De Domenico, Federica; Livan, Giacomo; Montagna, Guido; Nicrosini, Oreste Modeling and simulation of financial returns under non-Gaussian distributions. (English) Zbl 07695482 Physica A 622, Article ID 128886, 19 p. (2023). MSC: 82-XX PDFBibTeX XMLCite \textit{F. De Domenico} et al., Physica A 622, Article ID 128886, 19 p. (2023; Zbl 07695482) Full Text: DOI arXiv
Kato, Kensuke; Nakamura, Nobuhiro Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy. (English) Zbl 1508.91563 Physica A 612, Article ID 128489, 24 p. (2023). MSC: 91G20 91G40 62P05 91G60 65L99 PDFBibTeX XMLCite \textit{K. Kato} and \textit{N. Nakamura}, Physica A 612, Article ID 128489, 24 p. (2023; Zbl 1508.91563) Full Text: DOI
Contreras G., Mauricio Endogenous stochastic arbitrage bubbles and the Black-Scholes model. (English) Zbl 07482476 Physica A 583, Article ID 126323, 16 p. (2021). MSC: 82-XX PDFBibTeX XMLCite \textit{M. Contreras G.}, Physica A 583, Article ID 126323, 16 p. (2021; Zbl 07482476) Full Text: DOI arXiv
Capuozzo, Pietro; Panella, Emanuele; Schettini Gherardini, Tancredi; Vvedensky, Dimitri D. Path integral Monte Carlo method for option pricing. (English) Zbl 1492.91419 Physica A 581, Article ID 126231, 12 p. (2021). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{P. Capuozzo} et al., Physica A 581, Article ID 126231, 12 p. (2021; Zbl 1492.91419) Full Text: DOI
Araneda, Axel A.; Bertschinger, Nils The sub-fractional CEV model. (English) Zbl 1527.60029 Physica A 573, Article ID 125974, 9 p. (2021). MSC: 60G22 91G20 91G30 PDFBibTeX XMLCite \textit{A. A. Araneda} and \textit{N. Bertschinger}, Physica A 573, Article ID 125974, 9 p. (2021; Zbl 1527.60029) Full Text: DOI arXiv
Xu, De-xuan; Yang, Ben-zhang; Kang, Jian-hao; Huang, Nan-jing Variance and volatility swaps valuations with the stochastic liquidity risk. (English) Zbl 1527.91171 Physica A 566, Article ID 125679, 20 p. (2021). MSC: 91G30 60H30 91G20 PDFBibTeX XMLCite \textit{D.-x. Xu} et al., Physica A 566, Article ID 125679, 20 p. (2021; Zbl 1527.91171) Full Text: DOI
Tong, Zhigang; Liu, Allen A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing. (English) Zbl 1527.60063 Physica A 566, Article ID 125619, 13 p. (2021). MSC: 60J70 91G20 PDFBibTeX XMLCite \textit{Z. Tong} and \textit{A. Liu}, Physica A 566, Article ID 125619, 13 p. (2021; Zbl 1527.60063) Full Text: DOI
Lin, Zhongguo; Han, Liyan; Li, Wei Option replication with transaction cost under Knightian uncertainty. (English) Zbl 1519.91265 Physica A 567, Article ID 125680, 10 p. (2021). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{Z. Lin} et al., Physica A 567, Article ID 125680, 10 p. (2021; Zbl 1519.91265) Full Text: DOI
Dastranj, Elham; Fard, Hossein Sahebi; Abdolbaghi, Abdolmajid; Reza Hejazi, S. Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market). (English) Zbl 07571808 Physica A 537, Article ID 122690, 11 p. (2020). MSC: 82-XX PDFBibTeX XMLCite \textit{E. Dastranj} et al., Physica A 537, Article ID 122690, 11 p. (2020; Zbl 07571808) Full Text: DOI
Alghalith, Moawia Pricing the American options: a closed-form, simple formula. (English) Zbl 1490.91202 Physica A 548, Article ID 123873, 4 p. (2020). MSC: 91G20 35Q91 60G40 PDFBibTeX XMLCite \textit{M. Alghalith}, Physica A 548, Article ID 123873, 4 p. (2020; Zbl 1490.91202) Full Text: DOI
Ahmadian, D.; Ballestra, L. V. Pricing geometric Asian rainbow options under the mixed fractional Brownian motion. (English) Zbl 1498.91490 Physica A 555, Article ID 124458, 14 p. (2020). MSC: 91G60 35Q91 91G30 PDFBibTeX XMLCite \textit{D. Ahmadian} and \textit{L. V. Ballestra}, Physica A 555, Article ID 124458, 14 p. (2020; Zbl 1498.91490) Full Text: DOI
