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

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

Title not available (Why is that?)
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
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 (33)

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
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
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?)
Asymptotics of Barrier Option Pricing Under the CEV Process
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
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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