The pricing of options and corporate liabilities

Cited in

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On the works of kiyosi itô and stochastic analysis
Mean field games
An extention of Samuelson's warrant valuation model and its application to Japanese data
Pricing and hedging power options
Common functional principal components
Exponential time integration for fast finite element solutions of some financial engineering problems
Perfect competition in an oligopoly (including bilateral monopoly)
Large investor trading impacts on volatility
A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates
Adaptive lattice methods for multi-asset models
On the numerical solution of nonlinear Black-Scholes equations
A software architecture framework for on-line option pricing
Subordination, self-similarity, and option pricing
An efficient ex-ante criterion for ranking investment strategies
The impact of fat tails on equilibrium rates of return and term premia
Modeling supplier selection and the use of option contracts for global supply chain design
Maximal inequalities for \(g\)-martingales
A mixed PDE/Monte-Carlo method for stochastic volatility models
Highly nonlinear model in finance and convergence of Monte Carlo simulations
Towards a generalization of Dupire's equation for several assets
Numerical solution of singularly perturbed convection-diffusion problem using parameter uniform B-spline collocation method
Estimation of agent-based models: The case of an asymmetric herding model
Knightian uncertainty and insurance regulation decision
A jump-diffusion model for option pricing under fuzzy environments
Optimal portfolios for DC pension plans under a CEV model
Bayesian inference for nonlinear multivariate diffusion models observed with error
Sequential calibration of options
Intra-daily information of range-based volatility for MEM-GARCH
Making the best of best-of
Stock options and managers' incentives to cheat
Testing the martingale restriction for option implied densities
On improving the least squares Monte Carlo option valuation method
A variational inequality arising from American installment call options pricing
A dynamic programming approach for pricing options embedded in bonds
Applying the maximum NPV rule with discounted/growth factors to a flexible production scale model
Testing diffusion processes for non-stationarity
Finite maturity caps and floors on continuous flows
A computational scheme for uncertain volatility model in option pricing
Shape-preserving interpolation and smoothing for options market implied volatility
Exact null controllability of a semilinear parabolic equation arising in finance
Conservation laws for the Black-Scholes equation
Strong consistency of the empirical martingale simulation option price estimator
Option pricing when the regime-switching risk is priced
Arbitrage-free option prices on global markets
Microstructural biases in empirical tests of option pricing models
Polynomial chaos for simulating random volatilities
Option pricing under the Merton model of the short rate
Valuing interdependent multi-stage IT investments: a real options approach
An empirical method for assessing the research relevance gap
Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
Asset pricing under information with stochastic volatility
Selecting the best forecasting-implied volatility model using genetic programming
A fuzzy pay-off method for real option valuation
Valuing time-dependent CEV barrier options
Fuzzy real options in brownfield redevelopment evaluation
Development of computational algorithms for evaluating option prices associated with square-root volatility processes
Stochastic modeling of the growth process
Objective comparisons of the optimal portfolios corresponding to different utility functions
Option hedging theory under transaction costs
A note on ``Monte Carlo analysis of convertible bonds with reset clauses
Computing option price for Lévy process with fuzzy parameters
Valuing continuous-installment options
A path-dependent contingent-claims approach to capacity investments
Efficiency analysis of deductible insurance policies
On the use of semimartingales and stochastic integrals to model continuous trading
Efficient funds for meager asset spaces
Continuous time portfolio theory and the Schwartz/Sobolev theory of distributions
Contingent claims valuation when the security price is a combination of an Itō process and a random point process
An extension of the Black-Scholes model of security valuation
Option pricing methods: an overview
A new method for valueing underwriting agreements for rights issues
On pricing of market-indexed certificates of deposit
Optimal consumption and portfolio policies when asset prices follow a diffusion process
Closing the GARCH gap: Continuous time GARCH modeling
Martingales and arbitrage in multiperiod securities markets
Arbitrage and equilibrium in economies with infinitely many commodities
Martingales and stochastic integrals in the theory of continuous trading
Option hedging for semimartingales
Martingale representation and hedging policies
Bond options and bond portfolio insurance
ARCH modeling in finance. A review of the theory and empirical evidence
Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
A continuous-time portfolio turnpike theorem
Pricing continuously resettled contingent claims
Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
Optimal trading of stock options under alternative strategy
Construction of a decision-support system for a combination of options
Optimal exercise policies for call options and their valuation
A note on the valuation of contingent claims
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
Chicago board call options as predictors of common stock price changes
Stochastic models for bond prices, function space integrals and immunization theory
An actuarial approach to option pricing under the physical measure and without market assumptions
Multi-period minimax hedging strategies
A comparative evaluation of alternative models of the term structure of interest rates
Pricing the American put option: A detailed convergence analysis for binomial models
Arbitrage, martingales and bubbles
Double barrier hitting time distributions with applications to exotic options
The option value of advanced R\&D
Pension schemes as options on pension fund assets: implications for pension fund management

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