New analytical option pricing models with Weyl–Titchmarsh theory

DOI10.1080/14697688.2010.503659zbMath1279.91168OpenAlexW2002402620MaRDI QIDQ2873531

Jin E. Zhang, Yi-Shen Li

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.503659

zbMATH Keywords

option pricingEuropean optionsvolatility functions that give closed-form solutions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Multi-asset Black-Scholes model as a variable second class constrained dynamical system

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On valuation of derivative securities: A Lie group analytical approach.
• Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE
• Applications of Eigenfunction Expansions in Continuous-Time Finance
• The implied volatility smirk
• Analysis, Geometry, and Modeling in Finance
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• The pricing of derivatives on assets with quadratic volatility
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

This page was built for publication: New analytical option pricing models with Weyl–Titchmarsh theory