scientific article; zbMATH DE number 1869203
From MaRDI portal
Publication:4794126
zbMath1087.91025MaRDI QIDQ4794126
Publication date: 17 February 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Related Items
The pricing of lookback options and binomial approximation, The hexanomial lattice for pricing multi-asset options, A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities, Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting, A mixed derivative terms removing method in multi-asset option pricing problems, Estimation of partial differential equations with applications in finance, Operational risk: emerging markets, sectors and measurement, Convolutional autoregressive models for functional time series, A copula-based approach for generating lattices, Asset demands and consumption with longevity risk, Operations-finance interface models: a literature review and framework, Optimal search for parameters in Monte Carlo simulation for derivative pricing, A tractable interest rate model with explicit monetary policy rates, An optimal mean-reversion trading rule under a Markov chain model, Empirical analysis of structural change in credit default swap volatility, A multivariate stochastic unit root model with an application to derivative pricing, Efficient valuation of SCR via a neural network approach, Stochastic covariance and dimension reduction in the pricing of basket options, Pricing exotic options and American options: a multidimensional asymptotic expansion approach, Binary tree pricing to convertible bonds with credit risk under stochastic interest rates, A tractable yield-curve model that guarantees positive interest rates, The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model, The geometry of algorithms using hierarchical tensors, An efficient and accurate lattice for pricing derivatives under a jump-diffusion process, Valuing executive stock options: a quadratic approximation, Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering, Quantum-like tunnelling and levels of arbitrage, Insuring against loss of evidence in game-theoretic probability, Explicit solutions for an optimal stock selling problem under a Markov chain model, A spectral element approximation to price European options with one asset and stochastic volatility, Index of function inversion, Representation of infinite-dimensional forward price models in commodity markets, Solutions to integro-differential problems arising on pricing options in a Lévy market, Simulation of the CEV process and the local martingale property, Short sales in log-robust portfolio management, PAMR: passive aggressive mean reversion strategy for portfolio selection, Gas storage valuation applying numerically constructed recombining trees, Stock loan with automatic termination clause, cap and margin, Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options, Two-state volatility transition pricing and hedging of TXO options, Option pricing with a direct adaptive sparse grid approach, Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients, Some results on correlation matrices for interest rates, Real options pricing by the finite element method, Numerical simulations for the pricing of options in jump diffusion markets, Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market, Pricing American bond options using a penalty method, ANOVA for diffusions and Itō processes, Estimation of risk-neutral density surfaces, Neyman smooth goodness-of-fit tests for the marginal distribution of dependent data, Functionals of exponential Brownian motion and divided differences, Financial tools for the abatement of traffic congestion: a dynamical analysis, On a statistical analysis of implied data, A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility, A regime-switching model with the volatility smile for two-asset European options, Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility, Pricing catastrophe swaps: a contingent claims approach, A joint valuation of premium payment and surrender options in participating life insurance contracts, Optimal portfolios in commodity futures markets, Implied and realized volatility: empirical model selection, Combining market and accounting-based models for credit scoring using a classification scheme based on support vector machines, Securitization, structuring and pricing of longevity risk, Optimal design of profit sharing rates by FFT, Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market, A hidden Markov regime-switching model for option valuation, Approximation algorithms for optimal purchase/inventory policy when purchase price and demand are stochastic, Unbiased and efficient Greeks of financial options, Option pricing with quadratic volatility: a revisit, A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets, Investment timing in presence of downside risk: a certainty equivalent characterization, Geometric stopping of a random walk and its applications to valuing equity-linked death benefits, Modeling and estimating commodity prices: copper prices, Efficient option risk measurement with reduced model risk, A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates, Financial time operator for random walk markets, A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion, Stochastic idiosyncratic cash flow risk and real options: implications for stock returns, Using spectral element method to solve variational inequalities with applications in finance, An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations, Operational asset replacement strategy: a real options approach, European and Asian Greeks for exponential Lévy processes, Joint optimal ordering and weather hedging decisions: mean-CVaR model, A spectral-collocation method for pricing perpetual American puts with stochastic volatility, Pricing a nontradeable asset and its