Difference Equation Theory Meets Mathematical Finance

DOI10.1007/978-3-030-44559-1_11OpenAlexW3090433137MaRDI QIDQ3387111

Arpad Pinter, Stefan Gerhold

Publication date: 12 January 2021

Published in: Algorithmic Combinatorics: Enumerative Combinatorics, Special Functions and Computer Algebra (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-44559-1_11

Mathematics Subject Classification ID

Symbolic computation and algebraic computation (68W30)

Uses Software

• DLMF

Cites Work

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• On some non-holonomic sequences
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• Termination conditions for positivity proving procedures
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• Counting Finite Languages by Total Word Length
• Singularity Analysis of Generating Functions
• Extrapolation Analytics for Dupire’s Local Volatility
• Advanced applications of the holonomic systems approach
• A procedure for proving special function inequalities involving a discrete parameter
• An efficient procedure deciding positivity for a class of holonomic functions
• On refined volatility smile expansion in the Heston model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Positivity Problems for Low-Order Linear Recurrence Sequences
• Point lattices and oscillating recurrence sequences^†
• The characteristic function of rough Heston models

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