A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL

DOI10.1142/S0219024906003469zbMath1131.91025OpenAlexW2028736304MaRDI QIDQ3379411

Victoria Steblovskaya, Alex Stefan Popovici, Sergio A. Albeverio

Publication date: 6 April 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003469

zbMATH Keywords

multidimensional Black-Scholes modelpricing of contingent claimsstochastic volatilities and correlations

Mathematics Subject Classification ID

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

Related Items (3)

Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms ⋮ Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets ⋮ Asymptotic expansions for SDE's with small multiplicative noise

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• A model of financial market with several interacting assets. Complete market case
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL