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The Mathematics of Financial Derivatives

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Cited by:

  1. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
  2. Hitoshi Imai & Naoyuki Ishimura & Ikumi Mottate & Masaaki Nakamura, 2006. "On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 315-326, December.
  3. Yonggu Kim & Keeyoung Shin & Joseph Ahn & Eul-Bum Lee, 2017. "Probabilistic Cash Flow-Based Optimal Investment Timing Using Two-Color Rainbow Options Valuation for Economic Sustainability Appraisement," Sustainability, MDPI, vol. 9(10), pages 1-16, October.
  4. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
  5. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
  6. Tobias Lipp & Grégoire Loeper & Olivier Pironneau, 2013. "Mixing Monte-Carlo and Partial Differential Equations for Pricing Options," Post-Print hal-01558826, HAL.
  7. Ziwei Ke & Joanna Goard, 2019. "Penalty American Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-32, March.
  8. Weaver, Robert D. & Moon, Yongma, 2010. "Private Labels: A Mechanism For Fulfilling Consumer Demand For Healthy Food?," 115th Joint EAAE/AAEA Seminar, September 15-17, 2010, Freising-Weihenstephan, Germany 116397, European Association of Agricultural Economists.
  9. Masatoshi Miyake & Hiroshi Inoue & Satoru Takahashi, 2011. "Option Pricing For Weighted Average Of Asset Prices," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 28(05), pages 651-672.
  10. Hagspiel, Verena & Nunes, Cláudia & Oliveira, Carlos & Portela, Manuel, 2021. "Green investment under time-dependent subsidy retraction risk," Journal of Economic Dynamics and Control, Elsevier, vol. 126(C).
  11. Jung-Kyung Lee, 2020. "On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model," Mathematics, MDPI, vol. 8(9), pages 1-11, September.
  12. Riccardo Brignone & Carlo Sgarra, 2020. "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, vol. 16(1), pages 101-119, March.
  13. Kim, Jinbeom & Leung, Tim, 2016. "Pricing derivatives with counterparty risk and collateralization: A fixed point approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 525-539.
  14. Stefano Baccarin & Daniele Marazzina, 2014. "Optimal impulse control of a portfolio with a fixed transaction cost," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 355-372, June.
  15. Ming Xi Huang, 2010. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 15, July-Dece.
  16. Zaheer Imdad & Tusheng Zhang, 2014. "Pricing European options in a delay model with jumps," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 1-13.
  17. Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 245-259, April.
  18. Vladislav Kargin, 2005. "Lattice Option Pricing By Multidimensional Interpolation," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 635-647, October.
  19. Jobst, Andreas A., 2002. "The Pricing puzzle: The default term structure of collateralised loan obligations," CFS Working Paper Series 2002/14, Center for Financial Studies (CFS).
  20. Saphores, Jean-Daniel & Gravel, Éric & Bernard, Jean-Thomas, 2003. "Environmental Impact Assessment and Investment under Uncertainty. An Application to Power Grid Interconnection," Cahiers de recherche 0303, Université Laval - Département d'économique.
  21. Wujiang Lou, 2015. "Extending the Black-Scholes Option Pricing Theory to Account for an Option Market Maker's Funding Costs," Papers 1510.04370, arXiv.org.
  22. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 229-242.
  23. Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra, 2014. "Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps," Papers 1407.2514, arXiv.org.
  24. V. Bosetti & J.M. Conrad & E. Messinat, 2004. "The Value of Flexibility: Preservation, Remediation, or Development for Ginostra?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 29(2), pages 219-229, October.
  25. H. Ünsal Özer & Ahmet Duran, 2018. "The source of error behavior for the solution of Black–Scholes PDE by finite difference and finite element methods," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-22, September.
  26. Allan W. Gray & Michael D. Boehlje & Brent A. Gloy & Stephen P. Slinsky, 2004. "How U.S. Farm Programs and Crop Revenue Insurance Affect Returns to Farm Land," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 26(2), pages 238-253.
  27. R. H. Berry & S. X. Zuo, 2010. "Numerical solution of the sequential investment model: a note on Dixit and Pindyck's (1994) analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 743-752.
  28. Khaliq, A.Q.M. & Voss, D.A. & Kazmi, S.H.K., 2006. "A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 489-502, February.
  29. Ballestra, Luca Vincenzo & Cecere, Liliana, 2015. "Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley," Finance Research Letters, Elsevier, vol. 14(C), pages 45-55.
  30. Virginia R. Young, 2004. "Pricing In An Incomplete Market With An Affine Term Structure," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 359-381, July.
  31. Alejandro Islas Camargo & Francisco Venegas Martínez, 2003. "Pricing Derivatives Securities with Prior Information on Long- Memory Volatility," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(1), pages 103-134, January-J.
