Kananthai, Amnuay; Suksern, Supaporn On the parametric interest of the option price from the Black-Scholes equation. (English) Zbl 1512.91147 IAENG, Int. J. Appl. Math. 46, No. 1, 87-91 (2016). MSC: 91G20 35K10 35Q91 PDFBibTeX XMLCite \textit{A. Kananthai} and \textit{S. Suksern}, IAENG, Int. J. Appl. Math. 46, No. 1, 87--91 (2016; Zbl 1512.91147)
Xing, Yu; Yang, Xiaoping Equilibrium pricing of currency options under a discontinuous model in a two-country economy. (English) Zbl 1507.91224 Stud. Nonlinear Dyn. Econom. 20, No. 2, 185-198 (2016). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{Y. Xing} and \textit{X. Yang}, Stud. Nonlinear Dyn. Econom. 20, No. 2, 185--198 (2016; Zbl 1507.91224) Full Text: DOI
Gradojevic, Nikola Multi-criteria classification for pricing European options. (English) Zbl 1507.62318 Stud. Nonlinear Dyn. Econom. 20, No. 2, 123-139 (2016). MSC: 62P05 62H30 91G20 PDFBibTeX XMLCite \textit{N. Gradojevic}, Stud. Nonlinear Dyn. Econom. 20, No. 2, 123--139 (2016; Zbl 1507.62318) Full Text: DOI
Liu, Dong Yan; Fan, Su Jun; Wang, Bing Option pricing to a continuous dividend payment model driven by an asymmetric jump-diffusion process. (Chinese. English summary) Zbl 1503.91126 Math. Theory Appl. 36, No. 3, 48-53 (2016). MSC: 91G20 60J76 PDFBibTeX XMLCite \textit{D. Y. Liu} et al., Math. Theory Appl. 36, No. 3, 48--53 (2016; Zbl 1503.91126)
Lin, Chen; Zhang, Qi; Zhang, Xiaoling; Lin, Lu Instrumental variable regression with variable constraint and its applications in option pricing and portfolio. (Chinese. English summary) Zbl 1499.62386 Sci. Sin., Math. 46, No. 1, 81-96 (2016). MSC: 62P05 62G08 91G20 91G10 PDFBibTeX XMLCite \textit{C. Lin} et al., Sci. Sin., Math. 46, No. 1, 81--96 (2016; Zbl 1499.62386) Full Text: DOI
Morimoto, Takayuki European option pricing under fractional Brownian motion with an application to realized volatility. (English) Zbl 1476.91187 Forma 31, Spec. Iss., S29-S40 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{T. Morimoto}, Forma 31, S29--S40 (2016; Zbl 1476.91187)
Zhang, Shuhua; Wang, Jing Modeling and computation of \(\mathrm{CO}_2\) allowance derivatives under jump-diffusion processes. (English) Zbl 1488.65361 Adv. Appl. Math. Mech. 8, No. 5, 827-846 (2016). MSC: 65M08 65M12 91G20 91G60 91B76 35R05 65T50 65M06 65N08 65C05 PDFBibTeX XMLCite \textit{S. Zhang} and \textit{J. Wang}, Adv. Appl. Math. Mech. 8, No. 5, 827--846 (2016; Zbl 1488.65361) Full Text: DOI
Barkhagen, Mathias; Blomvall, Jörgen; Platen, Eckhard Recovering the real-world density and liquidity premia from option data. (English) Zbl 1468.91161 Quant. Finance 16, No. 7, 1147-1164 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{M. Barkhagen} et al., Quant. Finance 16, No. 7, 1147--1164 (2016; Zbl 1468.91161) Full Text: DOI Link
Niu, Huawei; Wang, Dingcheng Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy. (English) Zbl 1468.91172 Quant. Finance 16, No. 7, 1129-1145 (2016). MSC: 91G20 60J74 91G40 PDFBibTeX XMLCite \textit{H. Niu} and \textit{D. Wang}, Quant. Finance 16, No. 7, 1129--1145 (2016; Zbl 1468.91172) Full Text: DOI
García-Mirantes, Andrés; Larraz, Beatriz; Población, Javier An alternative method to estimate parameters in modelling the behaviour of commodity prices. (English) Zbl 1468.91168 Quant. Finance 16, No. 7, 1111-1127 (2016). MSC: 91G20 60G35 PDFBibTeX XMLCite \textit{A. García-Mirantes} et al., Quant. Finance 16, No. 7, 1111--1127 (2016; Zbl 1468.91168) Full Text: DOI
Li, Lingfei; Mendoza-Arriaga, Rafael; Mo, Zhiyu; Mitchell, Daniel Modelling electricity prices: a time change approach. (English) Zbl 1468.91170 Quant. Finance 16, No. 7, 1089-1109 (2016). MSC: 91G20 60J74 44A10 PDFBibTeX XMLCite \textit{L. Li} et al., Quant. Finance 16, No. 7, 1089--1109 (2016; Zbl 1468.91170) Full Text: DOI
Joshi, Mark; Ranasinghe, Navin Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates. (English) Zbl 1465.91116 Quant. Finance 16, No. 7, 997-1008 (2016). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{N. Ranasinghe}, Quant. Finance 16, No. 7, 997--1008 (2016; Zbl 1465.91116) Full Text: DOI
Akyildirim, Erdnç; Altarovici, Albert Partial hedging and cash requirements in discrete time. (English) Zbl 1468.91159 Quant. Finance 16, No. 6, 929-945 (2016). MSC: 91G20 93E20 90C39 PDFBibTeX XMLCite \textit{E. Akyildirim} and \textit{A. Altarovici}, Quant. Finance 16, No. 6, 929--945 (2016; Zbl 1468.91159) Full Text: DOI
Bayer, Christian; Friz, Peter; Gatheral, Jim Pricing under rough volatility. (English) Zbl 1465.91108 Quant. Finance 16, No. 6, 887-904 (2016). MSC: 91G20 60G22 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 16, No. 6, 887--904 (2016; Zbl 1465.91108) Full Text: DOI
Funahashi, Hideharu; Kijima, Masaaki Analytical pricing of single barrier options under local volatility models. (English) Zbl 1468.91167 Quant. Finance 16, No. 6, 867-886 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{H. Funahashi} and \textit{M. Kijima}, Quant. Finance 16, No. 6, 867--886 (2016; Zbl 1468.91167) Full Text: DOI
Crépey, Stéphane; Macrina, Andrea; Nguyen, Tuyet Mai; Skovmand, David Rational multi-curve models with counterparty-risk valuation adjustments. (English) Zbl 1468.91180 Quant. Finance 16, No. 6, 847-866 (2016). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{S. Crépey} et al., Quant. Finance 16, No. 6, 847--866 (2016; Zbl 1468.91180) Full Text: DOI arXiv
Hambly, Ben; Mariapragassam, Matthieu; Reisinger, Christoph A forward equation for barrier options under the Brunick & Shreve Markovian projection. (English) Zbl 1465.91128 Quant. Finance 16, No. 6, 827-838 (2016). MSC: 91G60 65M06 65R99 91G20 PDFBibTeX XMLCite \textit{B. Hambly} et al., Quant. Finance 16, No. 6, 827--838 (2016; Zbl 1465.91128) Full Text: DOI arXiv
Josephy, Norman; Kimball, Lucia; Steblovskaya, Victoria Optimal hedging in an extended binomial market under transaction costs. (English) Zbl 1468.91169 Quant. Finance 16, No. 5, 763-776 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{N. Josephy} et al., Quant. Finance 16, No. 5, 763--776 (2016; Zbl 1468.91169) Full Text: DOI
Yang, Sharon S.; Huang, Jr-Wei; Chang, Chuang-Chang Detecting and modelling the jump risk of \(\text{CO}_2\) emission allowances and their impact on the valuation of option on futures contracts. (English) Zbl 1468.91177 Quant. Finance 16, No. 5, 749-762 (2016). MSC: 91G20 91B76 60J74 PDFBibTeX XMLCite \textit{S. S. Yang} et al., Quant. Finance 16, No. 5, 749--762 (2016; Zbl 1468.91177) Full Text: DOI
Nunes, João Pedro Vidal; Alcaria, Tiago Ramalho Viegas Valuation of forward start options under affine jump-diffusion models. (English) Zbl 1465.91119 Quant. Finance 16, No. 5, 727-747 (2016). MSC: 91G20 91G30 60J74 PDFBibTeX XMLCite \textit{J. P. V. Nunes} and \textit{T. R. V. Alcaria}, Quant. Finance 16, No. 5, 727--747 (2016; Zbl 1465.91119) Full Text: DOI
Oud, M. A. Aba; Goard, J. Analytic approximation formulae for European crack spread options. (English) Zbl 1468.91174 Quant. Finance 16, No. 5, 711-725 (2016). MSC: 91G20 41A60 PDFBibTeX XMLCite \textit{M. A. A. Oud} and \textit{J. Goard}, Quant. Finance 16, No. 5, 711--725 (2016; Zbl 1468.91174) Full Text: DOI
Chen, Son-Nan; Hsu, Pao-Peng; Li, Chang-Yi Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion. (English) Zbl 1468.91163 Quant. Finance 16, No. 4, 573-592 (2016). MSC: 91G20 91G40 60J74 PDFBibTeX XMLCite \textit{S.-N. Chen} et al., Quant. Finance 16, No. 4, 573--592 (2016; Zbl 1468.91163) Full Text: DOI
Linders, Daniël; Stassen, Ben The multivariate variance gamma model: basket option pricing and calibration. (English) Zbl 1468.91171 Quant. Finance 16, No. 4, 555-572 (2016). MSC: 91G20 62P05 62H10 PDFBibTeX XMLCite \textit{D. Linders} and \textit{B. Stassen}, Quant. Finance 16, No. 4, 555--572 (2016; Zbl 1468.91171) Full Text: DOI Link
Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino General closed-form basket option pricing bounds. (English) Zbl 1468.91162 Quant. Finance 16, No. 4, 535-554 (2016). MSC: 91G20 60J74 91G60 PDFBibTeX XMLCite \textit{R. Caldana} et al., Quant. Finance 16, No. 4, 535--554 (2016; Zbl 1468.91162) Full Text: DOI Link
Joshi, Mark S. Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal. (English) Zbl 1468.91190 Quant. Finance 16, No. 4, 519-533 (2016). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{M. S. Joshi}, Quant. Finance 16, No. 4, 519--533 (2016; Zbl 1468.91190) Full Text: DOI
Hunter, Chris Book review of: P. Richmond et al., Econophysics and physical economics. (English) Zbl 1484.00027 Quant. Finance 16, No. 4, 513-515 (2016). MSC: 00A17 91-02 91B80 80A05 91B26 91B60 91B62 91B84 91G10 91G20 91G30 PDFBibTeX XMLCite \textit{C. Hunter}, Quant. Finance 16, No. 4, 513--515 (2016; Zbl 1484.00027) Full Text: DOI
Godin, F. Minimizing CVaR in global dynamic hedging with transaction costs. (English) Zbl 1465.91114 Quant. Finance 16, No. 3, 461-475 (2016). MSC: 91G20 91G70 90C39 PDFBibTeX XMLCite \textit{F. Godin}, Quant. Finance 16, No. 3, 461--475 (2016; Zbl 1465.91114) Full Text: DOI
Brown, C.; Handley, J. C.; Lin, C.-T.; Palmer, K. J. Partial differential equations for Asian option prices. (English) Zbl 1465.91109 Quant. Finance 16, No. 3, 447-460 (2016). MSC: 91G20 35Q91 91G80 PDFBibTeX XMLCite \textit{C. Brown} et al., Quant. Finance 16, No. 3, 447--460 (2016; Zbl 1465.91109) Full Text: DOI
Fujii, Masaaki A polynomial scheme of asymptotic expansion for backward SDEs and option pricing. (English) Zbl 1468.91166 Quant. Finance 16, No. 3, 427-445 (2016). MSC: 91G20 60H10 41A60 PDFBibTeX XMLCite \textit{M. Fujii}, Quant. Finance 16, No. 3, 427--445 (2016; Zbl 1468.91166) Full Text: DOI arXiv
Barkhagen, Mathias; Blomvall, Jörgen Modeling and evaluation of the option book hedging problem using stochastic programming. (English) Zbl 1468.91160 Quant. Finance 16, No. 2, 259-273 (2016). MSC: 91G20 90C15 PDFBibTeX XMLCite \textit{M. Barkhagen} and \textit{J. Blomvall}, Quant. Finance 16, No. 2, 259--273 (2016; Zbl 1468.91160) Full Text: DOI
Pflug, Georg Ch.; Thoma, Philipp Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation. (English) Zbl 1468.91191 Quant. Finance 16, No. 2, 247-257 (2016). MSC: 91G60 65C05 91G20 60G51 PDFBibTeX XMLCite \textit{G. Ch. Pflug} and \textit{P. Thoma}, Quant. Finance 16, No. 2, 247--257 (2016; Zbl 1468.91191) Full Text: DOI Link
Consiglio, Andrea; Carollo, Angelo; Zenios, Stavros A. A parsimonious model for generating arbitrage-free scenario trees. (English) Zbl 1468.91165 Quant. Finance 16, No. 2, 201-212 (2016). MSC: 91G20 93E20 90C15 PDFBibTeX XMLCite \textit{A. Consiglio} et al., Quant. Finance 16, No. 2, 201--212 (2016; Zbl 1468.91165) Full Text: DOI
Lim, Nengli; Privault, Nicolas Analytic bond pricing for short rate dynamics evolving on matrix Lie groups. (English) Zbl 1468.91182 Quant. Finance 16, No. 1, 119-129 (2016). MSC: 91G30 91G20 58J65 PDFBibTeX XMLCite \textit{N. Lim} and \textit{N. Privault}, Quant. Finance 16, No. 1, 119--129 (2016; Zbl 1468.91182) Full Text: DOI
Alòs, Elisa; León, Jorge A. On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation. (English) Zbl 1465.91107 Quant. Finance 16, No. 1, 31-42 (2016). MSC: 91G20 60H07 PDFBibTeX XMLCite \textit{E. Alòs} and \textit{J. A. León}, Quant. Finance 16, No. 1, 31--42 (2016; Zbl 1465.91107) Full Text: DOI
Agarwal, Ankush; Juneja, Sandeep; Sircar, Ronnie American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics. (English) Zbl 1468.91158 Quant. Finance 16, No. 1, 17-30 (2016). MSC: 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{A. Agarwal} et al., Quant. Finance 16, No. 1, 17--30 (2016; Zbl 1468.91158) Full Text: DOI Link
He, Xin-Jiang; Zhu, Song-Ping An alternative form used to calibrate the Heston option pricing model. (English) Zbl 1443.91292 Comput. Math. Appl. 71, No. 9, 1831-1842 (2016). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{S.-P. Zhu}, Comput. Math. Appl. 71, No. 9, 1831--1842 (2016; Zbl 1443.91292) Full Text: DOI
Zhang, H.; Liu, F.; Turner, I.; Yang, Q. Numerical solution of the time fractional Black-Scholes model governing European options. (English) Zbl 1443.91335 Comput. Math. Appl. 71, No. 9, 1772-1783 (2016). MSC: 91G60 65M06 35R11 91G20 PDFBibTeX XMLCite \textit{H. Zhang} et al., Comput. Math. Appl. 71, No. 9, 1772--1783 (2016; Zbl 1443.91335) Full Text: DOI
Tang, Wenguang; Chang, Shuhua A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion. (English) Zbl 1443.91300 Comput. Math. Appl. 71, No. 5, 1045-1058 (2016). MSC: 91G20 45K05 65M06 91G60 PDFBibTeX XMLCite \textit{W. Tang} and \textit{S. Chang}, Comput. Math. Appl. 71, No. 5, 1045--1058 (2016; Zbl 1443.91300) Full Text: DOI
Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo Valuing vulnerable geometric Asian options. (English) Zbl 1443.91295 Comput. Math. Appl. 71, No. 2, 676-691 (2016). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{J. Jeon} et al., Comput. Math. Appl. 71, No. 2, 676--691 (2016; Zbl 1443.91295) Full Text: DOI
Le, Nhat-Tan; Zhu, Song-Ping; Lu, Xiaoping An integral equation approach for the valuation of American-style down-and-out calls with rebates. (English) Zbl 1443.91331 Comput. Math. Appl. 71, No. 2, 544-564 (2016). MSC: 91G60 65R20 91G20 PDFBibTeX XMLCite \textit{N.-T. Le} et al., Comput. Math. Appl. 71, No. 2, 544--564 (2016; Zbl 1443.91331) Full Text: DOI
Dang, Duy-Minh; Nguyen, Duy; Sewell, Granville Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. (English) Zbl 1443.65199 Comput. Math. Appl. 71, No. 1, 443-458 (2016). MSC: 65M60 45K05 91G20 91G60 PDFBibTeX XMLCite \textit{D.-M. Dang} et al., Comput. Math. Appl. 71, No. 1, 443--458 (2016; Zbl 1443.65199) Full Text: DOI
Egorova, Vera N.; Company, Rafael; Jódar, Lucas A new efficient numerical method for solving American option under regime switching model. (English) Zbl 1443.91327 Comput. Math. Appl. 71, No. 1, 224-237 (2016). MSC: 91G60 65M06 65M12 65M22 91G20 60G40 PDFBibTeX XMLCite \textit{V. N. Egorova} et al., Comput. Math. Appl. 71, No. 1, 224--237 (2016; Zbl 1443.91327) Full Text: DOI
Shcherbakov, Victor; Larsson, Elisabeth Radial basis function partition of unity methods for pricing vanilla basket options. (English) Zbl 1443.91333 Comput. Math. Appl. 71, No. 1, 185-200 (2016). MSC: 91G60 65M70 91G20 PDFBibTeX XMLCite \textit{V. Shcherbakov} and \textit{E. Larsson}, Comput. Math. Appl. 71, No. 1, 185--200 (2016; Zbl 1443.91333) Full Text: DOI
Zhou, Zhiqiang; Ma, Jingtang Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching. (English) Zbl 1443.91336 Comput. Math. Appl. 71, No. 7, 1448-1463 (2016). MSC: 91G60 35K20 35Q91 65M12 65M75 76M28 91G20 PDFBibTeX XMLCite \textit{Z. Zhou} and \textit{J. Ma}, Comput. Math. Appl. 71, No. 7, 1448--1463 (2016; Zbl 1443.91336) Full Text: DOI
Jeon, Junkee; Han, Heejae; Kim, Hyeonuk; Kang, Myungjoo An integral equation representation approach for valuing Russian options with a finite time horizon. (English) Zbl 1470.91280 Commun. Nonlinear Sci. Numer. Simul. 36, 496-516 (2016). MSC: 91G20 91G80 35C15 35K10 35R35 35R60 45G10 PDFBibTeX XMLCite \textit{J. Jeon} et al., Commun. Nonlinear Sci. Numer. Simul. 36, 496--516 (2016; Zbl 1470.91280) Full Text: DOI
Schied, Alexander; Voloshchenko, Iryna Pathwise no-arbitrage in a class of delta hedging strategies. (English) Zbl 1443.91299 Probab. Uncertain. Quant. Risk 1, Paper No. 3, 25 p. (2016). MSC: 91G20 60H05 60H30 PDFBibTeX XMLCite \textit{A. Schied} and \textit{I. Voloshchenko}, Probab. Uncertain. Quant. Risk 1, Paper No. 3, 25 p. (2016; Zbl 1443.91299) Full Text: DOI arXiv
Zhang, H.; Liu, F.; Turner, I.; Chen, S. The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option. (English) Zbl 1465.91131 Appl. Math. Modelling 40, No. 11-12, 5819-5834 (2016). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{H. Zhang} et al., Appl. Math. Modelling 40, No. 11--12, 5819--5834 (2016; Zbl 1465.91131) Full Text: DOI
González-Gaxiola, Oswaldo; Ruíz de Chávez, Juan; Santiago, José Antonio A nonlinear option pricing model through the Adomian decomposition method. (English) Zbl 1420.91508 Int. J. Appl. Comput. Math. 2, No. 4, 453-467 (2016). MSC: 91G60 91G20 65M99 PDFBibTeX XMLCite \textit{O. González-Gaxiola} et al., Int. J. Appl. Comput. Math. 2, No. 4, 453--467 (2016; Zbl 1420.91508) Full Text: DOI
Fan, Congyin; Xiang, Kaili; Chen, Peimin Efficient option pricing in crisis based on dynamic elasticity of variance model. (English) Zbl 1418.91510 Discrete Dyn. Nat. Soc. 2016, Article ID 7496539, 9 p. (2016). MSC: 91G20 91G60 65M06 PDFBibTeX XMLCite \textit{C. Fan} et al., Discrete Dyn. Nat. Soc. 2016, Article ID 7496539, 9 p. (2016; Zbl 1418.91510) Full Text: DOI
Hin, Lin-Yee; Dokuchaev, Nikolai Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization. (English) Zbl 1433.91175 IMA J. Manag. Math. 27, No. 4, 505-527 (2016). MSC: 91G20 91B70 90C15 PDFBibTeX XMLCite \textit{L.-Y. Hin} and \textit{N. Dokuchaev}, IMA J. Manag. Math. 27, No. 4, 505--527 (2016; Zbl 1433.91175) Full Text: DOI Link
Park, Sang-Hyeon; Lee, Kiseop Insiders’ hedging in a stochastic volatility model. (English) Zbl 1433.91179 IMA J. Manag. Math. 27, No. 2, 281-295 (2016). MSC: 91G20 60H30 91B44 91B70 PDFBibTeX XMLCite \textit{S.-H. Park} and \textit{K. Lee}, IMA J. Manag. Math. 27, No. 2, 281--295 (2016; Zbl 1433.91179) Full Text: DOI
Milidonis, Andreas An empirical investigation of CDS spreads using a regime-switching default risk model. (English) Zbl 1414.91399 N. Am. Actuar. J. 20, No. 3, 252-275 (2016). MSC: 91G40 91G20 62P05 PDFBibTeX XMLCite \textit{A. Milidonis}, N. Am. Actuar. J. 20, No. 3, 252--275 (2016; Zbl 1414.91399) Full Text: DOI Link
Su, Fei; Chan, Kung-Sik Option pricing with threshold diffusion processes. (English) Zbl 1414.91390 N. Am. Actuar. J. 20, No. 2, 133-141 (2016). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{F. Su} and \textit{K.-S. Chan}, N. Am. Actuar. J. 20, No. 2, 133--141 (2016; Zbl 1414.91390) Full Text: DOI
Lin, Jyh-Jiuan; Chen, Shi; Jou, Rosemary Bank lending with capped credit risk, hedging efficiency, and government capital injection. (English) Zbl 1410.91474 Int. J. Inf. Manage. Sci. 27, No. 3, 217-235 (2016). MSC: 91G40 91G20 PDFBibTeX XMLCite \textit{J.-J. Lin} et al., Int. J. Inf. Manage. Sci. 27, No. 3, 217--235 (2016; Zbl 1410.91474) Full Text: DOI
Wenqiong, Liu; Li, Shenghong Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models. (English) Zbl 1410.91466 Appl. Math. Comput. 291, 279-291 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{L. Wenqiong} and \textit{S. Li}, Appl. Math. Comput. 291, 279--291 (2016; Zbl 1410.91466) Full Text: DOI
Zhang, Zhiqiang; Liu, Weiqi; Sheng, Yuhong Valuation of power option for uncertain financial market. (English) Zbl 1410.91467 Appl. Math. Comput. 286, 257-264 (2016). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{Z. Zhang} et al., Appl. Math. Comput. 286, 257--264 (2016; Zbl 1410.91467) Full Text: DOI
Christara, Christina C.; Leung, Nat Chun-Ho Option pricing in jump diffusion models with quadratic spline collocation. (English) Zbl 1410.91440 Appl. Math. Comput. 279, 28-42 (2016). MSC: 91G20 91G60 91G80 65D07 65M70 PDFBibTeX XMLCite \textit{C. C. Christara} and \textit{N. C. H. Leung}, Appl. Math. Comput. 279, 28--42 (2016; Zbl 1410.91440) Full Text: DOI
Cao, Jiling; Lian, Guanghua; Roslan, Teh Raihana Nazirah Pricing variance swaps under stochastic volatility and stochastic interest rate. (English) Zbl 1410.91438 Appl. Math. Comput. 277, 72-81 (2016). MSC: 91G20 60J70 91G70 91G30 PDFBibTeX XMLCite \textit{J. Cao} et al., Appl. Math. Comput. 277, 72--81 (2016; Zbl 1410.91438) Full Text: DOI Link
Olivares, Pablo; Alvarez, Alexander Pricing basket options by polynomial approximations. (English) Zbl 1435.91198 J. Appl. Math. 2016, Article ID 9747394, 12 p. (2016). MSC: 91G60 65T40 91G20 PDFBibTeX XMLCite \textit{P. Olivares} and \textit{A. Alvarez}, J. Appl. Math. 2016, Article ID 9747394, 12 p. (2016; Zbl 1435.91198) Full Text: DOI
Guillaume, Tristan An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve. (English) Zbl 1435.91186 J. Appl. Math. 2016, Article ID 8029750, 14 p. (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{T. Guillaume}, J. Appl. Math. 2016, Article ID 8029750, 14 p. (2016; Zbl 1435.91186) Full Text: DOI
Jeong, Darae; Yoo, Minhyun; Kim, Junseok Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations. (English) Zbl 1422.91703 Discrete Dyn. Nat. Soc. 2016, Article ID 1586786, 12 p. (2016). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{D. Jeong} et al., Discrete Dyn. Nat. Soc. 2016, Article ID 1586786, 12 p. (2016; Zbl 1422.91703) Full Text: DOI
Choi, Sun-Yong; Kim, Jeong-Hoon; Yoon, Ji-Hun The Heston model with stochastic elasticity of variance. (English) Zbl 1420.91454 Appl. Stoch. Models Bus. Ind. 32, No. 6, 804-824 (2016). MSC: 91G20 35Q91 91B70 PDFBibTeX XMLCite \textit{S.-Y. Choi} et al., Appl. Stoch. Models Bus. Ind. 32, No. 6, 804--824 (2016; Zbl 1420.91454) Full Text: DOI
Kim, Jerim; Yoo, Hyun Joo; Kim, Tae-Wan Pricing Asian options of discretely monitored geometric average in the regime-switching model. (English) Zbl 1420.91469 Appl. Stoch. Models Bus. Ind. 32, No. 6, 743-752 (2016). MSC: 91G20 44A10 PDFBibTeX XMLCite \textit{J. Kim} et al., Appl. Stoch. Models Bus. Ind. 32, No. 6, 743--752 (2016; Zbl 1420.91469) Full Text: DOI
