The pricing of derivatives on assets with quadratic volatility
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