Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
From MaRDI portal
(Redirected from Publication:460210)
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Recommendations
- Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
- Option Pricing Under Incompleteness and Stochastic Volatility
- Pricing options under jump diffusion processes with fitted finite volume method
Cites work
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1332331 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A penalty method for American options with jump diffusion processes
- A utility maximization approach to hedging in incomplete markets
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Efficient hedging: cost versus shortfall risk
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Option hedging for semimartingales
- Option pricing when underlying stock returns are discontinuous
- Pricing foreign currency options with stochastic volatility
- Stock price distributions with stochastic volatility: an analytic approach
- The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
- The pricing of options and corporate liabilities
- The pricing of options on assets with stochastic volatilities
- Utility maximization in incomplete markets with random endowment
Cited in
(7)- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Asymptotic option pricing under a pure jump process
- European option pricing under the Student's \(t\) noise with jumps
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
This page was built for publication: Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q460210)
