New analytical option pricing models with Weyl–Titchmarsh theory

DOI10.1080/14697688.2010.503659zbMATH Open1279.91168OpenAlexW2002402620MaRDI QIDQ2873531FDOQ2873531

Authors: Jin E. Zhang, Yi-Shen Li 

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.503659

zbMATH Keywords

European optionsoption pricingvolatility functions that give closed-form solutions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Applications of eigenfunction expansions in continuous-time finance
• Analysis, Geometry, and Modeling in Finance
• Title not available (Why is that?)
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• The implied volatility smirk
• The pricing of derivatives on assets with quadratic volatility
• Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE
• On valuation of derivative securities: A Lie group analytical approach.

Cited In (1)

• Multi-asset Black-Scholes model as a variable second class constrained dynamical system

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