scientific article

zbMath1242.91183MaRDI QIDQ3075650

Peter W. Buchen

Publication date: 16 February 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Mellin transformstochastic differential equationBrownian motionequivalent martingale measurestock pricemethod of imagesAsian optionexotic option pricinglookback optionfundamental theorem of asset pricingbarrier optionItô calculusbondGaussian random variableBlack-Scholes economyrainbow optionbinary optionbinomial tree-based pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Boundary value problems for second-order elliptic systems (35J57) Initial value problems for PDEs and systems of PDEs with constant coefficients (35E15)

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Pricing two-asset alternating barrier options with icicles and their variations ⋮ Outside barrier lookback options with floating strike ⋮ Valuation of employee stock options using the exercise multiple approach and life tables ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Asymptotic approach to the pricing of geometric Asian options under the CEV model ⋮ Valuing of timer path-dependent options ⋮ An integral equation representation approach for valuing Russian options with a finite time horizon ⋮ An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model ⋮ Valuing vulnerable geometric Asian options

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