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?)
Recommendations
European optionsfinanceoption pricingWiener processespartial differential equationsAmerican optionscontinuous timeexotic optionsBlack-Scholes frameworkput-call parity theorem
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
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
- 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
- An alternating-direction implicit difference scheme for pricing Asian options
- Optimal exercise boundary for an American put option
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
- Problem of selecting an optimal portfolio with a probabilistic risk function
- Hedging error estimate of the american put option problem in jump-diffusion processes
- American options on assets with dividends near expiry
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- Group Classification of a Class of Kolmogorov Equations with Time-Dependent Coefficients
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
- A Numerical Approach for the American Call Option Pricing Model
- On inverse problems for strongly degenerate parabolic equations under the integral observation condition
- On the valuation of variance swaps with stochastic volatility
- An Introduction to Financial Option Valuation
- Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering
- A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option
- A numerical method for European option pricing with transaction costs nonlinear equation
- An error estimate for the finite difference scheme for one-phase obstacle problem
- Vector financial rogue waves
- Compact finite difference method for American option pricing
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement
- Predictability and unpredictability in financial markets
- Advanced Biased Stochastic Approach for Solving Fredholm Integral Equations
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- Tools for computational finance
- 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.
- Dividends in the theory of derivative securities pricing
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- A mixed PDE-Monte Carlo approach for pricing credit default index swaptions
- A new predictor-corrector scheme for valuing American puts
- ADI Schemes for Pricing American Options under the Heston Model
- Valuation of segregated funds: shout options with maturity extensions.
- A numerical method for pricing European options with proportional transaction costs
- Weakly chained diagonally dominant \(B\)-matrices and error bounds for linear complementarity problems
- 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
- Numerical methods for Lévy processes
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
- 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
- Almost sure optimal hedging strategy
- A robust finite difference scheme for pricing American put options with singularity-separating method
- Power penalty method for a linear complementarity problem arising from American option valuation
- The pricing of options for securities markets with delayed response
- A HODIE finite difference scheme for pricing American options
- An analysis of finite volume element method for solving the Signorini problem
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- 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
- Space-time adaptive finite elements for nonlocal parabolic variational inequalities
- Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes
- A hybrid method for pricing European options based on multiple assets with transaction costs
- DG method for pricing European options under Merton jump-diffusion model.
- American-type basket option pricing: a simple two-dimensional partial differential equation
- Numerical treatment to a non-local parabolic free boundary problem arising in financial bubbles
- A long time asymptotic behavior of the free boundary for an American put
- Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models
- Option theory with stochastic analysis. An introduction to mathematical finance.
- Insights into financial mathematics: valuation of options and portfolio optimization
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- Analysis of the nonlinear option pricing model under variable transaction costs
- Superconvergence estimates of finite element methods for American options
- PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS
- PDE Models for Pricing Stocks and Options With Memory Feedback
- Richardson extrapolation technique for generalized Black-Scholes PDEs for European options
- A novel local meshless scheme based on the radial basis function for pricing multi-asset options
- Options and partial differential equations
- An introduction to option pricing and the mathematical theory of risk
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
- On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices
- 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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