scientific article; zbMATH DE number 7688252

DOI10.4134/bkms.b220134zbMath1530.91569MaRDI QIDQ6043631

No author found.

Publication date: 23 May 2023

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

zbMATH Keywords

stochastic volatilityMonte Carlo simulationAmerican lookback optionsLaplace-Carson transform

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Financial markets (91G15)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
• Valuing American options under the CEV model by Laplace-Carson transforms
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Financial modeling in a fast mean-reverting stochastic volatility environment
• Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
• Laplace transform method for pricing American CEV strangles option with two free boundaries
• An analytic pricing formula for lookback options under stochastic volatility
• Analytic solution for American strangle options using Laplace-Carson transforms
• Pricing of fixed-strike lookback options on assets with default risk
• Valuing finite-lived Russian options
• A Unified Framework for Numerically Inverting Laplace Transforms
• American Fractional Lookback Options: Valuation and Premium Decomposition
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• MEAN-REVERTING STOCHASTIC VOLATILITY
• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
• THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Singular Perturbations in Option Pricing
• QUANTO LOOKBACK OPTIONS
• American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics
• A REFINED LAPLACE-CARSON TRANSFORM APPROACH TO VALUING CONVERTIBLE BONDS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Randomization and the American Put
• Option pricing under hybrid stochastic and local volatility
• On the Convergence of the Gaver--Stehfest Algorithm
• CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
• American Options with Lookback Payoff

This page was built for publication: