scientific article

Publication date: 22 January 2002

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

American options Asian options European options foreign exchange rate Black-Scholes paradigm discrete and continuous stochastic engines dynamic stochastic process

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial science and mathematical finance (91Gxx)

Related Items (75)

Barrier option under Lévy model: a PIDE and Mellin transform approach ⋮ A multivariate stochastic volatility model with applications in the foreign exchange market ⋮ Structural default model with mutual obligations ⋮ Pricing foreign exchange options under intervention by absorption modeling ⋮ Exchangeability-type properties of asset prices ⋮ A comparative study on time-efficient methods to price compound options in the Heston model ⋮ Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model ⋮ An explicitly solvable Heston model with stochastic interest rate ⋮ From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Asymptotic Expansion Approach in Finance ⋮ Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ A Stieltjes Approach to Static Hedges ⋮ ADI finite difference schemes for option pricing in the Heston model with correlation ⋮ Static replication of European standard dispersion options ⋮ Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit ⋮ Multilayer heat equations: application to finance ⋮ Barrier option pricing under the 2-hypergeometric stochastic volatility model ⋮ Pricing double volatility barriers option under stochastic volatility ⋮ Corporate bond pricing model with stochastically volatile firm value process ⋮ Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance ⋮ Accounting for risk of non linear portfolios. A novel Fourier approach ⋮ Asymptotic option pricing under the CEV diffusion ⋮ Static Replication of European Multi-Asset Options with Homogeneous Payoff ⋮ XVA in a multi-currency setting with stochastic foreign exchange rates ⋮ Stability of central finite difference schemes for the Heston PDE ⋮ Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics ⋮ Theory of Cryptocurrency Interest Rates ⋮ Local time and the pricing of path-dependent options ⋮ COHERENT FOREIGN EXCHANGE MARKET MODELS ⋮ Resolution of policy uncertainty and sudden declines in volatility ⋮ Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps ⋮ Two asset-barrier option under stochastic volatility ⋮ A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate ⋮ A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion ⋮ A note on first-passage times of continuously time-changed Brownian motion ⋮ Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ Efficiently pricing double barrier derivatives in stochastic volatility models ⋮ A generalized Fourier transform approach to risk measures ⋮ An approximation of small-time probability density functions in a general jump diffusion model ⋮ OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS ⋮ The COS method for option valuation under the SABR dynamics ⋮ Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU ⋮ Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management ⋮ Pricing European and American options under Heston model using discontinuous Galerkin finite elements ⋮ FFT based option pricing under a mean reverting process with stochastic volatility and jumps ⋮ Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling ⋮ Empirical performance of models for barrier option valuation ⋮ On the pricing and hedging of volatility derivatives ⋮ THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES ⋮ Lewis model revisited: option pricing with Lévy processes ⋮ A comparison of biased simulation schemes for stochastic volatility models ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies ⋮ Option pricing, maturity randomization and distributed computing ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS ⋮ Lévy-Ito models in finance ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS ⋮ GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS ⋮ A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications ⋮ The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques ⋮ MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS ⋮ Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates ⋮ On the first hitting time density for a reducible diffusion process ⋮ A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES ⋮ Particle methods for PDEs arising in financial modeling ⋮ Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary ⋮ Laplace transform approach to option pricing for time-changed Brownian models ⋮ An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs ⋮ Credit default swaps with and without counterparty and collateral adjustments ⋮ Boundary conditions for computing densities in hybrid models via PDE methods ⋮ Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes ⋮ A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme

This page was built for publication: