The pricing of options and corporate liabilities

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Radial basis function generated finite differences for option pricing problems
An application of nonparametric volatility estimators to option pricing
Analysis of the discrete Ornstein-Uhlenbeck process caused by the tick size effect
Bayesian inference approach to inverse problems in a financial mathematical model
Dynamic hedging of basket options under proportional transaction costs using receding horizon control
Implicit Bayesian Inference Using Option Prices
Nuisance parameters in statistics of finance
Using computational methodology to price European options with actual payoff distributions
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
Pricing of unemployment insurance products with doubly stochastic Markov chains
Pricing and hedging problem of foreign currency option with higher borrowing rate
The impact of warrants introduction: sign effect or magnitude effect?
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
Stable distributions in the Black–Litterman approach to asset allocation
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
Mathematical analysis of the two-color partial rainbow options
Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
Dynamic trading volume
A semi-analytical pricing formula for European options under the rough Heston-CIR model
Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
On valuation of derivative securities: A Lie group analytical approach.
Online estimation of time-varying volatility using a continuous-discrete LMS algorithm
Approximating volatility diffusions with CEV-ARCH models
Hedging using simulation: a least squares approach
Computation of the unknown volatility from integral option price observations in jump-diffusion models
A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
Lookback option pricing using the Fourier transform B-spline method
Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
Some stability theorems of uncertain differential equation
A continuous-time portfolio turnpike theorem
Stochastic interest rate in life insurance: The principle of equivalence revisited
Stochastic equity volatility related to the leverage effect
A hidden Markov-modulated jump diffusion model for European option pricing
A semigroup approach to generalized Black-Scholes type equations in incomplete markets
A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio
An actuarial approach to pricing barrier options
High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
Nonparametric estimation of fractional option pricing model
Evaluation of the GIC rollover option
Dynamic option hedging via stochastic model predictive control based on scenario simulation
An iterative splitting method for pricing European options under the Heston model
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
scientific article; zbMATH DE number 7556299 (Why is no real title available?)
Extending the Merton model: A hybrid approach to assessing credit quality
Model risk of the implied GARCH-normal model
TIGHT BOUNDS ON EXPECTED ORDER STATISTICS
A semi-analytic pricing formula for lookback options under a general stochastic volatility model
Bias reduction in spot volatility estimation from options
A non random walk theory of exchange rate dynamics with applications to option pricing
The valuation of American barrier options using the decomposition technique
Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
Microgrid investment under uncertainty: a real option approach using closed form contingent analysis
Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
Path dependent volatility
Time Dependent Relative Risk Aversion
Alternative randomization for valuing American options
Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
Applications of Hilfer-Prabhakar operator to option pricing financial model
Option pricing under two-factor stochastic volatility jump-diffusion model
A note on options and bubbles under the CEV model: implications for pricing and hedging
Group classification for a class of non-linear models of the RAPM type
Interval pricing study of deposit insurance in China
Hedging by sequential regressions revisited
A posteriori error control of hp-finite elements for variational inequalities of the first and second kind
Option pricing with threshold diffusion processes
Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
Removing non-smoothness in solving Black-Scholes equation using a perturbation method
SELF-DECOMPOSABILITY AND OPTION PRICING
On the derivation of nonclassical symmetries of the Black-Scholes equation via an equivalence transformation
Asset pricing using trading volumes in a hidden regime-switching environment
Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets
An explicit finite difference approach to the pricing of barrier options
Arithmetic Asian options under stochastic delay models
Pseudospectral roaming contour integral methods for convection-diffusion equations
Effect of institutional deleveraging on option valuation problems
Formalizing the Cox-Ross-Rubinstein pricing of European derivatives in Isabelle/HOL
Greeks computation in the option pricing problem by means of RBF-PU methods
Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
Numerical solution of the time fractional Black-Scholes model governing European options
An alternative form to calibrate the correlated Stein-Stein option pricing model
Combining statistical intervals and market prices: the worst case state price distribution
Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
GARCH quasi-likelihood ratios for SV model and the diffusion limit
On the arbitrage price of European call options
On stop-loss strategies for stock investments.
An analytical approximation for single barrier options under stochastic volatility models
Pricing credit default swaps under a multi-scale stochastic volatility model
Data driven recovery of local volatility surfaces
Large investor trading impacts on volatility
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
Valuation formulae for window barrier options
Indifference Pricing in a Market with Transaction Costs and Jumps
Analytically pricing European options with a two-factor Stein-Stein model
An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
Standard approaches to asset & liability risk**
Pricing and Hedging of Swaptions: Setting up a Pricer of Interest Rate Swaptions
Valuing Option Under Double Heston Jump-Diffusion Model with Stochastic Interest Rate and Approximative Fractional Brownian Motion
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

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