Pan, Jian; Xiao, Qingxian A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery. (English) Zbl 1420.91474 Appl. Stoch. Models Bus. Ind. 32, No. 5, 725-739 (2016). MSC: 91G20 91G40 91G80 60K10 35Q91 PDFBibTeX XMLCite \textit{J. Pan} and \textit{Q. Xiao}, Appl. Stoch. Models Bus. Ind. 32, No. 5, 725--739 (2016; Zbl 1420.91474) Full Text: DOI
Bi, Monika; Escobar, Marcos; Goetz, Barbara; Zagst, Rudi Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements. (English) Zbl 1420.91449 Appl. Stoch. Models Bus. Ind. 32, No. 5, 585-606 (2016). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{M. Bi} et al., Appl. Stoch. Models Bus. Ind. 32, No. 5, 585--606 (2016; Zbl 1420.91449) Full Text: DOI
Wang, Chengxiang; Huang, Wenli; Li, Shenghong; Bao, Qunfang Pricing VIX options in a stochastic vol-of-vol model. (English) Zbl 1420.91480 Appl. Stoch. Models Bus. Ind. 32, No. 2, 168-183 (2016). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{C. Wang} et al., Appl. Stoch. Models Bus. Ind. 32, No. 2, 168--183 (2016; Zbl 1420.91480) Full Text: DOI
Shirinpour, Shima; Mehrdoust, Farshid Option pricing under Heston regime-switching diffusion model with jumps. (English) Zbl 1413.91110 Adv. Model. Optim. 18, No. 2, 217-230 (2016). MSC: 91G20 60J75 91B70 PDFBibTeX XMLCite \textit{S. Shirinpour} and \textit{F. Mehrdoust}, Adv. Model. Optim. 18, No. 2, 217--230 (2016; Zbl 1413.91110) Full Text: Link
Takahashi, Akihiko; Yamada, Toshihiro An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach. (English) Zbl 1418.91542 Asia-Pac. Financ. Mark. 23, No. 4, 337-373 (2016). MSC: 91G20 91G80 60H07 60H10 34E05 PDFBibTeX XMLCite \textit{A. Takahashi} and \textit{T. Yamada}, Asia-Pac. Financ. Mark. 23, No. 4, 337--373 (2016; Zbl 1418.91542) Full Text: DOI
Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, Olivier On the price of risk under a regime switching CGMY process. (English) Zbl 1418.91499 Asia-Pac. Financ. Mark. 23, No. 4, 305-335 (2016). MSC: 91G20 60G51 60J20 60G44 PDFBibTeX XMLCite \textit{P. Asiimwe} et al., Asia-Pac. Financ. Mark. 23, No. 4, 305--335 (2016; Zbl 1418.91499) Full Text: DOI Link
Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng Speculative futures trading under mean reversion. (English) Zbl 1418.91521 Asia-Pac. Financ. Mark. 23, No. 4, 281-304 (2016). MSC: 91G20 60G40 60J60 PDFBibTeX XMLCite \textit{T. Leung} et al., Asia-Pac. Financ. Mark. 23, No. 4, 281--304 (2016; Zbl 1418.91521) Full Text: DOI arXiv
Ševčovič, Daniel; Žitňanská, Magdaléna Analysis of the nonlinear option pricing model under variable transaction costs. (English) Zbl 1418.91538 Asia-Pac. Financ. Mark. 23, No. 2, 153-174 (2016). MSC: 91G20 35K55 35Q91 PDFBibTeX XMLCite \textit{D. Ševčovič} and \textit{M. Žitňanská}, Asia-Pac. Financ. Mark. 23, No. 2, 153--174 (2016; Zbl 1418.91538) Full Text: DOI arXiv
Saito, Taiga Pricing foreign exchange options under intervention by absorption modeling. (English) Zbl 1418.91535 Asia-Pac. Financ. Mark. 23, No. 1, 85-106 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{T. Saito}, Asia-Pac. Financ. Mark. 23, No. 1, 85--106 (2016; Zbl 1418.91535) Full Text: DOI
Lindensjö, Kristoffer The end of the month option and other embedded options in futures contracts. (English) Zbl 1457.91382 Asia-Pac. Financ. Mark. 23, No. 1, 69-83 (2016). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{K. Lindensjö}, Asia-Pac. Financ. Mark. 23, No. 1, 69--83 (2016; Zbl 1457.91382) Full Text: DOI
Nakajima, Katsushi; Ohashi, Kazuhiko Commodity spread option with cointegration. (English) Zbl 1418.91529 Asia-Pac. Financ. Mark. 23, No. 1, 1-44 (2016). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{K. Nakajima} and \textit{K. Ohashi}, Asia-Pac. Financ. Mark. 23, No. 1, 1--44 (2016; Zbl 1418.91529) Full Text: DOI
Essaky, El Hassan; Hassani, M. BSDE approach for Dynkin game and American game option. (English) Zbl 1418.91063 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer. Springer Proc. Math. Stat. 158, 211-225 (2016). MSC: 91A15 60H10 91G20 60G40 PDFBibTeX XMLCite \textit{E. H. Essaky} and \textit{M. Hassani}, Springer Proc. Math. Stat. 158, 211--225 (2016; Zbl 1418.91063) Full Text: DOI