Baaquie, Belal Ehsan Merton’s equation and the quantum oscillator: pricing risky corporate coupon bonds. (English) Zbl 1492.91365 Physica A 541, Article ID 123367, 23 p. (2020). MSC: 91G20 81Q30 91G80 PDFBibTeX XMLCite \textit{B. E. Baaquie}, Physica A 541, Article ID 123367, 23 p. (2020; Zbl 1492.91365) Full Text: DOI
Jena, Rajarama Mohan; Chakraverty, Snehashish; Baleanu, Dumitru A novel analytical technique for the solution of time-fractional Ivancevic option pricing model. (English) Zbl 1492.91376 Physica A 550, Article ID 124380, 10 p. (2020). MSC: 91G20 91G60 65M06 35R11 PDFBibTeX XMLCite \textit{R. M. Jena} et al., Physica A 550, Article ID 124380, 10 p. (2020; Zbl 1492.91376) Full Text: DOI
Contreras, M.; Echeverría, J.; Peña, J. P.; Villena, M. Resonance phenomena in option pricing with arbitrage. (English) Zbl 1492.91370 Physica A 540, Article ID 123238, 21 p. (2020). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{M. Contreras} et al., Physica A 540, Article ID 123238, 21 p. (2020; Zbl 1492.91370) Full Text: DOI
Alghalith, Moawia Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods. (English) Zbl 07457965 Physica A 540, Article ID 123100, 4 p. (2020). MSC: 82-XX PDFBibTeX XMLCite \textit{M. Alghalith}, Physica A 540, Article ID 123100, 4 p. (2020; Zbl 07457965) Full Text: DOI
Kang, Jian-hao; Yang, Ben-zhang; Huang, Nan-jing Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility. (English) Zbl 07570934 Physica A 532, Article ID 121871, 14 p. (2019). MSC: 82-XX 91G30 91G20 91B70 PDFBibTeX XMLCite \textit{J.-h. Kang} et al., Physica A 532, Article ID 121871, 14 p. (2019; Zbl 07570934) Full Text: DOI
Baaquie, Belal Ehsan Merton’s equation and the quantum oscillator. II: Option pricing. (English) Zbl 07570913 Physica A 532, Article ID 121792, 12 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{B. E. Baaquie}, Physica A 532, Article ID 121792, 12 p. (2019; Zbl 07570913) Full Text: DOI
Jin, Ting; Sun, Yun; Zhu, Yuanguo Extreme values for solution to uncertain fractional differential equation and application to American option pricing model. (English) Zbl 07570718 Physica A 534, Article ID 122357, 13 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{T. Jin} et al., Physica A 534, Article ID 122357, 13 p. (2019; Zbl 07570718) Full Text: DOI
Tudor, Sebastian F.; Chatterjee, Rupak; Nguyen, Lac; Huang, Yuping Quantum systems for Monte Carlo methods and applications to fractional stochastic processes. (English) Zbl 07570634 Physica A 534, Article ID 121901, 16 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{S. F. Tudor} et al., Physica A 534, Article ID 121901, 16 p. (2019; Zbl 07570634) Full Text: DOI arXiv
Dubey, Ved Prakash; Kumar, Rajnesh; Kumar, Devendra A reliable treatment of residual power series method for time-fractional Black-Scholes European option pricing equations. (English) Zbl 07570036 Physica A 533, Article ID 122040, 15 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{V. P. Dubey} et al., Physica A 533, Article ID 122040, 15 p. (2019; Zbl 07570036) Full Text: DOI
Uchiyama, Yusuke; Kadoya, Takanori Superstatistics with cut-off tails for financial time series. (English) Zbl 07566418 Physica A 526, Article ID 120930, 9 p. (2019). MSC: 82-XX PDFBibTeX XMLCite \textit{Y. Uchiyama} and \textit{T. Kadoya}, Physica A 526, Article ID 120930, 9 p. (2019; Zbl 07566418) Full Text: DOI arXiv
Gao, Rui; Li, Yaqiong; Lin, Lisha Bayesian statistical inference for European options with stock liquidity. (English) Zbl 1514.62205 Physica A 518, 312-322 (2019). MSC: 62P05 62F15 91G60 PDFBibTeX XMLCite \textit{R. Gao} et al., Physica A 518, 312--322 (2019; Zbl 1514.62205) Full Text: DOI
