Fiorin, Lucio; Schoutens, Wim Conic quantization: stochastic volatility and market implied liquidity. (English) Zbl 1467.91183 Quant. Finance 20, No. 4, 531-542 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 PDF BibTeX XML Cite \textit{L. Fiorin} and \textit{W. Schoutens}, Quant. Finance 20, No. 4, 531--542 (2020; Zbl 1467.91183) Full Text: DOI Link OpenURL
Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T. Option pricing in markets with informed traders. (English) Zbl 1457.91378 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Hu} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050037, 32 p. (2020; Zbl 1457.91378) Full Text: DOI arXiv OpenURL
Fraszka-Sobczyk, Emilia On some generalization of the Cox-Ross-Rubinstein model and its asymptotics of Black-Scholes type. (English) Zbl 1366.91154 Bull. Soc. Sci. Lett. Łódź, Sér. Rech. Déform. 64, No. 1, 25-34 (2014). MSC: 91G20 60H15 PDF BibTeX XML Cite \textit{E. Fraszka-Sobczyk}, Bull. Soc. Sci. Lett. Łódź, Sér. Rech. Déform. 64, No. 1, 25--34 (2014; Zbl 1366.91154) OpenURL
Tang, Yunfan Polynomial approximation to option prices under regime switching. (English) Zbl 1412.91223 N. Am. Actuar. J. 17, No. 2, 168-179 (2013). MSC: 91G20 60J28 32E30 PDF BibTeX XML Cite \textit{Y. Tang}, N. Am. Actuar. J. 17, No. 2, 168--179 (2013; Zbl 1412.91223) Full Text: DOI OpenURL
Benothman, Lamia; Trabelsi, Faouzi Asymptotic analysis of European and American options with jumps in the underlying. (English) Zbl 1390.91293 Int. J. Math. Oper. Res. 4, No. 5, 548-585 (2012). MSC: 91G20 60J75 60H30 91G60 PDF BibTeX XML Cite \textit{L. Benothman} and \textit{F. Trabelsi}, Int. J. Math. Oper. Res. 4, No. 5, 548--585 (2012; Zbl 1390.91293) Full Text: DOI OpenURL
Issaranusorn, N.; Rujivan, S.; Mekchay, K. Stochastic model for gold prices and its application for no-arbitrage pricing. (English) Zbl 1413.91100 J. Nonlinear Anal. Optim. 2, No. 1, 11-17 (2011). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{N. Issaranusorn} et al., J. Nonlinear Anal. Optim. 2, No. 1, 11--17 (2011; Zbl 1413.91100) Full Text: Link OpenURL
Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory. (English) Zbl 1186.91197 Optim. Lett. 2, No. 2, 177-222 (2008). MSC: 91G10 60H10 91G80 60H30 62M09 PDF BibTeX XML Cite \textit{F. Mariani} et al., Optim. Lett. 2, No. 2, 177--222 (2008; Zbl 1186.91197) Full Text: DOI OpenURL
Matache, Ana-Maria; von Petersdorff, Tobias; Schwab, Christoph Fast deterministic pricing of options on Lévy driven assets. (English) Zbl 1072.60052 M2AN, Math. Model. Numer. Anal. 38, No. 1, 37-71 (2004). MSC: 60H30 60G51 60H15 60J75 65M60 65T60 91G20 PDF BibTeX XML Cite \textit{A.-M. Matache} et al., M2AN, Math. Model. Numer. Anal. 38, No. 1, 37--71 (2004; Zbl 1072.60052) Full Text: DOI Numdam EuDML OpenURL
Shreve, Steven E. Stochastic calculus for finance. I: The binomial asset pricing model. (English) Zbl 1068.91040 Springer Finance. New York, NY: Springer (ISBN 0-387-40100-8/hbk; 0-387-24968-0/pbk). xv, 187 p. (2004). Reviewer: Neculai Curteanu (Iaşi) MSC: 91-02 91Gxx 60H30 91G20 91G60 PDF BibTeX XML Cite \textit{S. E. Shreve}, Stochastic calculus for finance. I: The binomial asset pricing model. New York, NY: Springer (2004; Zbl 1068.91040) OpenURL