Vives, Josep Decomposition of the pricing formula for stochastic volatility models based on Malliavin-Skorohod type calculus. (English) Zbl 1418.91545 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer. Springer Proc. Math. Stat. 158, 103-123 (2016). MSC: 91G20 60H07 60J75 PDFBibTeX XMLCite \textit{J. Vives}, Springer Proc. Math. Stat. 158, 103--123 (2016; Zbl 1418.91545) Full Text: DOI
Viens, Frederi A didactic introduction to risk management via hedging in discrete and continuous time. (English) Zbl 1418.91544 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer. Springer Proc. Math. Stat. 158, 3-37 (2016). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{F. Viens}, Springer Proc. Math. Stat. 158, 3--37 (2016; Zbl 1418.91544) Full Text: DOI
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen Pricing options in a Markov regime switching model with a random acceleration for the volatility. (English) Zbl 1418.91509 IMA J. Appl. Math. 81, No. 5, 842-859 (2016). MSC: 91G20 60J28 91G60 65C05 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., IMA J. Appl. Math. 81, No. 5, 842--859 (2016; Zbl 1418.91509) Full Text: DOI Link
Schmidt, Matthias Pricing and liquidity of complex and structured derivatives. Deviation of a risk benchmark based on credit and option market data. (English) Zbl 1402.91006 SpringerBriefs in Finance. Cham: Springer (ISBN 978-3-319-45969-1/pbk; 978-3-319-45970-7/ebook). xvii, 114 p. (2016). MSC: 91-02 91G40 91G20 PDFBibTeX XMLCite \textit{M. Schmidt}, Pricing and liquidity of complex and structured derivatives. Deviation of a risk benchmark based on credit and option market data. Cham: Springer (2016; Zbl 1402.91006) Full Text: DOI
Lin, Tse-Chun; Lu, Xiaolong How do short-sale costs affect put options trading? Evidence from separating hedging and speculative shorting demands. (English) Zbl 1402.91801 Rev. Finance 20, No. 5, 1911-1943 (2016). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{T.-C. Lin} and \textit{X. Lu}, Rev. Finance 20, No. 5, 1911--1943 (2016; Zbl 1402.91801) Full Text: DOI
Füss, Roland; Gehrig, Thomas; Rindler, Philipp B. Changing risk perception and the time-varying price of risk. (English) Zbl 1402.91780 Rev. Finance 20, No. 4, 1549-1585 (2016). MSC: 91G20 91G40 62P05 PDFBibTeX XMLCite \textit{R. Füss} et al., Rev. Finance 20, No. 4, 1549--1585 (2016; Zbl 1402.91780) Full Text: DOI Link
Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. Pricing deflation risk with US treasury yields. (English) Zbl 1402.91766 Rev. Finance 20, No. 3, 1107-1152 (2016). MSC: 91G20 91G30 62P05 PDFBibTeX XMLCite \textit{J. H. E. Christensen} et al., Rev. Finance 20, No. 3, 1107--1152 (2016; Zbl 1402.91766) Full Text: DOI Link
Filipović, Damir; Trolle, Anders B. Fed funds futures variance futures. (English) Zbl 1400.91588 Quant. Finance 16, No. 9, 1413-1422 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{D. Filipović} and \textit{A. B. Trolle}, Quant. Finance 16, No. 9, 1413--1422 (2016; Zbl 1400.91588) Full Text: DOI
Zeng, Pingping; Kwok, Yue Kuen Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. (English) Zbl 1400.91623 Quant. Finance 16, No. 9, 1375-1391 (2016). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{P. Zeng} and \textit{Y. K. Kwok}, Quant. Finance 16, No. 9, 1375--1391 (2016; Zbl 1400.91623) Full Text: DOI
Leung, Tim; Lorig, Matthew Optimal static quadratic hedging. (English) Zbl 1400.91599 Quant. Finance 16, No. 9, 1341-1355 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{T. Leung} and \textit{M. Lorig}, Quant. Finance 16, No. 9, 1341--1355 (2016; Zbl 1400.91599) Full Text: DOI arXiv
Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance. (English) Zbl 1400.60104 Physica A 463, 330-344 (2016). MSC: 60J65 91G60 91G80 PDFBibTeX XMLCite \textit{L. V. Ballestra} et al., Physica A 463, 330--344 (2016; Zbl 1400.60104) Full Text: DOI
Slim, Skander On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis. (English) Zbl 1400.91668 Physica A 463, 63-76 (2016). MSC: 91G20 60J75 62P05 91B70 PDFBibTeX XMLCite \textit{S. Slim}, Physica A 463, 63--76 (2016; Zbl 1400.91668) Full Text: DOI
