On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

DOI10.1155/JAM.2005.235zbMATH Open1128.91025OpenAlexW1968546292MaRDI QIDQ2494976FDOQ2494976

Authors: Martin Jandačka, Daniel Ševčovič 

Publication date: 30 June 2006

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53680

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Mathematics Subject Classification ID

Cited In (40)

• Group classification for a class of non-linear models of the RAPM type
• Perpetual American put option: an error estimator for a second order non-standard finite difference scheme
• Recent advances in numerical solution of HJB equations arising in option pricing
• A high-order finite difference method for option valuation
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Numerical methods for non-linear Black-Scholes equations
• Analysis of the nonlinear option pricing model under variable transaction costs
• Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations
• Optimal exercise of American puts with transaction costs under utility maximization
• Alternating segment explicit-implicit and implicit-explicit parallel difference method for the nonlinear Leland equation
• THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS
• Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
• Newton-based solvers for nonlinear PDEs in finance
• A computational method to price with transaction costs under the nonlinear Black-Scholes model
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
• Consistent two-sided estimates for the solutions of quasilinear parabolic equations and their approximations
• The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
• Title not available (Why is that?)
• On the numerical solution of nonlinear Black-Scholes equations
• Symmetries and exact solutions of a nonlinear pricing options equation
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• A transformation method for solving the Hamilton-Jacobi-Bellman equation for a constrained dynamic stochastic optimal allocation problem
• A second-order positivity preserving numerical method for gamma equation
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
• A positivity-preserving numerical scheme for nonlinear option pricing models
• A space-time fractional derivative model for European option pricing with transaction costs in fractal market
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
• Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
• Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations
• Option Pricing in Illiquid Markets with Jumps
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs
• On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
• High accurate modified WENO method for the solution of Black-Scholes equation
• Computing option pricing models under transaction costs
• Smile from the past: a general option pricing framework with multiple volatility and leverage components

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