  32. Tim Leung & Jiao Li & Xin Li, 2018. "Optimal Timing to Trade along a Randomized Brownian Bridge," IJFS, MDPI, vol. 6(3), pages 1-23, August.
  33. Zhang, Xiang & Li, Lingfei & Zhang, Gongqiu, 2021. "Pricing American drawdown options under Markov models," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1188-1205.
  34. Andreas Jobst, 2002. "Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation," FMG Discussion Papers dp422, Financial Markets Group.
  35. Alexander Buryak & Ivan Guo, 2014. "New analytic approach to address Put - Call parity violation due to discrete dividends," Papers 1407.7328, arXiv.org.
  36. Ming Xi Huang, 2010. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2010.
  37. Ingber, Lester, 2000. "High-resolution path-integral development of financial options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
  38. L. Ingber, 1998. "Some Applications of Statistical Mechanics of Financial Markets," Lester Ingber Papers 98sa, Lester Ingber.
  39. Erhan Bayraktar & Virginia R. Young, 2007. "Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin," Papers math/0703862, arXiv.org, revised Oct 2007.
  40. Conrad, Jon M., 1997. "On the option value of old-growth forest," Ecological Economics, Elsevier, vol. 22(2), pages 97-102, August.
  41. L. Ingber & J.K. Wilson, 2000. "Statistical mechanics of financial markets: Exponential modifications to Black-Scholes," Lester Ingber Papers 00fm, Lester Ingber.
  42. Tim Leung & Yang Zhou, 2020. "A Top-Down Approach For The Multiple Exercises And Valuation Of Employee Stock Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-29, March.
  43. San-Lin Chung & Mark Shackleton, 2005. "On the use and improvement of Hull and White's control variate technique," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1171-1179.
  44. Naoyuki Ishimura, 2010. "Remarks on the Nonlinear Black-Scholes Equations with the Effect of Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 241-259, September.
  45. Guilherme B. Martins & Marcos Eugênio da Silva, 2005. "A Real Option Model with Uncertain, Sequential Investment and with Time to Build," Brazilian Review of Finance, Brazilian Society of Finance, vol. 3(2), pages 141-172.
  46. Jiao Li, 2016. "Trading VIX futures under mean reversion with regime switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-20, September.
  47. Sivaporn Ampun & Panumart Sawangtong, 2021. "The Approximate Analytic Solution of the Time-Fractional Black-Scholes Equation with a European Option Based on the Katugampola Fractional Derivative," Mathematics, MDPI, vol. 9(3), pages 1-15, January.
  48. Company, Rafael & Egorova, Vera N. & Jódar, Lucas, 2021. "A front-fixing ETD numerical method for solving jump–diffusion American option pricing problems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 189(C), pages 69-84.
  49. Song-Ping Zhu & Jing Zhang, 2012. "How should a convertible bond be decomposed?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 113-149, November.
  50. de Almeida, V.T.X. & Moriconi, L., 2012. "Option pricing from wavelet-filtered financial series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4850-4854.
  51. Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
  52. Jos'e Igor Morlanes, 2017. "Mixed Models as an Alternative to Farima," Papers 1712.03044, arXiv.org.
  53. Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
  54. Park, Hojeong & Lim, Jaekyu, 2009. "Valuation of marginal CO2 abatement options for electric power plants in Korea," Energy Policy, Elsevier, vol. 37(5), pages 1834-1841, May.
  55. Ulm, Eric R., 2014. "Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 14-23.
  56. Philippe Jacquinot & Nikolay Sukhomlin, 2010. "A direct formulation of implied volatility in the Black- Scholes model," Post-Print hal-02527822, HAL.
  57. Tarn Driffield & Peter C. Smith, 2007. "A Real Options Approach to Watchful Waiting: Theory and an Illustration," Medical Decision Making, , vol. 27(2), pages 178-188, March.
  58. Deswal, Komal & Kumar, Devendra, 2022. "Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters," Applied Mathematics and Computation, Elsevier, vol. 427(C).
  59. Sircar, Ronnie & Xiong, Wei, 2007. "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2317-2349, July.
  60. Jonathan Evans & Vicky Henderson & David Hobson, 2008. "Optimal Timing For An Indivisible Asset Sale," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 545-567, October.
  61. Marco Realdon, 2006. "Valuation of the Firm's Liabilities when Equity Holders are also Creditors," Discussion Papers 06/16, Department of Economics, University of York.
  62. Carl Chiarella & Chi-Fai Lo & Ming Xi Huang, 2012. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," Research Paper Series 304, Quantitative Finance Research Centre, University of Technology, Sydney.
  63. Song-Ping Zhu, 2006. "A New Analytical Approximation Formula For The Optimal Exercise Boundary Of American Put Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(07), pages 1141-1177.
