THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
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Publication:3370596
DOI10.1111/j.0960-1627.2005.00224.xzbMath1124.91342OpenAlexW3123699091MaRDI QIDQ3370596
David P. Newton, Peter W. Duck, Martin Widdicks, Ari D. Andricopoulos
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
Nonlinear parabolic equations (35K55) Singular perturbations in context of PDEs (35B25) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20)
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Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models ⋮ Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model ⋮ Approximate arbitrage-free option pricing under the SABR model ⋮ Perpetual Options on Multiple Underlyings ⋮ Portfolio selection problem with multiple risky assets under the constant elasticity of variance model ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Exercisability Randomization of the American Option ⋮ Optimal investment for the defined-contribution pension with stochastic salary under a CEV model ⋮ Unnamed Item ⋮ An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts ⋮ Constant elasticity of variance model for proportional reinsurance and investment strategies ⋮ LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS ⋮ On a free boundary problem for an American put option under the CEV process ⋮ A new numerical method for pricing fixed-rate mortgages with prepayment and default options ⋮ A new analytical approximation for European puts with stochastic volatility ⋮ Asymptotics of Barrier Option Pricing Under the CEV Process ⋮ Matched asymptotic expansions in financial engineering ⋮ Analytical approximation method of option pricing under geometric mean-reverting process ⋮ Optimal portfolios for DC pension plans under a CEV model ⋮ SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Multiple scale and singular perturbation methods
- Analysis of the free boundary for the pricing of an American call option
- Asymptotic Theory of Separated Flows
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- Optimal exercise boundary for an American put option
- A Note on a Moving Boundary Problem Arising in the American Put Option
- American options on assets with dividends near expiry
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