Nonlinear option pricing
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(31)- Analysis of the nonlinear option pricing model under variable transaction costs
- Noncommutative valuation of options
- A functional Itō-formula for Dawson-Watanabe superprocesses
- From Bachelier to Dupire via optimal transport
- Inverting the Markovian projection, with an application to local stochastic volatility models
- Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- Affine processes under parameter uncertainty
- Valuation of an option using non-parametric methods
- A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA
- scientific article; zbMATH DE number 6612433 (Why is no real title available?)
- Uncertain volatility models with stochastic bounds
- Analytical Approximations of BSDEs with Nonsmooth Driver
- scientific article; zbMATH DE number 5656751 (Why is no real title available?)
- scientific article; zbMATH DE number 6907201 (Why is no real title available?)
- Newton-based solvers for nonlinear PDEs in finance
- Alternative parallel strategies for linear and nonlinear PDEs in option pricing
- A theory of non‐Gaussian option pricing
- Solving high-dimensional optimal stopping problems using deep learning
- -hypergeometric uncertain volatility models and their connection to 2BSDEs
- Calibrating local volatility models with stochastic drift and diffusion
- scientific article; zbMATH DE number 2233868 (Why is no real title available?)
- Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
- Reconstructing volatility: Pricing of index options under rough volatility
- Markovian projections for Itô semimartingales with jumps
- Inverting the Markovian projection for pure jump processes
- Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
- Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles
- Rough PDEs for local stochastic volatility models
- Regularity and propagation of chaos for conditional McKean-Vlasov equations
- A segment-wise dynamic programming algorithm for BSDEs
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