derivatives., Nearly-optimal asset allocation in hybrid stock investment models., An inverse problem of identifying the coefficient of first-order in a degenerate parabolic equation, Pricing perpetual American options under a stochastic-volatility model with fast mean reversion, The pricing of perpetual convertible bond with credit risk, An efficient control variate method for pricing variance derivatives, A stochastic programming model for the thermal optimal day-ahead bid problem with physical futures contracts, Anomalous is ubiquitous, A self-tuning model for inflation rate dynamics, Optimal contingent payment mechanisms and entrepreneurial financing decisions, Pricing European vanilla options under a jump-to-default threshold diffusion model, Radial basis function partition of unity operator splitting method for pricing multi-asset American options, On the valuation of interest rate products under multi-factor HJM term-structures, Fractional motions, On volatility smile and an investment strategy with out-of-the-money calls, Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance, Pricing and risk management of interest rate swaps, Harmonic statistics, Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics, Analytical expressions to counterparty credit risk exposures for interest rate derivatives, A reinsurance and investment game between two insurance companies with the different opinions about some extra information, MIM: a deep mixed residual method for solving high-order partial differential equations, Dynamic cyber risk estimation with competitive quantile autoregression, Compact finite difference method for American option pricing, First-passage time statistics on surfaces of general shape: surface PDE solvers using generalized moving least squares (GMLS), Accurate pricing formulas for Asian options, The pricing of options for securities markets with delayed response, Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds, Accounting and actuarial smoothing of retirement payouts in participating life annuities, Forecasting the crude oil prices based on econophysics and Bayesian approach, Monte Carlo Euler approximations of HJM term structure financial models, A selective overview of nonparametric methods in financial econometrics, Networks of causal relationships in the U.S. stock market, On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices, Discrete time modeling of mean-reverting stochastic processes for real option valuation, A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy, Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting, A two-asset stochastic model for long-term portfolio selection, Lockdowns as options, A statistical model of the firm, The connection between multiple prices of an option at a given time with single prices defined at different times: the concept of weak-value in quantum finance, Dynamic behaviors and measurements of financial market crash rate, Merton's equation and the quantum oscillator. II: Option pricing, The perfect marriage and much more: combining dimension reduction, distance measures and covariance, A semi-analytic valuation of American options under a two-state regime-switching economy, Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance, Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory, On the behavior of two types of expectations of a random process with log-normal distribution, A general control variate method for Lévy models in finance, Commodity spot and futures prices under supply, demand, and financial trading: single input-output model, Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set, RBF methods in a stochastic volatility framework for Greeks computation, The limiting behavior of isotonic and convex regression estimators when the model is misspecified, Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method, A consistent stochastic model of the term structure of interest rates for multiple tenors, Pricing of minimum guarantees in life insurance contracts with fuzzy volatility, The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\), An efficient numerical method for the valuation of American multi-asset options, Primal-dual active set method for pricing American better-of option on two assets, Inverse multi-quadric RBF for computing the weights of FD method: application to American options, Option-implied information: What's the vol surface got to do with it?, Portfolio optimization model with and without options under additional constraints, \textit{SMART-or} and \textit{SMART-and} fuzzy average operators: a generalized proposal, A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes, Computing credit valuation adjustment solving coupled PIDEs in the Bates model, An evaluation of some popular investment strategies under stochastic interest rates, Removing non-smoothness in solving Black-Scholes equation using a perturbation method, Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing, Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework, Controlling for supplier switching in the presence of real options and asymmetric information, Option pricing under a normal mixture distribution derived from the Markov tree model, A comparison of regime-switching temperature modeling approaches for applications in weather derivatives, Robust investment decisions under supply disruption in petroleum markets, Reconciling support theory and the book-making principle, Robust strategies for natural gas procurement, Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options, Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models, Multi-stage distributionally robust optimization with risk aversion, Block trading: building up a stock position under a regime switching model, Robust numerical algorithm to the European option with illiquid markets, Inferring probability densities from expert opinion, Pricing and hedging in incomplete markets with model uncertainty, Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes, On the multidimensional Black-Scholes partial differential equation, Certifying Findel derivatives for blockchain, Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options, Sequential monitoring for changes from stationarity to mild non-stationarity, Efficient BEM-based algorithm for pricing floating strike Asian barrier options (with MATLAB\(^\circledR\) code), Propensity for hedging and ambiguity aversion, Belief hedges: Measuring ambiguity for all events and all models, Advanced strategies of portfolio management in the Heston market model, Stochastic asset flow equations: interdependence of trend and volatility, A theory of the risk for empirical CVaR with application to portfolio selection, A continuous-time model for valuing foreign exchange options, Quantile Jensen's inequalities, On expansions for the Black-Scholes prices and hedge parameters, Pricing American options using a nonparametric entropy approach, An inverse volatility problem of financial products linked with gold price, Combining statistical intervals and market prices: the worst case state price distribution, An inter-temporal CAPM based on first order stochastic dominance, Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo, Dynamic large financial networks \textit{via} conditional expected shortfalls, A nonlinear option pricing model through the Adomian decomposition method, Path integral Monte Carlo method for option pricing, Construction of special soliton solutions to the stochastic Riccati equation, Symmetrization associated with hyperbolic reflection principle, Probabilistic interpretation of solutions of linear ultraparabolic equations, Double-sided price adjustment flexibility with a preemptive right to exercise, Valuation and analysis of zero-coupon contingent capital bonds, On the practical point of view of option pricing, How to handle negative interest rates in a CIR framework, Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling, Quantum algorithms for numerical differentiation of expected values with respect to parameters, Option pricing with non-Gaussian scaling and infinite-state switching volatility, On the single name CDS price under structural modeling, A simple and efficient numerical method for pricing discretely monitored early-exercise options, Discrete Malliavin calculus and computations of Greeks in the binomial tree, Pricing derivatives by path integral and neural networks, Inverse statistics in economics: the gain-loss asymmetry, Derivative pricing with non-linear Fokker-Planck dynamics, Option strategies with linear programming, Timing of investments in oligopoly under uncertainty: a framework for numerical analysis, Optimal allocation of trend following strategies, Roles of capital flow on the stability of a market system, Path probability of stochastic motion: a functional approach, Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model, Understanding the determinants of volatility clustering in terms of stationary Markovian processes, The roles of mean residence time on herd behavior in a financial market, Volatility smile as relativistic effect, A bias in the volatility smile, Financial markets analysis by using a probabilistic fuzzy modelling approach, Corridor options and arc-sine law., Conservative delta hedging., On the simulation of portfolios of interest rate and credit risk sensitive securities, A Gaussian radial basis function-finite difference technique to simulate the HCIR equation, A penalty method for American options with jump diffusion processes, A comparative analysis of local meshless formulation for multi-asset option models, Valuation of American strangles through an optimized lower-upper bound approach, Moment matching machine learning methods for risk management of large variable annuity portfolios, Interest rate swaps and corporate default, Polynomial chaos expansion approach to interest rate models, Pricing Asian options via compound gamma and orthogonal polynomials, A hybrid finite difference method for pricing two-asset double barrier options, On volatility swaps for stock market forecast: application example CAC 40 French Index, An efficient method for solving spread option pricing problem: numerical analysis and computing, On the physical interpretation of statistical data from black-box systems, Safety verification for distributed parameter systems using barrier functionals, A new tree method for pricing financial derivatives in a regime-switching mean-reverting model, Volatility estimation for stochastic project value models, Radial basis functions with application to finance: American put option under jump diffusion, A forward-backward SDE approach to affine models, Exact solutions for a strike reset put option and a shout call option, Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations, Impulse control with random reaction periods: a central bank intervention problem, Real options approach for fashionable and perishable products using stock loan with regime switching, Designing structured supply contracts under demand and price uncertainty in an open supply chain, A new optimal electricity market bid model solved through perspective cuts, Scaling limit of a limit order book model via the regenerative characterization of Lévy trees, Speculative and hedging interaction model in oil and U.S. dollar markets -- phase transition, Stochastic orders to approach investments in condor financial derivatives, Living on the edge: how risky is it to operate at the limit of the tolerated risk?, Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs, Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis, Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies, Stocks for the log-run and constant relative risk aversion preferences, Pseudospectral roaming contour integral methods for convection-diffusion equations, Solution of option pricing equations using orthogonal polynomial expansion., Formalizing the Cox-Ross-Rubinstein pricing of European derivatives in Isabelle/HOL, Semismooth Newton methods with domain decomposition for American options, An efficient computational algorithm for pricing European, barrier and American options, Comparison of least squares Monte Carlo methods with applications to energy real options, Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach, Credit risk and asymmetric information: a simplified approach, Real option valuation for reserve capacity, Expected shortfall: heuristics and certificates, Buy now and price later: supply contracts with time-consistent mean-variance financial hedging, Sparse inference of the drift of a high-dimensional Ornstein-Uhlenbeck process, The impacts of entrepreneurship on wealth distribution, Quantum walks: a comprehensive review, Robust hedging strategies, A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets, An explicit closed-form analytical solution for European options under the CGMY model, Applying a power penalty method to numerically pricing American bond options, A semigroup approach to American options, Stock loan valuation under a stochastic interest rate model, Radial basis function partition of unity methods for pricing vanilla basket options, A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion, Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements, Estimation of local volatilities in a generalized Black-Scholes model, The waterline tree for separable local-volatility models, Pricing and clearing combinatorial markets with singleton and swap orders. Efficient algorithms for the futures opening auction problem, Binomial approximation of Brownian motion and its maximum, Near-integrated GARCH sequences, Efficient calibration of trinomial trees for one-factor short rate models, Take-or-pay contract valuation under price and private uncertainty, Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach, On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options, General multilevel Monte Carlo methods for pricing discretely monitored Asian options, A stochastic simulation-based holistic evaluation approach with DEA for vendor selection, Option volatility and the acceleration Lagrangian, Path integral pricing of outside barrier Asian options, The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate, The returns and risks of investment portfolio in a financial market, From entropy-maximization to equality-maximization: Gauss, Laplace, Pareto, and Subbotin, Constructing dynamic life tables with a single-factor model, Pricing discretely-monitored double barrier options with small probabilities of execution, Log-robust portfolio management with parameter ambiguity, Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure, Optimal strategies in equity securities and derivatives, Quantum finance, Volatility in financial markets: Stochastic models and empirical results, A master equation approach to option pricing, Solutions to a stationary nonlinear Black-Scholes type equation, The true invariant of an arbitrage free portfolio, From Brownian motion to operational risk: statistical physics and financial markets, Managing electricity market price risk, The effective dimension and quasi-Monte Carlo integration, A new class of nearly self-financing strategies, Trajectory inference and parameter estimation in stochastic models with temporally aggregated data, An optimization model for minimizing systemic risk, A note on the numerical resolution of Heston PDEs, Optimal algorithms for \(k\)-search with application in option pricing, Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation, Operator splitting methods for pricing American options under stochastic volatility, Portfolio selection with uncertain exit time: a robust CVaR approach, Active portfolio management with benchmarking: adding a value-at-risk constraint, A patent race in a real options setting: investment strategy, valuation, CAPM beta, and return volatility, Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm, Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework, Exact solutions of a model for asset prices by K. Takaoka, Link-save trading, Randomly shifted lattice rules for unbounded integrands, A parabolic variational inequality arising from the valuation of strike reset options, Real-time assessment of value-at-risk and volatility accuracy, On the non-existence of redundant options, An exact subexponential-time lattice algorithm for Asian options, A comparison of lattice based option pricing models on the rate of convergence, Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model, An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices, Spanning with American options., Optimal trading strategy for European options with transaction costs., The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model., Provisioning against borrowers default risk, Constrained stochastic estimation algorithms for a class of hybrid stock market models, On CAPM and Black-Scholes differing risk-return strategies, An empirical model of volatility of returns and option pricing, Thermodynamic analogies in economics and finance: instability of markets, Direct estimation of the risk neutral factor dynamics of Gaussian term structure models, Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options, Mortality derivatives and the option to annuitise., Short-term risk management using stochastic Taylor expansions under Lévy models, Pricing contingent claims in incomplete markets when the holder can choose among different payoffs., Optimal procurement strategies for online spot markets., Stationary solutions for two nonlinear Black--Scholes type equations., The dynamics of implied volatilities: a common principal components approach, Pricing and hedging guaranteed annuity options via static option replication., Implied trinomial trees and their implementation with XploRe, Interest rate swaps under CIR., Multi-period asset allocation by stochastic dynamic programming, Hedging strategy for a portfolio of options and stocks with linear programming, A class of Gaussian hybrid processes for modeling financial markets, Financial options and statistical prediction intervals, Flexible supply contracts under price uncertainty, Valuation of life insurance surrender and exchange options, Conditional VaR estimation using Pearson's type IV distribution, Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment, Pension fund investments and the valuation of liabilities under conditional indexation, Convex bounds on multiplicative processes, with applications to pricing in incomplete markets, Modeling and simulation of an artificial stock option market, Pricing options under jump diffusion processes with fitted finite volume method, Conservation law of strike price and inversion of the Black-Scholes formula, A time-series approach to non-self-financing hedging in a discrete-time incomplete market, Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics, Small dimension PDE for discrete Asian options, A multiperiod binomial model for pricing options in a vague world, Modeling financial reinsurance in the casualty insurance business via stochastic programming, Solutions of two-factor models with variable interest rates, On coordinate transformation and grid stretching for sparse grid pricing of basket options, Options with combined reset rights on strike and maturity, A genetic estimation algorithm for parameters of stochastic ordinary differential equations, Quadratic spline collocation for one-dimensional linear parabolic partial differential equations, Optimal prepayment and default rules for mortgage-backed securities, An improved combinatorial approach for pricing Parisian options, Exponential Rosenbrock integrators for option pricing, An inverse problem arisen in the zero-coupon bond pricing, Parametric and nonparametric models and methods in financial econometrics, Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach, Fear and its implications for stock markets, A Laplace transform finite difference method for the Black-Scholes equation, A survey of stochastic modelling approaches for liberalised electricity markets, Distribution-free option pricing, Eliciting decision weights by adapting de Finetti's betting-odds method to prospect theory, Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection, Adaptive lattice methods for multi-asset models, An efficient method for option pricing with discrete dividend payment, Accurate and efficient lattice algorithms for American-style Asian options with range bounds, Pricing convertible bonds and change of probability measure, Mortgage loan portfolio optimization using multi-stage stochastic programming, A scenario-based integrated approach for modeling carbon price risk, Double barrier hitting time distributions with applications to exotic options, Pricing American options with uncertain volatility through stochastic linear complementarity models, A computational scheme for uncertain volatility model in option pricing, Pricing American barrier options with discrete dividends by binomial trees, Market entry, phased rollout or abandonment? A real option approach, The futility of utility: how market dynamics marginalize Adam Smith, Energy price risk management, Integrated material-financial supply chain master planning under mixed uncertainty, Computing option price for Lévy process with fuzzy parameters, A path-dependent contingent-claims approach to capacity investments, Option pricing and replication with transaction costs and dividends, Penalty methods for American options with stochastic volatility, Volatility of volatility of financial markets, Statistical mechanics of financial markets: exponential modifications to Black-Scholes., A path integral way to option pricing, Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis., Explicit solutions to European options in a regime-switching economy, Decision analysis and real options: a discrete time approach to real option valuation, The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books, Financial modeling and quantum mathematics, Hedging with Residual Risk: A BSDE Approach, MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION, Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques, Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor, Convergence analysis of power penalty method for American bond option pricing, Pricing mining concessions based on combined multinomial pricing model, EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL, Statistical decomposition of volatility, A review on implied volatility calculation, Evaluation of credit value adjustment in K-forward, Does the financial market compensate investors for operational losses?, CONSTANT MATURITY TREASURY CONVEXITY CORRECTION, Existence of a fundamental solution of partial differential equations associated to Asian options, A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems, Optimal time to intervene: the case of measles child immunization, A numerical scheme for pricing American options with transaction costs under a jump diffusion process, Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options, Reducing transaction costs for interest rate risk hedging with stochastic programming, Asymptotic and exponential decay in mean square for delay geometric Brownian motion., Testing the predictive ability of corridor implied volatility under GARCH models, Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes, Dynamics