Option pricing with Weyl–Titchmarsh theory

DOI10.1080/14697680400008643zbMath1405.91635OpenAlexW2068258940MaRDI QIDQ4610252

Jin E. Zhang, Yi-Shen Li

Publication date: 15 January 2019

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

Full work available at URL: https://doi.org/10.1080/14697680400008643

zbMATH Keywords

option pricingStieltjes integralWeyl-Titchmarsh theory

Mathematics Subject Classification ID

Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Derivative securities (option pricing, hedging, etc.) (91G20)

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Analytical solutions to the backward Kolmogorov PDE via an adiabatic approximation to the Schrödinger PDE

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• On the Transformation of Diffusion Processes into the Wiener Process
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The pricing of derivatives on assets with quadratic volatility
• A new well-posed algorithm to recover implied local volatility
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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