Analytic models for parameter dependency in option price modelling

DOI10.1007/S11075-015-0084-5MaRDI QIDQ312173zbMATH OpenOpenAlexFDO

Authors Oliver Salazar Celis, Maryna Lukach, Annie Cuyt, Karel J. in 't Hout

Publication date 14 September 2016

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10067/1355210151162165141

zbMATH Keywords

PDEBlack-Scholescall optionsrational interval interpolation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• An Introduction to Financial Option Valuation
• Approximate inversion of the Black-Scholes formula using rational functions
• Discrete Rational L p Approximation
• Multivariate data fitting with error control
• On the duality principle in option pricing: semimartingale setting
• Rational approximation of vertical segments
• Space-time adaptive finite difference method for European multi-asset options
• The Differential Correction Algorithm for Rational $\ell _\infty $-Approximation
• The pricing of options and corporate liabilities

Cited in

(5)

• Analytic techniques for option pricing under a hyperexponential Lévy model
• A comparative static analysis approach to derive Greek letters: theory and applications
• Models for option pricing based on empirical characteristic function of returns
• Sensitivity analysis of partial derivatives of an European option pricing model
• Approximate-analytical solution to the information measure's based quanto option pricing model

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