of a binary option market with exogenous information and price sensitivity, Quantum speedup of Monte Carlo integration with respect to the number of dimensions and its application to finance, Cyber loss distribution fitting: a general framework towards cyber bonds and their pricing models, Numerical methods for backward Markov chain driven Black-Scholes option pricing, Wireless network capacity management: a real options approach, Valuation of the American put option as a free boundary problem through a high-order difference scheme, Investment Decisions Under Uncertainty Using Stochastic Dynamic Programming: A Case Study of Wind Power, Recovery of time dependent volatility coefficient by linearization, Pricing and securitization of multi-country longevity risk with mortality dependence, Solving the liquidity constraint by options on futures, Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach, When can insurers offer products that dominate delayed old-age pension benefit claiming?, Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits, Spectral binomial tree: new algorithms for pricing barrier options, Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups, Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk, Option valuation model with adaptive fuzzy numbers, On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs, Fast and accurate pricing of discretely monitored barrier options by numerical path integration, Risk management of a bond portfolio using options, Predicting DAX trends from Dow Jones data by methods of the mathematical theory of democracy, A methodology using option pricing to determine a suitable discount rate in environmental management, Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty, Collaboration in tool development and capacity investments in high technology manufacturing networks, An inverse problem of determining the implied volatility in option pricing, Revenue management for low-cost providers, Extending the Merton model: A hybrid approach to assessing credit quality, Risk-neutral valuation with infinitely many trading dates, Pricing commodity spread options with stochastic term structure of convenience yields and interest rates, Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach, A new simulation approach to the LIBOR market model, Unnamed Item, LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING, Interest rate options valuation under incomplete information, Macaulay durations for nonparallel shifts, Pricing of perpetual American and Bermudan options by binomial tree method, Infinite-dimensional Black-Scholes equation with hereditary structure, On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance, Linear-time option pricing algorithms by combinatorics, Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions, Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims, Capital investment appraisal: a new risk premium model, Optimal stock liquidation in a regime switching model with finite time horizon, VALUING CALLABLE AND PUTABLE REVENUE-PERFORMANCE-LINKED PROJECT BACKED SECURITIES, EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS, An ill-posed problem for the Black–Scholes equation for a profitable forecast of prices of stock options on real market data, Double-exponential fast Gauss transform algorithms for pricing discrete lookback options, A private management strategy for the crop yield insurer: a theoretical approach and tests, Time Charters with Purchase Options in Shipping: Valuation and Risk Management, A stochastic approximation algorithm for option pricing model calibration with a switchable market, VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE, On implied volatility for options -- some reasons to smile and more to correct, A multinomial tree model for pricing credit default swap options, High-Order Compact Finite Difference Method for Black–Scholes PDE, Recovery of the local volatility function using regularization and a gradient projection method, A penalty-based method from reconstructing smooth local volatility surface from American options, A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion, A boundary element approach to barrier option pricing in Black–Scholes framework, Estimation and evaluation of the term structure of credit default swaps: An empirical study, Pricing catastrophe options in discrete operational time, A neural network approach to efficient valuation of large portfolios of variable annuities, Fair Terms and Fair Pricing for Multiple Warrant Issues, OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY, VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS, A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies, Universal spectral densities: white and flicker noises, Monte Carlo analysis of convertible bonds with reset clauses, Exact solutions of the Fokker-Planck equations with moving boundaries, AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES, The Bivariate Normal Copula, On the asymptotic free boundary for the American put option problem, COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW, Endogenous model of surrender conditions in equity-linked life insurance, Performance measurement of pension strategies: a case study of Danish life cycle products, Raising and allocation capital principles as optimal managerial contracts, Performance measurement of pension strategies: a case study of Danish life-cycle products, Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes, A generalized bootstrap method to determine the yield curve, Revenue management: A real options approach, Numerical performance of penalty method for American option pricing, HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET, VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS, Equivalent Black volatilities, Markov interest rate models, A