scientific article; zbMATH DE number 841285

Jeff Dewynne, Paul Wilmott, S. D. Howison

Publication date: 4 February 1996

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

option pricing Wiener processes American options Black-Scholes framework partial differential equations finance continuous time exotic options European options put-call parity theorem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (only showing first 100 items - show all)

Analysis of the nonlinear option pricing model under variable transaction costs ⋮ Power penalty method for a linear complementarity problem arising from American option valuation ⋮ American options on assets with dividends near expiry ⋮ Compact finite difference method for American option pricing ⋮ The pricing of options for securities markets with delayed response ⋮ Optimal exercise boundary for an American put option ⋮ A hybrid method for pricing European options based on multiple assets with transaction costs ⋮ On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices ⋮ An explicit finite difference approach to the pricing problems of perpetual Bermudan options ⋮ Problem of selecting an optimal portfolio with a probabilistic risk function ⋮ Valuation of American options by the gradient projection method ⋮ Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab$^\circledR$ codes) ⋮ A long time asymptotic behavior of the free boundary for an American put ⋮ Active-Set Reduced-Space Methods with Nonlinear Elimination for Two-Phase Flow Problems in Porous Media ⋮ A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models ⋮ A comparative analysis of local meshless formulation for multi-asset option models ⋮ A spectral method for the time evolution in parabolic problems ⋮ Polynomial algorithms for pricing path-dependent interest rate instruments ⋮ A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option ⋮ DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION ⋮ An alternating-direction implicit difference scheme for pricing Asian options ⋮ An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering ⋮ On a new family of radial basis functions: mathematical analysis and applications to option pricing ⋮ Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing ⋮ Dividends in the theory of derivative securities pricing ⋮ Rational Spectral Collocation Method for Pricing American Vanilla and Butterfly Spread Options ⋮ A mixed PDE-Monte Carlo approach for pricing credit default index swaptions ⋮ Vector financial rogue waves ⋮ Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering ⋮ A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing ⋮ Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model ⋮ Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method ⋮ On inverse problems for strongly degenerate parabolic equations under the integral observation condition ⋮ A new predictor-corrector scheme for valuing American puts ⋮ Pricing options on investment project expansions under commodity price uncertainty ⋮ Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation ⋮ Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations ⋮ A posteriorierror analysis for parabolic variational inequalities ⋮ Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation ⋮ Preliminary group classification of $(2+1)$-dimensional linear ultraparabolic Kolmogorov - Fokker - Planck equations ⋮ Valuation of segregated funds: shout options with maturity extensions. ⋮ Critical price near maturity for an American option on a dividend-paying stock. ⋮ Accurate numerical method for pricing two-asset American put options ⋮ A finite difference scheme for pricing American put options under Kou's jump-diffusion model ⋮ Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks ⋮ Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models ⋮ An error estimate for the finite difference scheme for one-phase obstacle problem ⋮ Numerical treatment to a non-local parabolic free boundary problem arising in financial bubbles ⋮ A HODIE finite difference scheme for pricing American options ⋮ OPTIMAL DIVIDEND POLICY AND STOCK PRICES ⋮ An analysis of finite volume element method for solving the Signorini problem ⋮ Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty ⋮ Weakly chained diagonally dominant $B$-matrices and error bounds for linear complementarity problems ⋮ Group Classification of a Class of Kolmogorov Equations with Time-Dependent Coefficients ⋮ Unnamed Item ⋮ Space-time adaptive finite elements for nonlocal parabolic variational inequalities ⋮ One-state variable binomial models for European-/American-style geometric Asian options ⋮ An efficient computational algorithm for pricing European, barrier and American options ⋮ Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach ⋮ Unnamed Item ⋮ Parameter estimation approach to the free boundary for the pricing of an American call option ⋮ On the valuation of variance swaps with stochastic volatility ⋮ Evaluation of double average asian options by the legendre spectral method ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ A robust finite difference scheme for pricing American put options with singularity-separating method ⋮ Numerical methods for Lévy processes ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ A numerical method for European option pricing with transaction costs nonlinear equation ⋮ Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation ⋮ Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff ⋮ TVD, WENO and blended BDF discretizations for Asian options ⋮ Computing option pricing models under transaction costs ⋮ On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options ⋮ ADI Schemes for Pricing American Options under the Heston Model ⋮ Semismooth Newton methods for variational problems with inequality constraints ⋮ Predictability and unpredictability in financial markets ⋮ Variational Analysis for the Black and Scholes Equation with Stochastic Volatility ⋮ DG method for pricing European options under Merton jump-diffusion model. ⋮ Superconvergence estimates of finite element methods for American options ⋮ Almost sure optimal hedging strategy ⋮ Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry ⋮ A preference free partial differential equation for the term structure of interest rates ⋮ Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates ⋮ Numerical solution of linear and nonlinear Black-Scholes option pricing equations ⋮ A Numerical Approach for the American Call Option Pricing Model ⋮ A numerical method for pricing European options with proportional transaction costs ⋮ A penalty method for a finite-dimensional obstacle problem with derivative constraints ⋮ PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS ⋮ Two extensions to barrier option valuation ⋮ PDE Models for Pricing Stocks and Options With Memory Feedback ⋮ Lookback options with discrete and partial monitoring of the underlying price ⋮ A modified binomial tree method for currency lookback options ⋮ PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME ⋮ Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement ⋮ First- and second-order necessary conditions via exact penalty functions ⋮ Hedging error estimate of the american put option problem in jump-diffusion processes ⋮ On Schrödinger type operators with unbounded coefficients: generation and heat kernel estimates ⋮ Lattice Boltzmann methods for solving partial differential equations of exotic option pricing

This page was built for publication: