New analytical option pricing models with Weyl–Titchmarsh theory

DOI10.1080/14697688.2010.503659MaRDI QIDQ2873531zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3100112 (Why is no real title available?)
• Analysis, Geometry, and Modeling in Finance
• Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE
• Applications of eigenfunction expansions in continuous-time finance
• On valuation of derivative securities: A Lie group analytical approach.
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• The implied volatility smirk
• The pricing of derivatives on assets with quadratic volatility
• The pricing of options and corporate liabilities

Cited in

(1)

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

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