Fallah, Somayeh; Mehrdoust, Farshid CEV model equipped with the long-memory. (English) Zbl 07309617 J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{S. Fallah} and \textit{F. Mehrdoust}, J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021; Zbl 07309617) Full Text: DOI
Lee, Jung-Kyung An efficient numerical method for pricing American put options under the CEV model. (English) Zbl 07309591 J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021). MSC: 91G60 65N06 91G20 60G40 PDF BibTeX XML Cite \textit{J.-K. Lee}, J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021; Zbl 07309591) Full Text: DOI
Safdari, Mohammad Global optimal regularity for variational problems with nonsmooth non-strictly convex gradient constraints. (English) Zbl 07308684 J. Differ. Equations 279, 76-135 (2021). MSC: 35R35 35J87 35B65 49N60 35K55 91G20 93E20 PDF BibTeX XML Cite \textit{M. Safdari}, J. Differ. Equations 279, 76--135 (2021; Zbl 07308684) Full Text: DOI
Araneda, Axel A.; Villena, Marcelo J. Computing the CEV option pricing formula using the semiclassical approximation of path integral. (English) Zbl 07305202 J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021). MSC: 91G60 65R20 91G20 91G80 PDF BibTeX XML Cite \textit{A. A. Araneda} and \textit{M. J. Villena}, J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021; Zbl 07305202) Full Text: DOI
Cao, Jiling; Kim, Jeong-Hoon; Zhang, Wenjun Pricing variance swaps under hybrid CEV and stochastic volatility. (English) Zbl 07305143 J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021). MSC: 91G20 91G60 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Comput. Appl. Math. 386, Article ID 113220, 15 p. (2021; Zbl 07305143) Full Text: DOI
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro A lattice approach to evaluate participating policies in a stochastic interest rate framework. (English) Zbl 07305131 J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{M. Costabile} et al., J. Comput. Appl. Math. 385, Article ID 113212, 18 p. (2021; Zbl 07305131) Full Text: DOI
Orlando, Giuseppe; Taglialatela, Giovanni On the approximation of the Black and Scholes call function. (English) Zbl 07305055 J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021). MSC: 65-02 91G20 91G60 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{G. Taglialatela}, J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021; Zbl 07305055) Full Text: DOI
Chambers, Donald R.; Lu, Qin Introduction to financial mathematics. With computer applications (to appear). (English) Zbl 07304717 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-0-367-41039-1/hbk). 582 p. (2021). MSC: 91-01 91G20 91G30 92-08 PDF BibTeX XML Cite \textit{D. R. Chambers} and \textit{Q. Lu}, Introduction to financial mathematics. With computer applications (to appear). Boca Raton, FL: CRC Press (2021; Zbl 07304717)
Alos, Elisa; Garcia Lorite, David Malliavin calculus in finance. Theory and practice (to appear). (English) Zbl 07302702 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-0-367-89344-6/hbk). 344 p. (2021). MSC: 91-02 91G20 60H07 60G22 PDF BibTeX XML Cite \textit{E. Alos} and \textit{D. Garcia Lorite}, Malliavin calculus in finance. Theory and practice (to appear). Boca Raton, FL: CRC Press (2021; Zbl 07302702)
Campolieti, Giuseppe; Makarov, Roman N. Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. (English) Zbl 07286287 Textbooks in Mathematics. Boca Raton, FL: CRC Press (ISBN 978-1-138-58787-8/hbk). 592 p. (2021). MSC: 91-01 91G20 91G10 91G60 60H30 PDF BibTeX XML Cite \textit{G. Campolieti} and \textit{R. N. Makarov}, Financial mathematics. A comprehensive treatment in discrete time (to appear). 2nd edition. Boca Raton, FL: CRC Press (2021; Zbl 07286287)
Gallagher, Liam A.; Hutchinson, Mark C.; O’Brien, John Using smooth transition regressions to model risk regimes. (English) Zbl 07283337 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 4281-4311 (2021). MSC: 91G15 91G20 62P05 PDF BibTeX XML Cite \textit{L. A. Gallagher} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4281--4311 (2021; Zbl 07283337) Full Text: DOI
Chen, Yu-Ting; Lee, Cheng Few; Sheu, Yuan-Chung An integral equation approach for bond prices with applications to credit spreads. (English) Zbl 07283322 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3849-3866 (2021). MSC: 91G20 91G40 60J74 60H20 PDF BibTeX XML Cite \textit{Y.-T. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3849--3866 (2021; Zbl 07283322) Full Text: DOI