  64. Xiaolin Luo & Pavel V. Shevchenko, 2014. "Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 1-31.
  65. Eddie Chi-Man Hui & Hankel Hon-Kwok Fung, 2009. "Real estate development as real options," Construction Management and Economics, Taylor & Francis Journals, vol. 27(3), pages 221-227.
  66. Reza Doostaki & Mohammad Mehdi Hosseini, 2022. "Option Pricing by the Legendre Wavelets Method," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 749-773, February.
  67. Ömür Ugur, 2008. "An Introduction to Computational Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p556, February.
  68. Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016. "Speculative Futures Trading under Mean Reversion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 281-304, December.
  69. Michael Ludkovski & Qunying Shen, 2013. "European Option Pricing With Liquidity Shocks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1-30.
  70. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
  71. George Chang, 2018. "Examining the Efficiency of American Put Option Pricing by Monte Carlo Methods with Variance Reduction," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 10-13, February.
  72. Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
  73. Yepes Rodri­guez, Ramón, 2008. "Real option valuation of free destination in long-term liquefied natural gas supplies," Energy Economics, Elsevier, vol. 30(4), pages 1909-1932, July.
  74. Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
  75. Ben Boukai, 2020. "How Much Is Your Strangle Worth? On the Relative Value of the Strangle under the Black-Scholes Pricing Model," Applied Economics and Finance, Redfame publishing, vol. 7(4), pages 138-146, July.
  76. Chargoy-Corona, Jesús & Ibarra-Valdez, Carlos, 2006. "A note on Black–Scholes implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 681-688.
  77. Otto Konstandatos & Timothy J Kyng, 2012. "Real Options Analysis for Commodity Based Mining Enterprises with Compound and Barrier Features," Published Paper Series 2012-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  78. Gormin A. A. & Kashtanov Y. N., 2008. "The weighted variance minimization for options pricing," Monte Carlo Methods and Applications, De Gruyter, vol. 13(5-6), pages 333-351, January.
  79. Naman Shukla & Kartik Yellepeddi, 2021. "Negotiating Networks in Oligopoly Markets for Price-Sensitive Products," Papers 2110.13303, arXiv.org.
  80. Sergii Kuchuk-Iatsenko & Yuliya Mishura, 2016. "Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation," Papers 1601.01128, arXiv.org.
  81. Naoyuki Ishimura & Toshi-hiko Sakaguchi, 2004. "Exact Solutions of a Model for Asset Prices by K. Takaoka," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 445-451, December.
  82. Hans-Peter Bermin & Peter Buchen & Otto Konstandatos, 2008. "Two Exotic Lookback Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 387-402.
  83. Conrad, Jon M. & Kotani, Koji, 2005. "When to drill? Trigger prices for the Arctic National Wildlife Refuge," Resource and Energy Economics, Elsevier, vol. 27(4), pages 273-286, November.
  84. Michael A. Kouritzin, 2018. "Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-45, February.
  85. Marco Realdon, 2007. "Valuation of the Firm's Liabilities When Equity Holders Are Also Creditors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 950-975, June.
  86. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society.
  87. Abhishek Kumar & Ashwin Waikos & Siddhartha P. Chakrabarty, 2011. "Pricing of average strike Asian call option using numerical PDE methods," Papers 1106.1999, arXiv.org.
  88. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, January.
  89. Dangerfield, C.E. & Whalley, A.E. & Hanley, N. & Healey, J.R. & Gilligan, C.A., 2018. "The effects of variation in management objectives on responses to invading diseases under uncertainty: Forest Pathogens," 92nd Annual Conference, April 16-18, 2018, Warwick University, Coventry, UK 273501, Agricultural Economics Society.
  90. Peter Buchen & Otto Konstandatos, 2009. "A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(6), pages 497-515.
  91. Endah R. M. Putri & Lutfi Mardianto & Amirul Hakam & Chairul Imron & Hadi Susanto, 2021. "Removing non-smoothness in solving Black-Scholes equation using a perturbation method," Papers 2104.07839, arXiv.org, revised Apr 2021.
  92. C. E. Dangerfield & A. E. Whalley & N. Hanley & C. A. Gilligan, 2018. "What a Difference a Stochastic Process Makes: Epidemiological-Based Real Options Models of Optimal Treatment of Disease," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 70(3), pages 691-711, July.
  93. Tomas Bokes, 2010. "A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives," Papers 1012.0348, arXiv.org, revised Mar 2011.
  94. Philippe Jacquinot & Nikolay Sukhomlin, 2010. "A direct formulation of implied volatility in the Black-Scholes model," Post-Print hal-02533014, HAL.
  95. Gong, Pu & He, Zhiwei & Zhu, Song-Ping, 2006. "Pricing convertible bonds based on a multi-stage compound-option model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 449-462.
