A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL

DOI10.1142/S0219024906003469MaRDI QIDQ3379411zbMATH OpenOpenAlexFDO

Authors Alex Stefan Popovici, Victoria Steblovskaya, S. Albeverio

Publication date 6 April 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024906003469

zbMATH Keywords

multidimensional Black-Scholes modelpricing of contingent claimsstochastic volatilities and correlations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• Martingales and stochastic integrals in the theory of continuous trading
• Option pricing when underlying stock returns are discontinuous
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• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• The Variance Gamma Process and Option Pricing

Cited in

(9)

• Multi-asset Black-Scholes model as a variable second class constrained dynamical system
• Asymptotic expansions for SDE's with small multiplicative noise
• Programme packages for implementation of modifications of Black-Scholes model and web applications
• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
• Multi-dimensional Black-Scholes model on foreign index contingent under random rate
• scientific article; zbMATH DE number 1046006 (Why is no real title available?)
• A Lie algebraic and numerical investigation of the Black-Scholes equation with Heston volatility model
• Numerical implementations of generalisations of Black-Scholes model for estimation of call- and put-option
• Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms

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