Hsu, Y. L.; Lin, T. L.; Lee, Cheng Few Constant elasticity of variance option pricing model: integration and detailed derivation. (English) Zbl 07283321 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3829-3847 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{Y. L. Hsu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3829--3847 (2021; Zbl 07283321) Full Text: DOI
Ferson, Wayne; Chen, Yong How many good and bad funds are there, really? (English) Zbl 1452.91307 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753-3827 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{W. Ferson} and \textit{Y. Chen}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3753--3827 (2021; Zbl 1452.91307) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Implied variance estimates for Black-Scholes and CEV OPM: review and comparison. (English) Zbl 07283318 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3703-3736 (2021). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3703--3736 (2021; Zbl 07283318) Full Text: DOI
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng Few Option price and stock market momentum in China. (English) Zbl 07283315 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3619-3647 (2021). MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Li} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619--3647 (2021; Zbl 07283315) Full Text: DOI
Lee, Cheng Few; Chen, Yibing; Lee, John Alternative methods to derive option pricing models: review and comparison. (English) Zbl 1451.91200 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573-3617 (2021). MSC: 91G20 91G80 60H10 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3573--3617 (2021; Zbl 1451.91200) Full Text: DOI
Lee, Cheng Few; Tsai, Chiung-Min; Lee, Alice C. A dynamic CAPM with supply effect: theory and empirical results. (English) Zbl 07283312 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3517-3544 (2021). MSC: 91G30 91G20 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3517--3544 (2021; Zbl 07283312) Full Text: DOI
Yu, Hai-Chin; Lee, Chia-Ju; Hsieh, Der-Tzon Does quantile co-integration exist between gold spot and futures prices? (English) Zbl 07283304 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3219-3239 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{H.-C. Yu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3219--3239 (2021; Zbl 07283304) Full Text: DOI
Smith, Zachary A.; Janabi, Mazin A. M. Al; Mumtaz, Muhammad Z. Opacity, stale pricing, extreme bounds analysis, and hedge fund performance: making sense of reported hedge fund returns. (English) Zbl 07283303 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3193-3217 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{Z. A. Smith} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3193--3217 (2021; Zbl 07283303) Full Text: DOI
Lee, Cheng Few Alternative security valuation model: theory and empirical results. (English) Zbl 07283302 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3143-3192 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3143--3192 (2021; Zbl 07283302) Full Text: DOI
Lee, Cheng Few Synthetic options, portfolio insurance, and contingent immunization. (English) Zbl 07283301 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3099-3141 (2021). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3099--3141 (2021; Zbl 07283301) Full Text: DOI
Lee, Cheng Few Bond portfolio management, swap strategy, duration, and convexity. (English) Zbl 07283300 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3059-3098 (2021). MSC: 91G10 91G20 91G30 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3059--3098 (2021; Zbl 07283300) Full Text: DOI
Lee, Cheng Few; Xiao, Yuanyuan A comparative static analysis approach to derive Greek letters: theory and applications. (English) Zbl 07283298 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2965-2999 (2021). MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{Y. Xiao}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2965--2999 (2021; Zbl 07283298) Full Text: DOI
Lee, Cheng Few Statistical distributions, European option, American option, and option bounds. (English) Zbl 07283297 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2929-2964 (2021). MSC: 91G20 60G40 62P05 62H10 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2929--2964 (2021; Zbl 07283297) Full Text: DOI