Paolinelli, Giovanni; Arioli, Gianni A path integral based model for stocks and order dynamics. (English) Zbl 1514.91189 Physica A 510, 387-399 (2018). MSC: 91G20 60H30 91G80 91B80 PDFBibTeX XMLCite \textit{G. Paolinelli} and \textit{G. Arioli}, Physica A 510, 387--399 (2018; Zbl 1514.91189) Full Text: DOI arXiv
Coppola, Mariarosaria; D’Amato, Valeria; Levantesi, Susanna An option pricing approach for measuring solvency capital requirements in insurance industry. (English) Zbl 1494.91155 Physica A 509, 717-728 (2018). MSC: 91G20 91G05 PDFBibTeX XMLCite \textit{M. Coppola} et al., Physica A 509, 717--728 (2018; Zbl 1494.91155) Full Text: DOI
Alghalith, Moawia Pricing the American options using the Black-Scholes pricing formula. (English) Zbl 1490.91203 Physica A 507, 443-445 (2018). MSC: 91G20 35Q91 60G40 PDFBibTeX XMLCite \textit{M. Alghalith}, Physica A 507, 443--445 (2018; Zbl 1490.91203) Full Text: DOI
Li, Zhe; Zhang, Wei-Guo; Liu, Yong-Jun Analytical valuation for geometric Asian options in illiquid markets. (English) Zbl 1494.91159 Physica A 507, 175-191 (2018). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{Z. Li} et al., Physica A 507, 175--191 (2018; Zbl 1494.91159) Full Text: DOI
Khalique, Chaudry Masood; Motsepa, Tanki Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance. (English) Zbl 1514.91187 Physica A 505, 871-879 (2018). MSC: 91G20 35A30 35K10 35Q91 PDFBibTeX XMLCite \textit{C. M. Khalique} and \textit{T. Motsepa}, Physica A 505, 871--879 (2018; Zbl 1514.91187) Full Text: DOI
Shafi, Khuram; Latif, Natasha; Shad, Shafqat Ali; Idrees, Zahra; Gulzar, Saqib Estimating option Greeks under the stochastic volatility using simulation. (English) Zbl 1494.91163 Physica A 503, 1288-1296 (2018). MSC: 91G20 PDFBibTeX XMLCite \textit{K. Shafi} et al., Physica A 503, 1288--1296 (2018; Zbl 1494.91163) Full Text: DOI
Bonart, Julius; Lillo, Fabrizio A continuous and efficient fundamental price on the discrete order book grid. (English) Zbl 1514.91186 Physica A 503, 698-713 (2018). MSC: 91G20 62P05 91G10 PDFBibTeX XMLCite \textit{J. Bonart} and \textit{F. Lillo}, Physica A 503, 698--713 (2018; Zbl 1514.91186) Full Text: DOI arXiv
Laskin, Nick Valuing options in shot noise market. (English) Zbl 1498.91451 Physica A 502, 518-533 (2018). Reviewer: Paweł Kliber (Poznan) MSC: 91G20 45K05 35J08 60J70 PDFBibTeX XMLCite \textit{N. Laskin}, Physica A 502, 518--533 (2018; Zbl 1498.91451) Full Text: DOI
Xie, Haibin; Wang, Shouyang; Lu, Zudi The behavioral implications of the bilateral gamma process. (English) Zbl 1514.91191 Physica A 500, 259-264 (2018). MSC: 91G20 91G30 60G51 PDFBibTeX XMLCite \textit{H. Xie} et al., Physica A 500, 259--264 (2018; Zbl 1514.91191) Full Text: DOI
Gong, Pu; Zou, Dong; Wang, Jiayue Pricing and simulation for real estate index options: radial basis point interpolation. (English) Zbl 1494.91156 Physica A 500, 177-188 (2018). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{P. Gong} et al., Physica A 500, 177--188 (2018; Zbl 1494.91156) Full Text: DOI
Sosa-Correa, William O.; Ramos, Antônio M. T.; Vasconcelos, Giovani L. Investigation of non-Gaussian effects in the Brazilian option market. (English) Zbl 1493.91128 Physica A 496, 525-539 (2018). MSC: 91G20 PDFBibTeX XMLCite \textit{W. O. Sosa-Correa} et al., Physica A 496, 525--539 (2018; Zbl 1493.91128) Full Text: DOI
Lin, Lisha; Li, Yaqiong; Wu, Jing The pricing of European options on two underlying assets with delays. (English) Zbl 1493.91146 Physica A 495, 143-151 (2018). MSC: 91G60 65C30 91G20 PDFBibTeX XMLCite \textit{L. Lin} et al., Physica A 495, 143--151 (2018; Zbl 1493.91146) Full Text: DOI
