scientific article; zbMATH DE number 6137478
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- A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
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- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- On the numerical solution of nonlinear Black-Scholes equations
- Subordination, self-similarity, and option pricing
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- Highly nonlinear model in finance and convergence of Monte Carlo simulations
- Testing the martingale restriction for option implied densities
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- Third-order extensions of Lo's semiparametric bound for European call options
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- Smoothly truncated stable distributions, GARCH-models, and option pricing
- Conservation laws for the Black-Scholes equation
- Option pricing when the regime-switching risk is priced
- Polynomial chaos for simulating random volatilities
- Option pricing under the Merton model of the short rate
- Valuing time-dependent CEV barrier options
- Fuzzy real options in brownfield redevelopment evaluation
- Valuing continuous-installment options
- Can properly discounted projects follow geometric Brownian motion?
- A note on immunization under a general stochastic equilibrium model of the term structure
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- An extension of the Black-Scholes model of security valuation
- Option pricing methods: an overview
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- A Bayesian approach to the empirical valuation of bond options
- Nonlinear interest rate dynamics and implications for the terms structure
- Martingales and arbitrage in multiperiod securities markets
- Arbitrage and equilibrium in economies with infinitely many commodities
- Martingales and stochastic integrals in the theory of continuous trading
- Super contact and related optimality conditions
- Bond options and bond portfolio insurance
- Optimal trading of stock options under alternative strategy
- Construction of a decision-support system for a combination of options
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
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- Multi-period minimax hedging strategies
- A comparative evaluation of alternative models of the term structure of interest rates
- The European option with hereditary price structures
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
- Pricing options on securities with discontinuous returns
- Valuing flexibility: An impulse control framework
- Stimmrechtsbeschränkung und take-over
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- A general version of the fundamental theorem of asset pricing
- Stochastic saddlepoint systems
- The pricing of options and corporate liabilities
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- A variational approach for pricing options and corporate bounds
- How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?
- Optimal delta-hedging under transactions costs
- Nonparametric option pricing under shape restrictions
- Empirical assessment of an intertemporal option pricing model with latent variables.
- Spectral GMM estimation of continuous-time processes
- A bounded risk strategy for a market with non-observable parameters.
- The super-replication problem via probabilistic methods
- A fuzzy approach to real option valuation
- Option pricing and perfect hedging on correlated stocks
- A fractional version of the Merton model.
- A stability estimate of an inverse problem in financial prospection.
- Financial options and statistical prediction intervals
- An analytically tractable interest rate model with humped volatility
- Option pricing and replication with transaction costs and dividends
- PDE methods for pricing barrier options
- Valuation and martingale properties of shadow prices: an exposition
- The valuation of American barrier options using the decomposition technique
- Nonparametric estimation of American options' exercise boundaries and call prices
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- Optimal bidding and contracting strategies for capital-intensive goods
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- Stochastic string models with continuous semimartingales
- A path-independent method for barrier option pricing in hidden Markov models
- Option pricing under deformed Gaussian distributions
- Correlated continuous time random walk and option pricing
- Multi-asset Black-Scholes model as a variable second class constrained dynamical system
- Beyond lognormal inequality: the Lorenz flow structure
- European option pricing under the Student's \(t\) noise with jumps
- Arbitrage with fractional Gaussian processes
- Quantifying risks with exact analytical solutions of derivative pricing distribution
- Volatility smile as relativistic effect
- A multivariate stochastic volatility model with applications in the foreign exchange market
- A bias in the volatility smile
- Bayesian option pricing using mixed normal heteroskedasticity models
- On the price of risk under a regime switching CGMY process
- Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
- Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Black-Scholes in a CEV random environment
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