Chang, Jow-Ran; Lee, John Decision tree and Microsoft Excel approach for option pricing model. (English) Zbl 1452.91304 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885-2927 (2021). MSC: 91G20 91-08 PDF BibTeX XML Cite \textit{J.-R. Chang} and \textit{J. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885--2927 (2021; Zbl 1452.91304) Full Text: DOI
Lee, Cheng Few Options and option strategies: theory and empirical results. (English) Zbl 07283295 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2839-2884 (2021). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2839--2884 (2021; Zbl 07283295) Full Text: DOI
Lee, Cheng Few Credit analysis, bond rating forecasting, and default probability estimation. (English) Zbl 07283290 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2635-2671 (2021). MSC: 91G40 91G20 62P05 62H25 PDF BibTeX XML Cite \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2635--2671 (2021; Zbl 07283290) Full Text: DOI
Chen, Son-Nan; Lee, Cheng Few The sampling relationship between Sharpe’s performance measure and its risk proxy: sample size, investment horizon and market conditions. (English) Zbl 07283281 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific (ISBN 978-981-12-0243-8/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2419-2435 (2021). MSC: 91G10 91G20 91G70 PDF BibTeX XML Cite \textit{S.-N. Chen} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2419--2435 (2021; Zbl 07283281) Full Text: DOI
Chang, Hao; Wu, Yangru Application of filtering methods in asset pricing. (English) Zbl 07283276 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2303-2321 (2021). MSC: 91G30 91G20 62P05 62M20 PDF BibTeX XML Cite \textit{H. Chang} and \textit{Y. Wu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2303--2321 (2021; Zbl 07283276) Full Text: DOI
Agoraki, Maria-Eleni K.; Georgoutsos, Dimitris A.; Moratis, George T. Determinants of Euro-area bank CDS spreads. (English) Zbl 07283272 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 2161-2198 (2021). MSC: 91G40 91G20 62P05 PDF BibTeX XML Cite \textit{M.-E. K. Agoraki} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2161--2198 (2021; Zbl 07283272) Full Text: DOI
Kao, Lie-Jane; Chen, Li-Shya; Lee, Cheng Few Analysis of sequential conversions of convertible bonds: a recurrent survival approach. (English) Zbl 1451.91199 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141-2159 (2021). MSC: 91G20 62P05 62N02 PDF BibTeX XML Cite \textit{L.-J. Kao} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2141--2159 (2021; Zbl 1451.91199) Full Text: DOI
Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021). MSC: 91G20 60G40 91G60 91G40 PDF BibTeX XML Cite \textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305) Full Text: DOI
Szu, Wen-Ming; Wang, Yi-Chen; Yang, Wan-Ru How does investor sentiment affect implied risk-neutral distributions of call and put options? (English) Zbl 07283254 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1599-1636 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{W.-M. Szu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1599--1636 (2021; Zbl 07283254) Full Text: DOI
Chow, K. Victor; Jiang, Wanjun; Li, Jingrui Does VIX truly measure return volatility? (English) Zbl 07283252 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1533-1559 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{K. V. Chow} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533--1559 (2021; Zbl 07283252) Full Text: DOI
Sebehela, Tumellano Entropic two-asset option. (English) Zbl 07283246 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1295-1344 (2021). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Sebehela}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1295--1344 (2021; Zbl 07283246) Full Text: DOI
Diavatopoulos, Dean; Sokolinskiy, Oleg Stochastic volatility models: faking a smile. (English) Zbl 07283245 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1271-1293 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{D. Diavatopoulos} and \textit{O. Sokolinskiy}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271--1293 (2021; Zbl 07283245) Full Text: DOI
Chalamandaris, George; Malliaris, A. G. Itô’s calculus and the derivation of the Black-Scholes option-pricing model. (English) Zbl 07283239 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1025-1074 (2021). MSC: 91G20 60H10 60G44 PDF BibTeX XML Cite \textit{G. Chalamandaris} and \textit{A. G. Malliaris}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1025--1074 (2021; Zbl 07283239) Full Text: DOI
Lee, Cheng Few; Zhong, Zhaodong; Tai, Tzu; Chuang, Hongwei Alternative methods for determining option bounds: a review and comparison. (English) Zbl 07283236 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 917-945 (2021). MSC: 91G20 60G40 60E15 90C05 62P05 PDF BibTeX XML Cite \textit{C. F. Lee} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917--945 (2021; Zbl 07283236) Full Text: DOI
Tai, Tzu; Lee, Cheng Few; Dai, Tian-Shyr; Wang, Keh Luh; Chen, Hong-Yi Pricing fair deposit insurance: structural model approach. (English) Zbl 1451.91170 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583-602 (2021). MSC: 91G05 91G20 PDF BibTeX XML Cite \textit{T. Tai} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 583--602 (2021; Zbl 1451.91170) Full Text: DOI
Chen, Sheng-Syan; Lee, Cheng Few; Shresth, Keshab Hedge ratio and time series analysis. (English) Zbl 07283223 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 431-483 (2021). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{S.-S. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431--483 (2021; Zbl 07283223) Full Text: DOI
Rahman, Shafiqur; Schneider, Matthew J. Application of the multivariate average \(F\)-test to examine relative performance of asset pricing models with individual security returns. (English) Zbl 1452.91319 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 391-430 (2021). MSC: 91G30 91G20 62P05 PDF BibTeX XML Cite \textit{S. Rahman} and \textit{M. J. Schneider}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 391--430 (2021; Zbl 1452.91319) Full Text: DOI
Lee, Cheng Few; Zhang, Peter Guangping Parametric, semi-parametric, and non-parametric approaches for option-bound determination: review and comparison. (English) Zbl 1451.91201 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297-334 (2021). MSC: 91G20 62P05 60E15 90C05 PDF BibTeX XML Cite \textit{C. F. Lee} and \textit{P. G. Zhang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 297--334 (2021; Zbl 1451.91201) Full Text: DOI
Fedorov, Vladimir E.; Dyshaev, Mikhail M. Group classification for a class of non-linear models of the RAPM type. (English) Zbl 1452.91306 Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021). MSC: 91G20 22E60 91G80 PDF BibTeX XML Cite \textit{V. E. Fedorov} and \textit{M. M. Dyshaev}, Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021; Zbl 1452.91306) Full Text: DOI
Ahmadi, Z.; Hosseini, S. M.; Bastani, A. Foroush A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes. (English) Zbl 1448.91290 J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021). MSC: 91G20 93E20 60J74 90C39 PDF BibTeX XML Cite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 383, Article ID 113132, 19 p. (2021; Zbl 1448.91290) Full Text: DOI
Lin, Sha; He, Xin-Jiang A new integral equation approach for pricing American-style barrier options with rebates. (English) Zbl 1448.91298 J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021). MSC: 91G20 60G40 35Q91 PDF BibTeX XML Cite \textit{S. Lin} and \textit{X.-J. He}, J. Comput. Appl. Math. 383, Article ID 113107, 17 p. (2021; Zbl 1448.91298) Full Text: DOI
Georgiev, Slavi G.; Vulkov, Lubin G. Numerical identification of time-dependent volatility in European options with two-stage regime-switching. (English) Zbl 1448.91323 Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 249-261 (2021). MSC: 91G60 65M55 91G20 PDF BibTeX XML Cite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Stud. Comput. Intell. 902, 249--261 (2021; Zbl 1448.91323) Full Text: DOI
Hainaut, Donatien; Leonenko, Nikolai Option pricing in illiquid markets: a fractional jump-diffusion approach. (English) Zbl 1447.91174 J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021). MSC: 91G20 26A33 60J74 PDF BibTeX XML Cite \textit{D. Hainaut} and \textit{N. Leonenko}, J. Comput. Appl. Math. 381, Article ID 112995, 18 p. (2021; Zbl 1447.91174) Full Text: DOI
Dube, Mbakisi; Patidar, Kailash C. A robust nonstandard finite difference scheme for pricing real estate index options. (English) Zbl 07314943 J. Difference Equ. Appl. 26, No. 11-12, 1471-1493 (2020). MSC: 35Q91 35K20 65M06 65M12 PDF BibTeX XML Cite \textit{M. Dube} and \textit{K. C. Patidar}, J. Difference Equ. Appl. 26, No. 11--12, 1471--1493 (2020; Zbl 07314943) Full Text: DOI
van Appel, Vaughan; Maré, Eben The recovery theorem with application to risk management. (English) Zbl 07311507 S. Afr. Stat. J. 54, No. 1, 65-91 (2020). MSC: 62P05 62G07 91G20 PDF BibTeX XML Cite \textit{V. van Appel} and \textit{E. Maré}, S. Afr. Stat. J. 54, No. 1, 65--91 (2020; Zbl 07311507) Full Text: DOI
Cruz, José M. T. S.; Ševčovič, Daniel On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models. (English) Zbl 07309987 Japan J. Ind. Appl. Math. 37, No. 3, 697-721 (2020). MSC: 45K05 35K58 34G20 91G20 PDF BibTeX XML Cite \textit{J. M. T. S. Cruz} and \textit{D. Ševčovič}, Japan J. Ind. Appl. Math. 37, No. 3, 697--721 (2020; Zbl 07309987) Full Text: DOI
Tiwari, Archana; Bhattacharyya, Debanjana; Pati, K. C. Controllabilty and stability analysis on a group associated with Black-Scholes equation. (English) Zbl 07308286 Arch. Control Sci. 30, No. 3, 553-573 (2020). MSC: 93B05 93C20 35J10 91G20 93D05 PDF BibTeX XML Cite \textit{A. Tiwari} et al., Arch. Control Sci. 30, No. 3, 553--573 (2020; Zbl 07308286) Full Text: DOI
Candian, Giacomo; Dmitriev, Mikhail Optimal contracts and supply-driven recessions. (English) Zbl 07308072 Econ. Lett. 197, Article ID 109618, 5 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{G. Candian} and \textit{M. Dmitriev}, Econ. Lett. 197, Article ID 109618, 5 p. (2020; Zbl 07308072) Full Text: DOI
Jang, Hanbyeol; Kim, Hyundong; Jo, Subeom; Kim, Hanrim; Lee, Seri; Lee, Juwon; Kim, Junseok Fast android implimentation of Monte Carlo simulation for pricing equity-linked securities. (English) Zbl 07307922 J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79-84 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{H. Jang} et al., J. Korean Soc. Ind. Appl. Math. 24, No. 1, 79--84 (2020; Zbl 07307922) Full Text: DOI
Qiu, Shi American strangle options. (English) Zbl 07307494 Appl. Math. Finance 27, No. 3, 228-263 (2020). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{S. Qiu}, Appl. Math. Finance 27, No. 3, 228--263 (2020; Zbl 07307494) Full Text: DOI
Sabino, Piergiacomo Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives. (English) Zbl 07307493 Appl. Math. Finance 27, No. 3, 207-227 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{P. Sabino}, Appl. Math. Finance 27, No. 3, 207--227 (2020; Zbl 07307493) Full Text: DOI
Madan, Dilip B.; Wang, King Additive processes with bilateral gamma marginals. (English) Zbl 07307491 Appl. Math. Finance 27, No. 3, 171-188 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{D. B. Madan} and \textit{K. Wang}, Appl. Math. Finance 27, No. 3, 171--188 (2020; Zbl 07307491) Full Text: DOI
Nan, Zheng; Kaizoji, Taisei The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. Dollar and the Euro. (English) Zbl 07306695 Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 163-181 (2020). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{Z. Nan} and \textit{T. Kaizoji}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 163--181 (2020; Zbl 07306695) Full Text: DOI
Matsui, Toshiko; Gudgeon, Lewis The speculative (In)efficiency of the CME bitcoin futures market. (English) Zbl 07304454 Pardalos, Panos (ed.) et al., Mathematical research for blockchain economy. Proceedings of the 2nd international conference on mathematical research for blockchain economy, MARBLE 2020, Vilamoura, Portugal, June 8–10, 2020. Cham: Springer (ISBN 978-3-030-53355-7/hbk; 978-3-030-53356-4/ebook). Springer Proceedings in Business and Economics, 91-103 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{T. Matsui} and \textit{L. Gudgeon}, in: Mathematical research for blockchain economy. Proceedings of the 2nd international conference on mathematical research for blockchain economy, MARBLE 2020, Vilamoura, Portugal, June 8--10, 2020. Cham: Springer. 91--103 (2020; Zbl 07304454) Full Text: DOI
Milovanović, Slobodan; von Sydow, Lina A high order method for pricing of financial derivatives using radial basis function generated finite differences. (English) Zbl 07304341 Math. Comput. Simul. 174, 205-217 (2020). MSC: 91G60 65D12 65M06 91G20 PDF BibTeX XML Cite \textit{S. Milovanović} and \textit{L. von Sydow}, Math. Comput. Simul. 174, 205--217 (2020; Zbl 07304341) Full Text: DOI
Madan, Dilip B. Multivariate distributions for financial returns. (English) Zbl 07303458 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050041, 32 p. (2020). MSC: 91G20 62P05 62H05 PDF BibTeX XML Cite \textit{D. B. Madan}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050041, 32 p. (2020; Zbl 07303458) Full Text: DOI
Leduc, Guillaume; Palmer, Kenneth What a difference one probability makes in the convergence of binomial trees. (English) Zbl 07303457 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050040, 26 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{G. Leduc} and \textit{K. Palmer}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050040, 26 p. (2020; Zbl 07303457) Full Text: DOI
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. Collocating volatility: a competitive alternative to stochastic local volatility models. (English) Zbl 07303455 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{A. W. van der Stoep} et al., Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050038, 42 p. (2020; Zbl 07303455) Full Text: DOI
Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T. Option pricing in markets with informed traders. (English) Zbl 07303454 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 07303454) Full Text: DOI
Marzougue, Mohamed Reflected BDSDEs with stochastic monotone generator and application to valuing American options. (English) Zbl 07303451 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050034, 26 p. (2020). MSC: 91G20 60G40 60H10 PDF BibTeX XML Cite \textit{M. Marzougue}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050034, 26 p. (2020; Zbl 07303451) Full Text: DOI
Grasselli, Martino; Wagalath, Lakshithe VIX versus VXX: a joint analytical framework. (English) Zbl 07303450 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050033, 39 p. (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{M. Grasselli} and \textit{L. Wagalath}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050033, 39 p. (2020; Zbl 07303450) Full Text: DOI
Van Bakel, Sjoerd; Borovkova, Svetlana; Michielon, Matteo Conic CVA and DVA for option portfolios. (English) Zbl 07303449 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020). MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{S. Van Bakel} et al., Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050032, 30 p. (2020; Zbl 07303449) Full Text: DOI
Mishura, Yuliya; Yurchenko-Tytarenko, Anton Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model. (English) Zbl 07303448 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050031, 36 p. (2020). MSC: 91G20 60G22 60H07 PDF BibTeX XML Cite \textit{Y. Mishura} and \textit{A. Yurchenko-Tytarenko}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050031, 36 p. (2020; Zbl 07303448) Full Text: DOI
Tangpi, Ludovic Efficient hedging under ambiguity in continuous time. (English) Zbl 07302957 Probab. Uncertain. Quant. Risk 5, Paper No. 6, 19 p. (2020). MSC: 91G20 60H30 60G48 PDF BibTeX XML Cite \textit{L. Tangpi}, Probab. Uncertain. Quant. Risk 5, Paper No. 6, 19 p. (2020; Zbl 07302957) Full Text: DOI
Cao, Jiling; Roslan, Teh Raihana Nazirah; Zhang, Wenjun The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure. (English) Zbl 07301066 J. Korean Math. Soc. 57, No. 5, 1167-1186 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{J. Cao} et al., J. Korean Math. Soc. 57, No. 5, 1167--1186 (2020; Zbl 07301066) Full Text: DOI
Ma, Jingtang; Ma, Jianjun Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization. (English) Zbl 07299084 J. Sci. Comput. 85, No. 3, Paper No. 55, 27 p. (2020). MSC: 65C20 65C40 65M06 91G20 91G60 PDF BibTeX XML Cite \textit{J. Ma} and \textit{J. Ma}, J. Sci. Comput. 85, No. 3, Paper No. 55, 27 p. (2020; Zbl 07299084) Full Text: DOI
Capotorti, Andrea; Figà-Talamanca, Gianna SMART-or and SMART-and fuzzy average operators: a generalized proposal. (English) Zbl 1452.03109 Fuzzy Sets Syst. 395, 1-20 (2020). MSC: 03E72 91G20 PDF BibTeX XML Cite \textit{A. Capotorti} and \textit{G. Figà-Talamanca}, Fuzzy Sets Syst. 395, 1--20 (2020; Zbl 1452.03109) Full Text: DOI
Jacquier, Antoine; Torricelli, Lorenzo Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. (English) Zbl 07296667 SIAM J. Financ. Math. 11, No. 4, 1137-1167 (2020). MSC: 91G20 91G30 60G51 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{L. Torricelli}, SIAM J. Financ. Math. 11, No. 4, 1137--1167 (2020; Zbl 07296667) Full Text: DOI
Dastgerdi, Maryam Vahid; Bastani, Ali Foroush Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation. (English) Zbl 07296665 SIAM J. Financ. Math. 11, No. 4, 1063-1097 (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G30 91G20 91G60 34A08 34A34 PDF BibTeX XML Cite \textit{M. V. Dastgerdi} and \textit{A. F. Bastani}, SIAM J. Financ. Math. 11, No. 4, 1063--1097 (2020; Zbl 07296665) Full Text: DOI