PDE approach to risk measures of derivatives, Basics of electricity derivative pricing in competitive markets, Inference and Computation for Sparsely Sampled Random Surfaces, A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles, A Vasicek-Type Short Rate Model With Memory Effect, A long time asymptotic behavior of the free boundary for an American put, Elimination of systemic risk in financial networks by means of a systemic risk transaction tax, A multiple-curve Lévy forward rate model in a two-price economy, Learning minimum variance discrete hedging directly from the market, Interest rate trees: extensions and applications, On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach, Estimating discrete dividends by no-arbitrage, Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market, Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative, Option pricing: the reduced-form SDE model, ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE, The pricing of compound option under variance gamma process by FFT, Elementary price indices under the GBM price model, Adaptative Monte Carlo Method, A Variance Reduction Technique, Optimization under Rare Chance Constraints, Confidence intervals for finite difference solutions, A backward Monte Carlo approach to exotic option pricing, First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications, A Multivariate Default Model with Spread and Event Risk, A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models, ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING, SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?, Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach, High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators, A new computational tool for analysing dynamic hedging under transaction costs, AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD, A new Fourier transform algorithm for value-at-risk, A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*, Designing Minimum Guaranteed Return Funds, Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets, The calibration of volatility for option pricing models with jump diffusion processes, A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility, PENALTY AMERICAN OPTIONS, CONIC CVA AND DVA FOR OPTION PORTFOLIOS, OPTION PRICING IN MARKETS WITH INFORMED TRADERS, On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model, A highly parallel Black–Scholes solver based on adaptive sparse grids, Scaling and Multiscaling in Financial Series: A Simple Model, Recovery of volatility coefficient by linearization, A data and digital-contracts driven method for pricing complex derivatives, A new well-posed algorithm to recover implied local volatility, AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER, Approximated moment-matching dynamics for basket-options pricing, A spot market model for pricing derivatives in electricity markets, A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS, ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK, Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit, Binomial Lattice Model: Application on Carbon Credits Market, REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING, Online portfolio selection, A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets, Unnamed Item, A New Variance Reduction Technique for Estimating Value-at-Risk, A multidimensional framework for financial-economic decisions, Inference in a Non-Homogeneous Vasicek Type Model, Multi-curve Modelling Using Trees, OPTIMAL HARVESTING OF FOREST AGE CLASSES UNDER PRICE UNCERTAINTY AND RISK AVERSION, VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS, Parallelizing computation of expected values in recombinant binomial trees, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, Amostragem descritiva no apreçamento de opções européias através de simulação Monte Carlo: o efeito da dimensionalidade e da probabilidade de exercício no ganho de precisão, Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes, Valuing catastrophe bonds by Monte Carlo simulations, Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate, A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities, Construction and Hedging of Optimal Payoffs in Lévy Models, Some explicit results on one kind of sticky diffusion, VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS, A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model, Hierarchical time-varying mixed-effects models in high-dimensional time series and longitudinal data studies, Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates, Unnamed Item, An Asymptotic Method to a Financial Optimization Problem, SOME NOTES ABOUT THE MARTINGALE REPRESENTATION THEOREM AND THEIR APPLICATIONS, ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE, Modeling and evaluation of the option book hedging problem using stochastic programming, AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM, An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model, Optimum Constrained Portfolio Rules in a Diffusion Market, Interpolation Methods for Curve Construction, On Implied Volatility Surface Construction for Stochastic Investment Models, Issues concerning block trading and transaction costs, FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK, Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions, Can outstanding dividend payments be estimated by American options?, Are tightened trading rules always bad? Evidence from the Chinese index futures market, Option prices and stock market momentum: evidence from China, Radial-basis-function-based finite difference operator splitting method for pricing American options, Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity, THE BRITISH ASSET-OR-NOTHING PUT OPTION, Unnamed