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(only showing first 100 items - show all)- Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options
- A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
- Pricing turbo warrants under stochastic elasticity of variance
- Finite maturity margin call stock loans
- Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
- On the methods of pricing American options: case study
- American put option: Richardson's extrapolation and a posteriori error estimator for a front-fixing finite difference scheme
- Projection and contraction method for the valuation of American options
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- An efficient numerical method for pricing a Russian option with a finite time horizon
- A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
- scientific article; zbMATH DE number 1454625 (Why is no real title available?)
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
- Valuation of American options under the CGMY model
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
- Flexibility to switch project size: a real option application for photovoltaic investment valuation
- Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
- Pricing spread options with stochastic interest rates
- scientific article; zbMATH DE number 1344855 (Why is no real title available?)
- Financial Derivatives and Partial Differential Equations
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond
- Derivative securities and difference methods.
- scientific article; zbMATH DE number 1104309 (Why is no real title available?)
- The Black-Scholes model.
- Numerical techniques for determining implied volatility in option pricing
- Modellierung derivater Finanzinstrumente
- Financial models with defaultable numéraires
- DNN expression rate analysis of high-dimensional PDEs: application to option pricing
- An integral equation representation approach for valuing Russian options with a finite time horizon
- Equity derivatives. Corporate and institutional applications
- scientific article; zbMATH DE number 1940732 (Why is no real title available?)
- Financial derivatives pricing. Selected works of Robert Jarrow. With a foreword by Robert C. Merton
- Primal-dual active set method for pricing American better-of option on two assets
- Properties of American volatility options in the mean-reverting 3/2 volatility model
- The calibration of volatility for option pricing models with jump diffusion processes
- Fast reconstruction of time-dependent market volatility for European options
- A high-order finite difference method for option valuation
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Lie symmetry analysis for a parabolic Monge-Ampère equation in the optimal investment theory
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- Constructing positive reliable numerical solution for American call options: a new front-fixing approach
- Group classification of a generalization of the Heath equation
- The Mathematics of Financial Derivatives
- Option pricing in illiquid markets with jumps
- Weak Galerkin finite element method for valuation of American options
- A penalty-based method from reconstructing smooth local volatility surface from American options
- Weather derivatives pricing using regime switching model
- Semismooth Newton methods with domain decomposition for American options
- The waterline tree for separable local-volatility models
- Accuracy of analytical approximation formula for bond prices in a three-factor convergence model of interest rates
- Path integral pricing of outside barrier Asian options
- An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
- On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation
- Exotic derivatives and risk. Theory, extensions and applications. With foreword by Harry M. Markowitz.
- Financial products. An introduction using mathematics and \texttt{Excel}
- Mathematical Finance
- A general control variate method for Lévy models in finance
- A universal difference method for time-space fractional Black-Scholes equation
- Fundamentals and advanced techniques in derivatives hedging. Translated from the French
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Probabilistic approach to free boundary problems and pricing of American options
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
- Derivative pricing. A problem-based primer
- Financial Mathematics, Derivatives and Structured Products
- Asian option as a fixed-point
- A fast numerical method for the valuation of American lookback put options
- A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Financial derivatives modeling
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
- scientific article; zbMATH DE number 847292 (Why is no real title available?)
- Path-dependent game options: a lookback case
- Numerical analysis of novel finite difference methods
- The Value of a Two-Sided Real Swaption
- Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method
- On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
- Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
- Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- An asymptotic computational method for the nonlinear weakly singular integral models in option pricing
- Lookback option pricing for regime-switching jump diffusion models
- On a multilevel preconditioner and its condition numbers for the discretized Laplacian on full and sparse grids in higher dimensions
- Iteratively regularized Landweber iteration method: convergence analysis via Hölder stability
- On a neural network to extract implied information from American options
- A new method for evaluating options based on multiquadric RBF-FD method
- Pricing symmetric type of power quanto options
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Fast quadrature methods for options with discrete dividends
- An implicit scheme for American put options
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Group classification of a generalized Black-Scholes-Merton equation
- An integral equation approach for pricing American put options under regime-switching model
- scientific article; zbMATH DE number 2031570 (Why is no real title available?)
- Mathematical modelling of system trade in currencies, shares, and financial futures
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