Ma, Chao; Ma, Qinghua; Yao, Haixiang; Hou, Tiancheng An accurate European option pricing model under fractional stable process based on Feynman path integral. (English) Zbl 1493.91127 Physica A 494, 87-117 (2018). MSC: 91G20 46T12 60G22 PDFBibTeX XMLCite \textit{C. Ma} et al., Physica A 494, 87--117 (2018; Zbl 1493.91127) Full Text: DOI
Wang, Lu; Zhang, Rong; Yang, Lin; Su, Yang; Ma, Feng Pricing geometric Asian rainbow options under fractional Brownian motion. (English) Zbl 1493.91129 Physica A 494, 8-16 (2018). MSC: 91G20 60G22 35Q91 PDFBibTeX XMLCite \textit{L. Wang} et al., Physica A 494, 8--16 (2018; Zbl 1493.91129) Full Text: DOI
Lima, L. S.; Miranda, L. L. B. Price dynamics of the financial markets using the stochastic differential equation for a potential double well. (English) Zbl 1514.91188 Physica A 490, 828-833 (2018). MSC: 91G20 60H10 PDFBibTeX XMLCite \textit{L. S. Lima} and \textit{L. L. B. Miranda}, Physica A 490, 828--833 (2018; Zbl 1514.91188) Full Text: DOI
Zhang, Wei-Guo; Li, Zhe; Liu, Yong-Jun Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion. (English) Zbl 1493.91130 Physica A 490, 402-418 (2018). MSC: 91G20 60G22 35Q91 PDFBibTeX XMLCite \textit{W.-G. Zhang} et al., Physica A 490, 402--418 (2018; Zbl 1493.91130) Full Text: DOI
Wu, Songtao; He, Jianmin; Li, Shouwei Effects of fundamentals acquisition and strategy switch on stock price dynamics. (English) Zbl 1514.91190 Physica A 491, 799-809 (2018). MSC: 91G20 91G30 91B62 PDFBibTeX XMLCite \textit{S. Wu} et al., Physica A 491, 799--809 (2018; Zbl 1514.91190) Full Text: DOI
Kim, Namhyoung; Lee, Younhee Estimation and prediction under local volatility jump-diffusion model. (English) Zbl 1514.91206 Physica A 491, 729-740 (2018). MSC: 91G70 62P05 91G20 PDFBibTeX XMLCite \textit{N. Kim} and \textit{Y. Lee}, Physica A 491, 729--740 (2018; Zbl 1514.91206) Full Text: DOI
Chen, Wenting; Du, Kai; Qiu, Xinzi Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives. (English) Zbl 1493.91124 Physica A 491, 37-44 (2018). MSC: 91G20 60G40 35R11 PDFBibTeX XMLCite \textit{W. Chen} et al., Physica A 491, 37--44 (2018; Zbl 1493.91124) Full Text: DOI arXiv
Baaquie, Belal E.; Yu, Miao Statistical field theory of futures commodity prices. (English) Zbl 1515.91152 Physica A 492, 250-264 (2018). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{B. E. Baaquie} and \textit{M. Yu}, Physica A 492, 250--264 (2018; Zbl 1515.91152) Full Text: DOI
Wang, Guanying; Wang, Xingchun; Zhou, Ke Pricing vulnerable options with stochastic volatility. (English) Zbl 1497.91313 Physica A 485, 91-103 (2017). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{G. Wang} et al., Physica A 485, 91--103 (2017; Zbl 1497.91313) Full Text: DOI
Gong, Xiaoli; Zhuang, Xintian Pricing foreign equity option under stochastic volatility tempered stable Lévy processes. (English) Zbl 1493.91126 Physica A 483, 83-93 (2017). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{X. Gong} and \textit{X. Zhuang}, Physica A 483, 83--93 (2017; Zbl 1493.91126) Full Text: DOI
Gong, Pu; Dai, Jun Pricing real estate index options under stochastic interest rates. (English) Zbl 1492.91424 Physica A 479, 309-323 (2017). MSC: 91G60 65M06 91G20 91G30 PDFBibTeX XMLCite \textit{P. Gong} and \textit{J. Dai}, Physica A 479, 309--323 (2017; Zbl 1492.91424) Full Text: DOI
Zhang, Kun; Liu, Jing; Wang, Erkang; Wang, Jin Quantifying risks with exact analytical solutions of derivative pricing distribution. (English) Zbl 1400.91625 Physica A 471, 757-766 (2017). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{K. Zhang} et al., Physica A 471, 757--766 (2017; Zbl 1400.91625) Full Text: DOI
