A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL (Q3379411): Difference between revisions

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-Sergio A. Albeverio
@@ Property / author: Sergio A. Albeverio / rank @@
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+Sergio A. Albeverio
@@ Property / author: Sergio A. Albeverio / rank @@
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+MaRDI publication profile
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+A model of financial market with several interacting assets. Complete market case
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Q4226821
@@ Property / cites work: Q4226821 / rank @@
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@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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+https://doi.org/10.1142/s0219024906003469
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+W2028736304
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+Publication:3379411