scientific article; zbMATH DE number 5852050
zbMATH Open1242.91183MaRDI QIDQ3075650FDOQ3075650
Authors: Peter W. Buchen 
Publication date: 16 February 2011
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Mellin transformstochastic differential equationBrownian motionexotic option pricingfundamental theorem of asset pricinglookback optionmethod of imagesbarrier optionequivalent martingale measurestock priceAsian optionbondGaussian random variableBlack-Scholes economyrainbow optionbinary optionbinomial tree-based pricingItô calculus
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Boundary value problems for second-order elliptic systems (35J57) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Initial value problems for PDEs and systems of PDEs with constant coefficients (35E15)
Cited In (15)
- On the pricing of exotic options: a new closed-form valuation approach
- Valuing vulnerable geometric Asian options
- An integral equation representation approach for valuing Russian options with a finite time horizon
- Outside barrier lookback options with floating strike
- The pricing of dual-expiry exotics
- Higher order binary options and multiple-expiry exotics
- Pricing exotic options. Monotonicity in volatility and efficient simulation
- Valuation of employee stock options using the exercise multiple approach and life tables
- Pricing two-asset alternating barrier options with icicles and their variations
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Valuing of timer path-dependent options
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- Pricing of two kinds of exotic options with stochastic lives
- Pricing of timer volatility-barrier options under Heston's stochastic volatility model
- Asymptotic approach to the pricing of geometric Asian options under the CEV model
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