Matched asymptotic expansions in financial engineering
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Publication:2501093
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Cites work
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- scientific article; zbMATH DE number 2148962 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Convergence to Black-Scholes for ergodic volatility models
- Diffusion of Dopant in Crystalline Silicon: An Asymptotic Analysis
- General Black-Scholes models accounting for increased market volatility from hedging strategies
- Market liquidity and its effect on option valuation and hedging
- Market volatility and feedback effects from dynamic hedging
- On the pricing and hedging of volatility derivatives
- Ray methods for free boundary problems
- Singular Perturbations in Option Pricing
- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- The Feedback Effect of Hedging in Illiquid Markets
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
Cited in
(23)- Essentially exact asymptotic solutions for Asian derivatives
- Local stochastic volatility with jumps: analytical approximations
- Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
- Exact and approximate solutions for options with time-dependent stochastic volatility
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
- On a free boundary problem for an American put option under the CEV process
- Asymptotic expansions of evolution equations with fast volatility
- Hybridized successive complementary expansions for solving convection-dominated 2D elliptic PDEs with boundary layers
- Asymptotics of barrier option pricing under the CEV process
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
- Asymptotic solutions for Australian options with low volatility
- Matching asymptotics in path-dependent option pricing
- Analytical approximations for American option pricing under regime-switching models
- Pricing derivatives with barriers in a stochastic interest rate environment
- Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
- Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
- A new analytical approximation for European puts with stochastic volatility
- Displaced diffusion as an approximation of the constant elasticity of variance
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Stochastic elasticity of variance with stochastic interest rates
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