scientific article; zbMATH DE number 6137478

zbMath1257.91043MaRDI QIDQ4905685

Robert C. Merton

Publication date: 20 February 2013

Full work available at URL: http://www.jstor.org/stable/3003143

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

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American put option as a free boundary problem through a high-order difference scheme, Financial jeopardy, A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models, Option pricing with Weyl–Titchmarsh theory, Early exercise boundary and option prices in Lévy driven models, ROBUST TRADING OF IMPLIED SKEW, The STRIKE Computational Finance Toolbox, PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION, Option pricing formulas under a change of numèraire, Perpetual American vanilla option pricing under single regime change risk: an exhaustive study, ASSET PRICE BUBBLES IN INCOMPLETE MARKETS, A nonlinear partial differential equation for american options in the entire domain of the state variable, Fuzzy pricing of American options on stocks with known dividends and its algorithm, Unnamed Item, Unnamed Item, Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach, BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND 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models, Expected Utility Theory on General Affine GARCH Models, Semi-Robust Replication of Barrier-Style Claims on Price and Volatility, CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL, Pricing double-barrier option with processes depending on various states of the economy, Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging, Inference and Computation for Sparsely Sampled Random Surfaces, COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION, THE NUMERICAL STRATEGY OF TEMPERED FRACTIONAL DERIVATIVE IN EUROPEAN DOUBLE BARRIER OPTION, Unnamed Item, SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS, Quantification of risk in classical models of finance, Equal risk pricing and hedging of financial derivatives with convex risk measures, Modelling long-range-dependent Gaussian processes with application in continuous-time financial models, Calibration of the temporally varying volatility and interest rate functions, Rate of convergence of 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WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS, The Robust Superreplication Problem: A Dynamic Approach, Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model, PREFERENCES UNDER IGNORANCE, Option pricing methods in the City of London during the late 19th century, Optimal Hedging in Incomplete Markets, Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants, Two extensions to barrier option valuation, Non-parametric Pricing and Hedging of Exotic Derivatives, Valuation of forward start options under affine jump-diffusion models, Unnamed Item, On Implied Volatility Surface Construction for Stochastic Investment Models, Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities, Equal risk pricing of derivatives with deep hedging, Natural Hedging of Life and Annuity Mortality Risks, Estimation of Distress Costs Associated with 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Submitted for a special edition of \textit{Synthese}, ``Enabling mathematical cultures, Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options, Automated translation and accelerated solving of differential equations on multiple GPU platforms, A Fréchet derivative‐based novel approach to option pricing models in illiquid markets, Pricing formula for a barrier call option based on stochastic delay differential equation, Financially adaptive clinical trials via option pricing analysis, APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL, Unnamed Item, Statistical arbitrage under the efficient market hypothesis, Forecasting semi-stationary processes and statistical arbitrage, THE BRITISH ASSET-OR-NOTHING PUT OPTION, Unnamed Item, Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation, Unnamed Item, A system of variational inequalities arising from 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for probabilistic characteristics of processes with damped jumps, Computational algorithm for financial mathematical model based on European option, On One Approach to Mathematical Modeling of Socio-EconomicDevelopment of Regions, Exposure valuations and their capital requirements, American rainbow option pricing formulae in uncertain environment, Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option, The Black-Scholes paper: a personal perspective, Valuing of timer path-dependent options, THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY, Extracting a function encoded in amplitudes of a quantum state by tensor network and orthogonal function expansion, Valuation of barrier and lookback options under hybrid CEV and stochastic volatility, Expected vs. real transaction costs in European option pricing, Cautious stochastic choice, optimal stopping and deliberate randomization, Beyond rocket science: a factor model for convertible bond returns, Option pricing generators, Implied volatility smoothing at COVID-19 times, A Hamiltonian approach to floating barrier option pricing, A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance, Modified Differential Transform Method for Solving Black-Scholes Pricing Model of European Option Valuation Paying Continuous Dividends, PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES, Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option, Recent advances in reinforcement learning in finance, Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing, Models with Uncertain Volatility, Testing cubature formulae on Wiener space versus explicit pricing formulae, Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics, Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials, Modeling and simulation of financial returns under non-Gaussian distributions, So You Want to Price and Invest in Options?, A stochastic-local volatility model with Lévy jumps for pricing derivatives, Pricing American options under Azzalini Ito-McKean skew Brownian motions, BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM, Unnamed Item, PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE, AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS, Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation, Unnamed Item, Option Pricing with Threshold Diffusion Processes, An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model, Policyholder Exercise Behavior in Life Insurance: The State of Affairs, The multidimensional truncated moment problem: Gaussian and log-normal mixtures, their Carathéodory numbers, and set of atoms, Exact Monte Carlo simulation of killed diffusions, A tractable model for indices approximating the growth optimal portfolio, Perfect option hedging and the hedge ratio, Stochastic differential equations in finance, NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP, MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS, Multiscale stochastic volatility for equity, interest rate and credit derivatives By Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Sølna, Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers., Perfect option hedging and the hedge ratio, Optimal investment strategies with bounded risks, general utilities, and goal achieving, Do option markets correctly price the probabilities of movement of the underlying asset?, Stochastic differential equations in finance, American option pricing under GARCH by a Markov chain approximation, Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets, Option pricing bounds with standard risk aversion preferences, Finite arbitrage times and the volatility smile?, Optimal stopping, free boundary, and American option in a jump-diffusion model, A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes, A high order finite element scheme for pricing options under regime switching jump diffusion processes, Large-maturity regimes of the Heston forward smile, Comments on: Dynamic relations for sparsely sampled Gaussian processes, Approximation of time fractional Black-Scholes equation via radial kernels and transformations, Parameter Estimation and Variable Selection for Big Systems of Linear Ordinary Differential Equations: A Matrix-Based Approach, On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance, THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE, Functional Itô calculus, The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios, CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL, Volatility and dividend risk in perpetual American options, Book Review: Stochastic calculus for finance, PRICING DERIVATIVES IN HERMITE MARKETS, Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate, A DYNAMIC MODEL OF CLEANUP: ESTIMATING SUNK COSTS IN OIL AND GAS PRODUCTION, Entry and Exit Decision Problem with Implementation Delay, Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model, Valuation and Parities for Exchange Options, Asymptotics of Forward Implied Volatility, A multifactor transformed diffusion model with applications to VIX and VIX futures, Multiple subordinated modeling of asset returns: Implications for option pricing, An Interpolation-Based Approach to American Put Option Pricing, Discounting the Discounted Projection Approach