On the theory of option pricing
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Publication:760330
zbMATH Open0554.90019MaRDI QIDQ760330FDOQ760330
Authors: Alain Bensoussan 
Publication date: 1984
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Recommendations
Brownian motionportfolio theoryfinancial economicsperturbation techniquesdrift transformationKunita-Watanabe representations
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20)
Cited In (87)
- Hedging using simulation: a least squares approach
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- On the American option-pricing model with an uncertain volatility
- The early exercise premium representation for American options on multiply assets
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- Optimal risk management problem of natural resources: application to oil drilling
- American option prices in a Markov chain market model
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- Variational inequalities and the pricing of American options
- A More General Valuation and Arbitrage Theory for Itô Processes
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- American lookback option with fixed strike price-2-D parabolic variational inequality
- On the pricing of American options
- Convex duality for partial hedging of American options: continuous price processes
- Free boundary and optimal stopping problems for American Asian options
- An efficient numerical method for the valuation of American multi-asset options
- An integer programming model for pricing American contingent claims under transaction costs
- Optimal stopping problems with restricted stopping times
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
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- On the convergence from discrete to continuous time in an optimal stopping problem.
- Variational inequalities in Hilbert spaces with measures and optimal stopping problems
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- American put options with a finite set of exercisable time epochs
- Nonparametric estimation of American options' exercise boundaries and call prices
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- The application of backward stochastic differential equation with stopping time in hedging American contingent claims
- Optimal oil production and the world supply of oil
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- An analytic formula for the price of an American-style Asian option of floating strike type
- American options with stochastic dividends and volatility: a nonparametric investigation
- Residual risks and hedging strategies in Markovian markets
- Supermartingale decomposition theorem under \(G\)-expectation
- Exercise boundary of American-style Asian option
- A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems
- Volatility misspecification, option pricing and superreplication via coupling
- On the behaviour near expiry for multi-dimensional American options
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- Monte Carlo algorithms for optimal stopping and statistical learning
- An extension of a theorem of K. Yamada to equations ``with memory
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- A network of options: evaluating complex interdependent decisions under uncertainty
- Dividends in the theory of derivative securities pricing
- An optimal stopping problem with a reward constraint
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- A generalized complementarity approach to solving real option problems
- The early exercise boundary under the jump to default extended CEV model
- Optimal Hedging in Incomplete Markets
- Valuation of the prepayment option of a perpetual corporate loan
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- An efficient finite element method for pricing American multi-asset put options
- Hedging American contingent claims with arbitrage costs
- On option pricing in models driven by iterated integrals of Brownian motion
- The American put with finite‐time maturity and stochastic interest rate
- An integration by parts type formula for stopping times and its application
- Properties of American option prices
- An option pricing problem with the underlying stock paying dividends
- Numerical pricing of financial derivatives using Jain's high-order compact scheme
- Pricing the American put option: A detailed convergence analysis for binomial models
- Futures market equilibrium with heterogeneity and a spot market at harvest
- Semi-parametric estimation of American option prices
- A new form of the early exercise premium for American type derivatives
- The stochastic balance equation for the American option value function and its gradient
- ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS
- Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
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- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
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- Probabilistic approach to free boundary problems and pricing of American options
- Portfolios of American options under general preferences: results and counterexamples
- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- Stability analysis for pricing European options regarding the interest rate generated by the time fractional Cox-Ingersoll-Ross processes
- An introduction to option pricing and the mathematical theory of risk
- On the obstacle problem associated to the Kolmogorov-Fokker-Planck operator with rough coefficients
- THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS
- AN ANALYTICAL APPROACH TO MERTON'S RATIONAL OPTION PRICING THEORY
- American options in nonlinear markets
- Title not available (Why is that?)
- Bermudan options pricing formulas in uncertain financial markets
- Valeur maximale d'un droit d'option a prix ferme
- Perpetual American Put Option: an Error Estimator for Non-Standard Finite Difference Scheme
- An Italian perspective on the development of financial mathematics from 1992 to 2008
- A penalty method for American multi-asset option problems
- Title not available (Why is that?)
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