Item, COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY, PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION, HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS, ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE, APPLYING THE GENETIC-BASED NEURAL NETWORKS TO VOLATILITY TRADING, Is cross-hedging effective for mitigating equity investment risks in the Indian banking sector?, The American put with finite‐time maturity and stochastic interest rate, A multi-curve HJM factor model for pricing and risk management, Analysis of option butterfly portfolio models based on nonparametric estimation deep learning method, On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation, Systemic risk of optioned portfolio: controllability and optimization, Extracting a function encoded in amplitudes of a quantum state by tensor network and orthogonal function expansion, Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation, Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities, Are DeFi tokens a separate asset class from conventional cryptocurrencies?, Valuation of barrier and lookback options under hybrid CEV and stochastic volatility, Pricing of Quanto power options and related exotic options, A new options pricing method: semi-stochastic kernel regression method with constraints, ANALYTICAL VALUATION OF VULNERABLE OPTIONS IN A DISCRETE-TIME FRAMEWORK, Generalized Sν$S^\nu$ spaces, On intermediate marginals in martingale optimal transportation, Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics, Implied volatility surfaces: a comprehensive analysis using half a billion option prices, A Game Theoretical Real Options Framework for Investment Decisions in Mobile TV Infrastructure, Efficient pricing and hedging of high-dimensional American options using deep recurrent networks, Meshless methods for American option pricing through physics-informed neural networks, Hedging at-the-money digital options near maturity, Weather rebate contracts for different risk attitudes of supply chain members, Adiabaticity conditions for volatility smile in Black-Scholes pricing model, Fractality of profit landscapes and validation of time series models for stock prices, The roles of extrinsic periodic information on the stability of stock price, An Approximate Closed Formula for European Mortgage Options, Unnamed Item, On the modelling of nested risk-neutral stochastic processes with applications in insurance, Option Pricing with Threshold Diffusion Processes, Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk, CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION, EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL, Beyond Black–Scholes: A Neural Networks-Based Approach to Options Pricing, The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model, THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY, QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS, Non-maturing Deposits, Convexity and Timing Adjustments, A fuzzy approach to option pricing in a Levy process setting, Herd behavior, bubbles and social interactions in financial markets, Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature, Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates, Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use, Bayesian Risk Measures for Derivatives via Random Esscher Transform, Raising Value at Risk, Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers., A SPREAD-RETURN MEAN-REVERTING MODEL FOR CREDIT SPREAD DYNAMICS, Game-theoretic versions of strong law of large numbers for unbounded variables, Zur Bewertung von Optionen und Garantien bei Lebensversicherungen, Ein Modell zur Bewertung von PCS-Optionen, Implicit options in life insurance contracts, Implicit options in life insurance contracts, Zur Bewertung von Optionen in Lebensversicherungsprodukten: Die Option des Versicherungsunternehmens auf Senkung der Gewinnbeteiligung, An option pricing approach to valuing upward only rent review properties with multiple reviews, Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching, American step-up and step-down default swaps under Lévy models, Overshoot in the Case of Normal Variables: Chernoff's Integral, Latta's Observation, and Wijsman's Sum, Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model, Finite arbitrage times and the volatility smile?, A streamlined derivation of the Black-Scholes option pricing formula, Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option, A hybrid option pricing model using a neural network for estimating volatility, Practical computing for finite moment log-stable distributions to model financial risk, A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES, STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA, A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering, A systematic and efficient simulation scheme for the Greeks of financial derivatives, A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model, Exact Superreplication Strategies for a Class of Derivative Assets, CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL, IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS, Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure, THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS, Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market, Computing optimal rebalance frequency for log-optimal portfolios, A simple derivation of risk-neutral probability in the binomial option pricing model, A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING, Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals, Generalized $T^p_u$ spaces: On the trail of Calderón and Zygmund, Multiple regression analysis for dynamics of patient volumes, Application of the local radial basis function-based finite difference method for pricing American options, Elementary stochastic calculus for finance with infinitesimals, A Cross-Entropy Scheme for Mixtures, Selfsimilar diffusions