Carr, P.; Madan, D. Optimal positioning in derivative securities. (English) Zbl 1405.91599 Quant. Finance 1, No. 1, 19-37 (2001). MSC: 91G20 PDF BibTeX XML Cite \textit{P. Carr} and \textit{D. Madan}, Quant. Finance 1, No. 1, 19--37 (2001; Zbl 1405.91599) Full Text: DOI OpenURL
Akcoglu, Karhan; Kao, Ming-Yang; Raghavan, Shuba V. Fast pricing of European Asian options with provable accuracy: single-stock and basket options. (English) Zbl 1037.91041 Meyer auf der Heide, Friedhelm (ed.), Algorithms - ESA 2001. 9th annual European symposium, Århus, Denmark, August 28–31, 2001. Proceedings. Berlin: Springer (ISBN 3-540-42493-8). Lect. Notes Comput. Sci. 2161, 404-415 (2001). MSC: 91G20 91B24 PDF BibTeX XML Cite \textit{K. Akcoglu} et al., Lect. Notes Comput. Sci. 2161, 404--415 (2001; Zbl 1037.91041) Full Text: Link OpenURL
Amaro de Matos, João MSM estimators of European options on assets with jumps. (English) Zbl 0996.91065 Math. Finance 11, No. 2, 189-203 (2001). Reviewer: Klaus Schürger (Bonn) MSC: 91G60 65C05 PDF BibTeX XML Cite \textit{J. Amaro de Matos}, Math. Finance 11, No. 2, 189--203 (2001; Zbl 0996.91065) Full Text: DOI OpenURL
Kascheev, D. E. On the option pricing for a generalization of the binomial model. (English) Zbl 1016.91037 J. Math. Sci., New York 99, No. 3, 1267-1272 (2000). MSC: 91G20 PDF BibTeX XML Cite \textit{D. E. Kascheev}, J. Math. Sci., New York 99, No. 3, 1267--1272 (2000; Zbl 1016.91037) Full Text: DOI OpenURL
Nunes, João Pedro Vidal; Clewlow, Les; Hodges, Stewart Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach. (English) Zbl 1274.91434 Rev. Deriv. Res. 3, No. 1, 5-66 (1999). MSC: 91G20 PDF BibTeX XML Cite \textit{J. P. V. Nunes} et al., Rev. Deriv. Res. 3, No. 1, 5--66 (1999; Zbl 1274.91434) Full Text: DOI OpenURL
Hobson, David G.; Rogers, L. C. G. Complete models with stochastic volatility. (English) Zbl 0908.90012 Math. Finance 8, No. 1, 27-48 (1998). MSC: 91G20 91B70 PDF BibTeX XML Cite \textit{D. G. Hobson} and \textit{L. C. G. Rogers}, Math. Finance 8, No. 1, 27--48 (1998; Zbl 0908.90012) Full Text: DOI OpenURL
Rady, Sven Option pricing in the presence of natural boundaries and a quadratic diffusion term. (English) Zbl 0888.90021 Finance Stoch. 1, No. 4, 331-344 (1997). MSC: 91G20 60G35 PDF BibTeX XML Cite \textit{S. Rady}, Finance Stoch. 1, No. 4, 331--344 (1997; Zbl 0888.90021) Full Text: DOI OpenURL
Broadie, M.; Detemple, J. Recent advances in numerical methods for pricing derivative securities. (English) Zbl 0898.90029 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 43-66 (1997). MSC: 91-02 91G60 91G20 PDF BibTeX XML Cite \textit{M. Broadie} and \textit{J. Detemple}, in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 43--66 (1997; Zbl 0898.90029) OpenURL
Karatzas, I.; Kou, S. G. On the pricing of contingent claims under constraints. (English) Zbl 0856.90012 Ann. Appl. Probab. 6, No. 2, 321-369 (1996). MSC: 91G20 60H30 93E20 60G44 91B16 91B62 49N15 91B24 PDF BibTeX XML Cite \textit{I. Karatzas} and \textit{S. G. Kou}, Ann. Appl. Probab. 6, No. 2, 321--369 (1996; Zbl 0856.90012) Full Text: DOI OpenURL
Bouchaud, J. P.; Sornette, D. The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes. (English) Zbl 0944.91510 J. Phys. I 4, No. 6, 863-881 (1994). MSC: 91G20 PDF BibTeX XML Cite \textit{J. P. Bouchaud} and \textit{D. Sornette}, J. Phys. I 4, No. 6, 863--881 (1994; Zbl 0944.91510) Full Text: DOI Link OpenURL