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph Executive stock option exercise with full and partial information on a drift change point. (English) Zbl 07296664 SIAM J. Financ. Math. 11, No. 4, 1007-1062 (2020). MSC: 91G20 60G40 35Q91 93E11 PDF BibTeX XML Cite \textit{V. Henderson} et al., SIAM J. Financ. Math. 11, No. 4, 1007--1062 (2020; Zbl 07296664) Full Text: DOI
Dam, Henrik T.; Macrina, Andrea; Skovmand, David; Sloth, David Rational models for inflation-linked derivatives. (English) Zbl 07296663 SIAM J. Financ. Math. 11, No. 4, 974-1006 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{H. T. Dam} et al., SIAM J. Financ. Math. 11, No. 4, 974--1006 (2020; Zbl 07296663) Full Text: DOI
Ma, Jingtang; Wang, Han; Zhou, Zhiqiang; Tan, Zhijun High-order methods for exotic options and Greeks under regime-switching jump-diffusion models. (English) Zbl 07296129 Numer. Math., Theory Methods Appl. 13, No. 2, 497-515 (2020). MSC: 91G20 91G60 91G80 35Q91 PDF BibTeX XML Cite \textit{J. Ma} et al., Numer. Math., Theory Methods Appl. 13, No. 2, 497--515 (2020; Zbl 07296129) Full Text: DOI
Yang, Yue; Wang, Yongmao Asian option pricing under sub-fractional Brownian motion with jump. (Chinese. English summary) Zbl 07296052 Math. Pract. Theory 50, No. 13, 131-140 (2020). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{Y. Yang} and \textit{Y. Wang}, Math. Pract. Theory 50, No. 13, 131--140 (2020; Zbl 07296052)
Wei, Zhu’e; He, Jiawen Valuation on quanto chooser option in a stochastic volatility model with jump risks. (English) Zbl 07296048 Math. Pract. Theory 50, No. 12, 94-101 (2020). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{Z. Wei} and \textit{J. He}, Math. Pract. Theory 50, No. 12, 94--101 (2020; Zbl 07296048)
Yang, Xiaolin; Liu, Lixia; Li, Suwen Valuation of quotient options for the interest rate is a function of time. (English) Zbl 07296047 Math. Pract. Theory 50, No. 12, 79-85 (2020). MSC: 91G20 91G30 PDF BibTeX XML Cite \textit{X. Yang} et al., Math. Pract. Theory 50, No. 12, 79--85 (2020; Zbl 07296047)
Lin, Hanyan; Yuan, Yuan The integral equation formula of American option pricing in the fractional Black-Scholes model. (English) Zbl 07296044 Math. Pract. Theory 50, No. 12, 293-298 (2020). MSC: 45G10 91B25 91G20 PDF BibTeX XML Cite \textit{H. Lin} and \textit{Y. Yuan}, Math. Pract. Theory 50, No. 12, 293--298 (2020; Zbl 07296044)
Xi, Huan; Hu, Zhiming Pricing geometric average trigger reset option with predetermined levels based on double exponential jump-diffusion model with stochastic interest rate. (Chinese. English summary) Zbl 07296003 Math. Pract. Theory 50, No. 10, 21-32 (2020). MSC: 91G20 91G30 60J70 PDF BibTeX XML Cite \textit{H. Xi} and \textit{Z. Hu}, Math. Pract. Theory 50, No. 10, 21--32 (2020; Zbl 07296003)
Yao, Yi; Xu, Wei Willow tree method for European and American option pricing under variance Gamma model. (Chinese. English summary) Zbl 07295866 J. Tongji Univ., Nat. Sci. 48, No. 8, 1232-1240 (2020). MSC: 91G20 60G40 PDF BibTeX XML Cite \textit{Y. Yao} and \textit{W. Xu}, J. Tongji Univ., Nat. Sci. 48, No. 8, 1232--1240 (2020; Zbl 07295866) Full Text: DOI
Cai, Guanghui; Ying, Xuehai The forecasting performance of the high-frequency volatility models based on jumps, good-bad volatility and Markov regime-switching. (Chinese. English summary) Zbl 07295813 J. Syst. Sci. Math. Sci. 40, No. 3, 521-546 (2020). MSC: 91G20 91G70 60J74 PDF BibTeX XML Cite \textit{G. Cai} and \textit{X. Ying}, J. Syst. Sci. Math. Sci. 40, No. 3, 521--546 (2020; Zbl 07295813)
He, Linjie; Wu, Yijia; Dai, Juan Lowballing, analyst forecasts and audit quality — evidence from the Chinese capital market. (Chinese. English summary) Zbl 07295809 J. Syst. Sci. Math. Sci. 40, No. 3, 469-484 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{L. He} et al., J. Syst. Sci. Math. Sci. 40, No. 3, 469--484 (2020; Zbl 07295809)
Ou, Hui; Zhou, Ziya Research on innovation and pricing of flood catastrophic bonds. (Chinese. English summary) Zbl 07295546 J. Nat. Sci. Hunan Norm. Univ. 43, No. 4, 75-79 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{H. Ou} and \textit{Z. Zhou}, J. Nat. Sci. Hunan Norm. Univ. 43, No. 4, 75--79 (2020; Zbl 07295546) Full Text: DOI
Jia, Zhaoli; Yang, Shuquan; Wu, Huojun Study on pricing variance swaps under OU process. (Chinese. English summary) Zbl 07295314 J. Hefei Univ. Technol., Nat. Sci. 43, No. 5, 712-715 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{Z. Jia} et al., J. Hefei Univ. Technol., Nat. Sci. 43, No. 5, 712--715 (2020; Zbl 07295314) Full Text: DOI
