Matched asymptotic expansions in financial engineering (Q2501093): Difference between revisions

@@ Property / cites work @@
+Q3244676
@@ Property / cites work: Q3244676 / rank @@
+Normal rank
@@ 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 @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
+Normal rank
@@ Property / cites work @@
+Market Volatility and Feedback Effects from Dynamic Hedging
+Normal rank
@@ Property / cites work @@
+Market liquidity and its effect on option valuation and hedging
+Normal rank
@@ Property / cites work @@
+The Feedback Effect of Hedging in Illiquid Markets
+Normal rank
@@ Property / cites work @@
+General Black-Scholes models accounting for increased market volatility from hedging strategies
+Normal rank
@@ Property / cites work @@
+Diffusion of Dopant in Crystalline Silicon: An Asymptotic Analysis
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+On the pricing and hedging of volatility derivatives
+Normal rank
@@ Property / cites work @@
+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence to Black-Scholes for ergodic volatility models
+Normal rank
@@ Property / cites work @@
+Q4661505
@@ Property / cites work: Q4661505 / rank @@
+Normal rank
@@ Property / cites work @@
+Ray methods for free boundary problems
@@ Property / cites work: Ray methods for free boundary problems / rank @@
+Normal rank
@@ Property / cites work @@
+A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
+Normal rank