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. The stochastic string model as a unifying theory of the term structure of interest rates. (English) Zbl 1400.91629 Physica A 461, 217-237 (2016). MSC: 91G30 91G20 60H30 62H25 62P05 PDFBibTeX XMLCite \textit{A. Bueno-Guerrero} et al., Physica A 461, 217--237 (2016; Zbl 1400.91629) Full Text: DOI
Bustamante, M.; Contreras, M. Multi-asset Black-Scholes model as a variable second class constrained dynamical system. (English) Zbl 1400.91582 Physica A 457, 540-572 (2016). MSC: 91G20 91G80 91B80 81S40 PDFBibTeX XMLCite \textit{M. Bustamante} and \textit{M. Contreras}, Physica A 457, 540--572 (2016; Zbl 1400.91582) Full Text: DOI
Gong, Xiaoli; Zhuang, Xintian Option pricing for stochastic volatility model with infinite activity Lévy jumps. (English) Zbl 1400.91592 Physica A 455, 1-10 (2016). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{X. Gong} and \textit{X. Zhuang}, Physica A 455, 1--10 (2016; Zbl 1400.91592) Full Text: DOI
Yu, Jianfeng; Xu, Weidong Pricing turbo warrants under mixed-exponential jump diffusion model. (English) Zbl 1400.91622 Physica A 451, 490-501 (2016). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{J. Yu} and \textit{W. Xu}, Physica A 451, 490--501 (2016; Zbl 1400.91622) Full Text: DOI
Hattori, Masayuki; Abe, Sumiyoshi Path probability of stochastic motion: a functional approach. (English) Zbl 1400.60047 Physica A 451, 198-204 (2016). MSC: 60G17 60J60 82B41 91G20 PDFBibTeX XMLCite \textit{M. Hattori} and \textit{S. Abe}, Physica A 451, 198--204 (2016; Zbl 1400.60047) Full Text: DOI arXiv
Chen, Wenting; Yan, Bowen; Lian, Guanghua; Zhang, Ying Numerically pricing American options under the generalized mixed fractional Brownian motion model. (English) Zbl 1400.91650 Physica A 451, 180-189 (2016). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{W. Chen} et al., Physica A 451, 180--189 (2016; Zbl 1400.91650) Full Text: DOI
Kleinert, H.; Korbel, J. Option pricing beyond Black-Scholes based on double-fractional diffusion. (English) Zbl 1400.91666 Physica A 449, 200-214 (2016). MSC: 91G20 60G22 60J60 60H30 PDFBibTeX XMLCite \textit{H. Kleinert} and \textit{J. Korbel}, Physica A 449, 200--214 (2016; Zbl 1400.91666) Full Text: DOI arXiv
Lv, Longjin; Xiao, Jianbin; Fan, Liangzhong; Ren, Fuyao Correlated continuous time random walk and option pricing. (English) Zbl 1400.91601 Physica A 447, 100-107 (2016). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{L. Lv} et al., Physica A 447, 100--107 (2016; Zbl 1400.91601) Full Text: DOI
Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara Option pricing under deformed Gaussian distributions. (English) Zbl 1400.91605 Physica A 446, 246-263 (2016). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{E. Moretto} et al., Physica A 446, 246--263 (2016; Zbl 1400.91605) Full Text: DOI
Prakasa Rao, B. L. S. Pricing geometric Asian power options under mixed fractional Brownian motion environment. (English) Zbl 1400.91607 Physica A 446, 92-99 (2016). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{B. L. S. Prakasa Rao}, Physica A 446, 92--99 (2016; Zbl 1400.91607) Full Text: DOI
Karagiannis, N.; Assa, H.; Pantelous, A. A.; Turvey, C. G. Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application. (English) Zbl 1400.91597 Quant. Finance 16, No. 12, 1949-1959 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{N. Karagiannis} et al., Quant. Finance 16, No. 12, 1949--1959 (2016; Zbl 1400.91597) Full Text: DOI Link
Stasinakis, Charalampos; Sermpinis, Georgios; Psaradellis, Ioannis; Verousis, Thanos Krill-herd support vector regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities. (English) Zbl 1400.91611 Quant. Finance 16, No. 12, 1901-1915 (2016). MSC: 91G20 91-04 PDFBibTeX XMLCite \textit{C. Stasinakis} et al., Quant. Finance 16, No. 12, 1901--1915 (2016; Zbl 1400.91611) Full Text: DOI Link
Tsvetanov, Daniel; Coakley, Jerry; Kellard, Neil Is news related to GDP growth a risk factor for commodity futures returns? (English) Zbl 1400.91615 Quant. Finance 16, No. 12, 1887-1899 (2016). MSC: 91G20 91B82 PDFBibTeX XMLCite \textit{D. Tsvetanov} et al., Quant. Finance 16, No. 12, 1887--1899 (2016; Zbl 1400.91615) Full Text: DOI Link