scientific article; zbMATH DE number 841285

zbMATH Open0844.90011MaRDI QIDQ4863379FDOQ4863379

S. D. Howison, Jeff Dewynne, Paul Wilmott

Publication date: 4 February 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

European optionsfinanceoption pricingWiener processespartial differential equationsAmerican optionscontinuous timeexotic optionsBlack-Scholes frameworkput-call parity theorem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24)

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• Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
• Derivative securities and difference methods.
• Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
• Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
• Variational Analysis for the Black and Scholes Equation with Stochastic Volatility
• Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
• A posteriorierror analysis for parabolic variational inequalities
• A CELL-CENTERED SECOND-ORDER ACCURATE FINITE VOLUME METHOD FOR CONVECTION–DIFFUSION PROBLEMS ON UNSTRUCTURED MESHES
• DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
• A spectral method for the time evolution in parabolic problems
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• The Mathematics of Financial Derivatives
• TVD, WENO and blended BDF discretizations for Asian options
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• Active-Set Reduced-Space Methods with Nonlinear Elimination for Two-Phase Flow Problems in Porous Media
• First- and second-order necessary conditions via exact penalty functions
• A comparative analysis of local meshless formulation for multi-asset option models
• A local radial basis function method for pricing options under the regime switching model
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
• Polynomial algorithms for pricing path-dependent interest rate instruments
• Lookback options with discrete and partial monitoring of the underlying price
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• Optimal exercise boundary for an American put option
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• Problem of selecting an optimal portfolio with a probabilistic risk function
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• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
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• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
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• On Schrödinger type operators with unbounded coefficients: generation and heat kernel estimates
• Critical price near maturity for an American option on a dividend-paying stock.
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• A penalty method for a finite-dimensional obstacle problem with derivative constraints
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
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• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• An efficient computational algorithm for pricing European, barrier and American options
• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
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• A modified binomial tree method for currency lookback options
• Computing option pricing models under transaction costs
• A preference free partial differential equation for the term structure of interest rates
• A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
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• Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes
• A hybrid method for pricing European options based on multiple assets with transaction costs
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• Parameter estimation approach to the free boundary for the pricing of an American call option
• CVA Computing by PDE Models
• Evaluation of double average asian options by the legendre spectral method

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