  96. Luke Miller & Mark Bertus, 2013. "An Exposition On The Mathematics And Economics Of Option Pricing," Business Education and Accreditation, The Institute for Business and Finance Research, vol. 5(1), pages 1-16.
  97. Mario Gutiérrez Lagunes, 2010. "La sectorización económica y su vinculación con la probabilidad de incumplimiento," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 93-110.
  98. Tang, Lei-Han & Tian, Guang-Shan, 1999. "Reaction–diffusion–branching models of stock price fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 543-550.
  99. Kenji Hamatani & Masao Fukushima, 2011. "Pricing American options with uncertain volatility through stochastic linear complementarity models," Computational Optimization and Applications, Springer, vol. 50(2), pages 263-286, October.
  100. Schachter, J.A. & Mancarella, P., 2016. "A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 56(C), pages 261-271.
  101. Erhan Bayraktar, 2007. "A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions," Papers math/0703782, arXiv.org, revised Dec 2008.
  102. Gao, Pei-wang, 2009. "Options strategies with the risk adjustment," European Journal of Operational Research, Elsevier, vol. 192(3), pages 975-980, February.
  103. Jamal Amani Rad & Kourosh Parand & Saeid Abbasbandy, 2014. "Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options," Papers 1412.6063, arXiv.org.
  104. Samuli Ikonen & Jari Toivanen, 2007. "Componentwise Splitting Methods For Pricing American Options Under Stochastic Volatility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 331-361.
  105. Moriconi, L., 2007. "Delta hedged option valuation with underlying non-Gaussian returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 343-350.
  106. Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 505-525, December.
  107. Kristoffer Glover & Peter W Duck & David P Newton, 2010. "On nonlinear models of markets with finite liquidity: Some cautionary notes," Published Paper Series 2010-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  108. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
  109. A. Golbabai & E. Mohebianfar, 2017. "A New Stable Local Radial Basis Function Approach for Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 271-288, February.
  110. Nishide, Katsumasa & Nomi, Ernesto Kazuhiro, 2009. "Regime uncertainty and optimal investment timing," Journal of Economic Dynamics and Control, Elsevier, vol. 33(10), pages 1796-1807, October.
  111. Jiao Li, 2016. "Trading VIX Futures under Mean Reversion with Regime Switching," Papers 1605.07945, arXiv.org, revised Jun 2016.
  112. Daniel Sevcovic & Magdalena Zitnanska, 2016. "Analysis of the nonlinear option pricing model under variable transaction costs," Papers 1603.03874, arXiv.org.
  113. L. Ingber & J.K. Wilson, 1999. "Volatility of volatility of financial markets," Lester Ingber Papers 99vv, Lester Ingber.
  114. Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.
  115. Song-Ping Zhu, 2011. "On Various Quantitative Approaches For Pricing American Options," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 313-332.
  116. Xiaolin Luo & Pavel V. Shevchenko, 2014. "Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation," Papers 1408.6938, arXiv.org, revised Dec 2014.
  117. Lautier, Delphine, 2000. "La structure par terme des prix des commodités : analyse théorique et applications au marché pétrolier," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/126 edited by Giraud, Pierre-Noël.
  118. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, University Library of Munich, Germany.
  119. Bjarke Jensen & Peter Løchte Jørgensen & Anders Grosen, 2001. "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 26(1), pages 57-84, June.
  120. Yongma Moon, 2014. "Optimal Time to Invest Energy Storage System under Uncertainty Conditions," Energies, MDPI, vol. 7(4), pages 1-19, April.
  121. Gray, Allan W. & Boehlje, Michael & Gloy, Brent A. & Slinsky, Stephen P., 2002. "Government Program Payment Mechanisms, Crop Revenue Coverage Insurance, and the Return to Farm Land," 2002 Regional Committee NC-221, October 7-8, 2002, Denver, Colorado 132370, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  122. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  123. Alex Garivaltis, 2022. "Rational pricing of leveraged ETF expense ratios," Annals of Finance, Springer, vol. 18(3), pages 393-418, September.
  124. Rad, Jamal Amani & Parand, Kourosh & Ballestra, Luca Vincenzo, 2015. "Pricing European and American options by radial basis point interpolation," Applied Mathematics and Computation, Elsevier, vol. 251(C), pages 363-377.
  125. Moon, Yongma & Baran, Mesut, 2018. "Economic analysis of a residential PV system from the timing perspective: A real option model," Renewable Energy, Elsevier, vol. 125(C), pages 783-795.
  126. Meihui Zhang & Xiangcheng Zheng, 2023. "Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1155-1175, October.
  127. Ben Boukai, 2020. "How much is your Strangle worth? On the relative value of the $\delta-$Symmetric Strangle under the Black-Scholes model," Papers 2003.03876, arXiv.org, revised May 2020.
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