The pricing of options and corporate liabilities

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Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
Stochastic equity volatility related to the leverage effect. II: Valuation of European equity options and warrants
Long- and short-time behaviour of hypocoercive-type operators in infinite dimensions: An analytic approach
Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
The likelihood of various stock market return distributions. I: Principles of inference
Bayesian inference for nonlinear multivariate diffusion models observed with error
A variational inequality arising from American installment call options pricing
Alternative models for stock price dynamics.
Pricing Lookback Options and Dynamic Guarantees
Pricing and hedging derivative securities in markets with uncertain volatilities
Uncertain volatility and the risk-free synthesis of derivatives
American option pricing under GARCH diffusion model: an empirical study
Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
A fuzzy approach to option pricing in a Lévy process setting
Pricing options with credit risk in a reduced form model
ARCH modeling in finance. A review of the theory and empirical evidence
Asymptotic nonequivalence of GARCH models and diffusions
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
Nonparametric Methods in Continuous Time Model Specification
Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
On the possibility of hedging options in the presence of transaction costs
Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
Variational inequalities and the pricing of American options
Spectral GMM estimation of continuous-time processes
Volatility analysis with realized GARCH-Itô models
Asymptotic proportion of arbitrage points in fractional binary markets
Itô's stochastic calculus: its surprising power for applications
Elements for a theory of financial risks
A Fourier cosine method for an efficient computation of solutions to BSDEs
Investment decisions in mobile telecommunications networks applying real options
On the pricing of American options
Valuation of large variable annuity portfolios under nested simulation: a functional data approach
Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
Weak convergence of random growth processes with applications to insurance
Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
Investment under uncertainty with financial constraints
BENCHOP -- the benchmarking project in option pricing
Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
Application of data clustering and machine learning in variable annuity valuation
On CAPM and Black-Scholes differing risk-return strategies
Stochastic equity volatility related to the leverage effect
Asymptotics of implied volatility to arbitrary order
On the valuation of variance swaps with stochastic volatility
Option pricing and hedging under a stochastic volatility Lévy process model
Closing the GARCH gap: Continuous time GARCH modeling
Optimal Stopping and the American Put
Time-varying nonlinear regression models: nonparametric estimation and model selection
Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Asymptotic arbitrage with small transaction costs
Stochastic Volatility for Lévy Processes
Econometric specification of stochastic discount factor models
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
Affine processes and applications in finance
Estimation of semiparametric locally stationary diffusion models
The option value of advanced R\&D
Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
Efficient solution of a partial integro-differential equation in finance
Microgrid investment under uncertainty: a real option approach using closed form contingent analysis
Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
A New Tempered Stable Distribution and Its Application to Finance
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
Pricing model of interest rate swap with a bilateral default risk
Modeling and pricing long memory in stock market volatility
Mean field games
ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
Financial valuation of guaranteed minimum withdrawal benefits
Martingales and arbitrage in multiperiod securities markets
A closed-form exact solution for pricing variance swaps with stochastic volatility
A PDE method for estimation of implied volatility
Parametric estimation for the standard and geometric telegraph process observed at discrete times
Bivariate option pricing using dynamic copula models
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
Convex regularization of local volatility models from option prices: convergence analysis and rates
Pricing multivariate options under stochastic volatility Lévy processes
Option pricing with Mellin transforms
Evaluating pharmaceutical R\&D under technical and economic uncertainty
Multivariate elliptical truncated moments
Investment under uncertainty, competition and regulation
Filtration consistent nonlinear expectations and evaluations of contingent claims
Efficiently pricing barrier options in a Markov-switching framework
An analysis of path-dependent options
roptions
A YIELD‐FACTOR MODEL OF INTEREST RATES
Nonparametric spot volatility from options
Delay geometric Brownian motion in financial option valuation
Approximating Lévy processes with a view to option pricing
On European option pricing under partial information.
On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
The \(\alpha\)-hypergeometric stochastic volatility model
Markets as a counterparty: an introduction to conic finance
On valuing and hedging European options when volatility is estimated directly
A Girsanov type theorem under G-framework
Limit experiments of GARCH
A general version of the fundamental theorem of asset pricing
A Delayed Black and Scholes Formula

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