THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS

DOI10.1111/J.0960-1627.2005.00224.XzbMATH Open1124.91342OpenAlexW3123699091MaRDI QIDQ3370596FDOQ3370596

Authors: Martin Widdicks, Peter W. Duck, Ari D. Andricopoulos, David P. Newton 

Publication date: 8 February 2006

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

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00224.x

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zbMATH Keywords

option valuationnumerical techniquelook-up tables

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Singular perturbations in context of PDEs (35B25) Asymptotic expansions of solutions to PDEs (35C20) Nonlinear parabolic equations (35K55)

Cites Work

• The pricing of options and corporate liabilities
• Multiple scale and singular perturbation methods
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Title not available (Why is that?)
• Asymptotic Theory of Separated Flows
• Optimal exercise boundary for an American put option
• American options on assets with dividends near expiry
• A Note on a Moving Boundary Problem Arising in the American Put Option
• Analysis of the free boundary for the pricing of an American call option

Cited In (36)

• Title not available (Why is that?)
• The homotopy perturbation method for the Black–Scholes equation
• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• Perpetual Options on Multiple Underlyings
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
• A remark on a singular perturbation method for option pricing under a stochastic volatility model
• Singular Perturbations for Boundary Value Problems Arising from Exotic Options
• Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
• On a free boundary problem for an American put option under the CEV process
• Approximate arbitrage-free option pricing under the SABR model
• On the multidimensional Black-Scholes partial differential equation
• Asymptotics of barrier option pricing under the CEV process
• Title not available (Why is that?)
• Optimal portfolios for DC pension plans under a CEV model
• Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
• Burgers and Black–Merton–Scholes equations with real time variable and complex spatial variable
• Exercisability Randomization of the American Option
• Extensions of Black-Scholes processes and Benford's law
• A new numerical method for pricing fixed-rate mortgages with prepayment and default options
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal investment strategy under the CEV model with stochastic interest rate
• Analytical approximation of the transition density in a local volatility model
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
• Far field boundary conditions for Black-Scholes equations
• LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS
• A new analytical approximation for European puts with stochastic volatility
• Singular Perturbations in Option Pricing
• Matched asymptotic expansions in financial engineering
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Title not available (Why is that?)
• Analytical approximation method of option pricing under geometric mean-reverting process
• The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\)
• Optimal investment for the defined-contribution pension with stochastic salary under a CEV model

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