Zhao, Xiaoyin; Yang, Liu Reconstructing implied volatility based on mean-reverting price processes. (English) Zbl 07295154 J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329-337 (2020). MSC: 91G20 93E20 91G80 PDF BibTeX XML Cite \textit{X. Zhao} and \textit{L. Yang}, J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329--337 (2020; Zbl 07295154) Full Text: DOI
Liang, Xizhu; Xue, Hong; Wang, Rui Pricing of minimum or maximum option in sub-fractional Brownian motion environment. (English) Zbl 07295145 J. Anhui Norm. Univ., Nat. Sci. 43, No. 2, 123-128 (2020). MSC: 91G20 60G22 28A80 PDF BibTeX XML Cite \textit{X. Liang} et al., J. Anhui Norm. Univ., Nat. Sci. 43, No. 2, 123--128 (2020; Zbl 07295145) Full Text: DOI
Xue, Jie; Zhou, Shengwu; Jiang, Yiming Numerical algorithm of an American stock option pricing. (Chinese. English summary) Zbl 07294946 Acta Sci. Nat. Univ. Nankaiensis 53, No. 4, 1-7 (2020). MSC: 91G60 65M06 91G20 60G40 PDF BibTeX XML Cite \textit{J. Xue} et al., Acta Sci. Nat. Univ. Nankaiensis 53, No. 4, 1--7 (2020; Zbl 07294946)
Dochviri, Besarion; Khechinashvili, Zaza On a fair price of the European option. (English) Zbl 07293448 Bull. Georgian Natl. Acad. Sci. (N.S.) 14, No. 2, 18-22 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{B. Dochviri} and \textit{Z. Khechinashvili}, Bull. Georgian Natl. Acad. Sci. (N.S.) 14, No. 2, 18--22 (2020; Zbl 07293448) Full Text: Link
Uddin, Marjan; Ali, Hazrat Space-time kernel based numerical method for generalized Black-Scholes equation. (English) Zbl 07292870 Discrete Contin. Dyn. Syst., Ser. S 13, No. 10, 2905-2915 (2020). Reviewer: Bülent Karasözen (Ankara) MSC: 65M70 65M12 65F50 91G20 91G60 35Q91 PDF BibTeX XML Cite \textit{M. Uddin} and \textit{H. Ali}, Discrete Contin. Dyn. Syst., Ser. S 13, No. 10, 2905--2915 (2020; Zbl 07292870) Full Text: DOI
Smirnov, Sergeĭ N. A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem. (Russian. English summary) Zbl 07291879 Mat. Teor. Igr Prilozh. 12, No. 3, 50-88 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{S. N. Smirnov}, Mat. Teor. Igr Prilozh. 12, No. 3, 50--88 (2020; Zbl 07291879) Full Text: MNR
Cai, Ning; Zhang, Wei Regime classification and stock loan valuation. (English) Zbl 07291374 Oper. Res. 68, No. 4, 965-983 (2020). MSC: 91G20 60G40 60G51 PDF BibTeX XML Cite \textit{N. Cai} and \textit{W. Zhang}, Oper. Res. 68, No. 4, 965--983 (2020; Zbl 07291374) Full Text: DOI
Laham, M. F.; Ibrahim, S. N. I.; Kilicman, A. Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process. (English) Zbl 07290674 Malays. J. Math. Sci. 14, No. 1, 1-15 (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65D30 91G20 60J74 PDF BibTeX XML Cite \textit{M. F. Laham} et al., Malays. J. Math. Sci. 14, No. 1, 1--15 (2020; Zbl 07290674) Full Text: Link
Gapeev, Pavel V. Optimal stopping problems for running minima with positive discounting rates. (English) Zbl 07287586 Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60G44 60J65 91G20 PDF BibTeX XML Cite \textit{P. V. Gapeev}, Stat. Probab. Lett. 167, Article ID 108899, 12 p. (2020; Zbl 07287586) Full Text: DOI
Wang, Song The fitted finite volume and power penalty methods for option pricing. (English) Zbl 07283210 SpringerBriefs in Applied Sciences and Technology. Mathematical Methods. Singapore: Springer (ISBN 978-981-15-9557-8/pbk; 978-981-15-9558-5/ebook). viii, 94 p. (2020). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91-02 91G60 65M08 91G20 PDF BibTeX XML Cite \textit{S. Wang}, The fitted finite volume and power penalty methods for option pricing. Singapore: Springer (2020; Zbl 07283210) Full Text: DOI
Xiang, Jiangming; Wang, Xiaoqun Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options. (English) Zbl 07282802 Quant. Finance 20, No. 10, 1701-1720 (2020). MSC: 91G60 65C05 91G20 60G40 PDF BibTeX XML Cite \textit{J. Xiang} and \textit{X. Wang}, Quant. Finance 20, No. 10, 1701--1720 (2020; Zbl 07282802) Full Text: DOI
Guyon, Julien Inversion of convex ordering in the VIX market. (English) Zbl 07282797 Quant. Finance 20, No. 10, 1597-1623 (2020). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Guyon}, Quant. Finance 20, No. 10, 1597--1623 (2020; Zbl 07282797) Full Text: DOI
Fry, John; Burke, Matt An options-pricing approach to election prediction. (English) Zbl 07282795 Quant. Finance 20, No. 10, 1583-1589 (2020). MSC: 91B12 91F10 91G20 62P25 PDF BibTeX XML Cite \textit{J. Fry} and \textit{M. Burke}, Quant. Finance 20, No. 10, 1583--1589 (2020; Zbl 07282795) Full Text: DOI