An Introduction to Financial Option Valuation
arbitragebinomial treeBlack-Scholes formulafinite difference methodhedgingMonte Carlo simulationoptionpartial differential equationvolatility
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Monte Carlo methods (65C05) Finite difference methods for boundary value problems involving PDEs (65N06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
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- Option theory with stochastic analysis. An introduction to mathematical finance.
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- Introduction to the mathematics of finance. Arbitrage and option pricing.
- Insights into financial mathematics: valuation of options and portfolio optimization
- Adaptive lattice methods for multi-asset models
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Quantum mechanics and violations of the sure-thing principle: The use of probability interference and other concepts
- A multiquadric quasi-interpolations method for CEV option pricing model
- A practical error formula for multivariate rational interpolation and approximation
- High order approximation of derivatives with applications to pricing of financial derivatives
- Age-structured population model under uncertain environment
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
- The variation of financial arbitrage via the use of an information wave function
- The Malliavin gradient method for the calibration of stochastic dynamical models
- Pricing of path-dependent European-type options using Monte Carlo simulation
- An introduction to multilevel Monte Carlo for option valuation
- Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model
- Stochastic approximation methods for American type options
- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- Insights into financial mathematics: valuation of options and portfolio optimization
- Autoregressive trending risk function and exhaustion in random asset price movement
- Analytic models for parameter dependency in option price modelling
- Option valuation under stochastic volatility II. With Mathematica code
- Observability of the scattering cross-section through phase decoherence
- An Introduction to Computational Finance
- Options and partial differential equations
- Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
- A reliable numerical method to price arithmetic Asian options
- Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
- On the kernel of Black-Scholes equation related to the risk neutrality for cash-or-nothing options
- Volatility. Practical options theory
- Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB
- scientific article; zbMATH DE number 2114372 (Why is no real title available?)
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- An object-oriented framework using design patterns for numerical option pricing
- On the Delta-hedging of the option price on future from the Black-Scholes equation
- A fast finite difference method for tempered fractional diffusion equations
- Analytical finance. Volume I. The mathematics of equity derivatives, markets, risk and valuation
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
- Haar wavelet-based valuation method for pricing European options
- Pricing American put option using RBF-NN: new simulation of Black-Scholes
- An explicit positivity-preserving scheme for the Heston 3/2-model with order-one strong convergence
- Analyzing multi-level Monte Carlo for options with non-globally Lipschitz payoff
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