scientific article; zbMATH DE number 2119185

zbMATH Open1103.91018MaRDI QIDQ4828653FDOQ4828653

Authors: Jakša Cvitanić, Fernando Zapatero 

Publication date: 26 November 2004

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Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Trade models (91B60)

Cited In (29)

• An extension of the Clark–Haussmann formula and applications
• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• Introduction to financial economics
• Pricing of path-dependent European-type options using Monte Carlo simulation
• Portfolio optimization in a semi-Markov modulated market
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Mathematics of financial markets.
• On asymptotic log-optimal portfolio optimization
• Option overlay strategies
• Calibration of the double Heston model and an analytical formula in pricing American put option
• Pricing the American options: a closed-form, simple formula
• Financial economics, risk and information. An introduction to methods and models.
• Equilibrium and stability of a stock market game with big traders
• Dynamic conic hedging for competitiveness
• Quantitative Finance
• Financial markets theory. Equilibrium, efficiency and information
• Stochastic methods in economics and finance
• A note on constant proportion trading strategies
• From insurance risk to credit portfolio management: a new approach to pricing CDOs
• Portfolio theory for squared returns correlated across time
• Financial economics, risk and information
• Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
• The price of the Bermudan option: A simple, explicit formula
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• Pricing the American options using the Black-Scholes pricing formula
• Optimal risk-sharing with effort and project choice
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
• A dynamic programming approach to constrained portfolios

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