Baaquie, Belal E.; Yu, Miao Option price and market instability. (English) Zbl 1400.91576 Physica A 471, 512-535 (2017). MSC: 91G20 PDFBibTeX XMLCite \textit{B. E. Baaquie} and \textit{M. Yu}, Physica A 471, 512--535 (2017; Zbl 1400.91576) Full Text: DOI
Wang, Xiao-Tian; Li, Zhe; Zhuang, Le European option pricing under the Student’s \(t\) noise with jumps. (English) Zbl 1400.91619 Physica A 469, 848-858 (2017). MSC: 91G20 91G70 91G60 PDFBibTeX XMLCite \textit{X.-T. Wang} et al., Physica A 469, 848--858 (2017; Zbl 1400.91619) Full Text: DOI
Chen, Wenting; He, Xinjiang Pricing credit default swaps under a multi-scale stochastic volatility model. (English) Zbl 1400.91584 Physica A 468, 425-433 (2017). MSC: 91G20 91G40 91G70 PDFBibTeX XMLCite \textit{W. Chen} and \textit{X. He}, Physica A 468, 425--433 (2017; Zbl 1400.91584) Full Text: DOI Link
Gong, Xiaoli; Zhuang, Xintian American option valuation under time changed tempered stable Lévy processes. (English) Zbl 1400.91593 Physica A 466, 57-68 (2017). MSC: 91G20 60G51 90C59 PDFBibTeX XMLCite \textit{X. Gong} and \textit{X. Zhuang}, Physica A 466, 57--68 (2017; Zbl 1400.91593) Full Text: DOI
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
Rashidi Ranjbar, Hedieh; Seifi, Abbas A path-independent method for barrier option pricing in hidden Markov models. (English) Zbl 1400.91608 Physica A 440, 1-8 (2015). MSC: 91G20 91G60 65C05 PDFBibTeX XMLCite \textit{H. Rashidi Ranjbar} and \textit{A. Seifi}, Physica A 440, 1--8 (2015; Zbl 1400.91608) Full Text: DOI
Sun, Qi; Xu, Weidong Pricing foreign equity option with stochastic volatility. (English) Zbl 1400.91612 Physica A 437, 89-100 (2015). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{Q. Sun} and \textit{W. Xu}, Physica A 437, 89--100 (2015; Zbl 1400.91612) Full Text: DOI
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. Stochastic string models with continuous semimartingales. (English) Zbl 1400.91580 Physica A 433, 229-246 (2015). MSC: 91G20 91G80 60G48 91G30 PDFBibTeX XMLCite \textit{A. Bueno-Guerrero} et al., Physica A 433, 229--246 (2015; Zbl 1400.91580) Full Text: DOI
Wang, Xiao-Tian; Zhao, Zhong-Feng; Fang, Xiao-Fen Option pricing and portfolio hedging under the mixed hedging strategy. (English) Zbl 1400.91620 Physica A 424, 194-206 (2015). MSC: 91G20 PDFBibTeX XMLCite \textit{X.-T. Wang} et al., Physica A 424, 194--206 (2015; Zbl 1400.91620) Full Text: DOI
Cassagnes, Aurelien; Chen, Yu; Ohashi, Hirotada Path integral pricing of wasabi option in the Black-Scholes model. (English) Zbl 1402.91760 Physica A 413, 1-10 (2014). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{A. Cassagnes} et al., Physica A 413, 1--10 (2014; Zbl 1402.91760) Full Text: DOI
Preda, Vasile; Dedu, Silvia; Sheraz, Muhammad New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models. (English) Zbl 1402.91834 Physica A 407, 350-359 (2014). MSC: 91G30 91G20 60G42 60K15 91B80 PDFBibTeX XMLCite \textit{V. Preda} et al., Physica A 407, 350--359 (2014; Zbl 1402.91834) Full Text: DOI
Guo, Zhidong; Yuan, Hongjun Pricing european option under the time-changed mixed Brownian-fractional Brownian model. (English) Zbl 1402.91786 Physica A 406, 73-79 (2014). MSC: 91G20 60G22 60H30 PDFBibTeX XMLCite \textit{Z. Guo} and \textit{H. Yuan}, Physica A 406, 73--79 (2014; Zbl 1402.91786) Full Text: DOI
Contreras G., Mauricio Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems. (English) Zbl 1402.91531 Physica A 405, 289-302 (2014). MSC: 91B70 91G70 35Q91 35Q84 81S40 PDFBibTeX XMLCite \textit{M. Contreras G.}, Physica A 405, 289--302 (2014; Zbl 1402.91531) Full Text: DOI
He, Xinjiang; Chen, Wenting The pricing of credit default swaps under a generalized mixed fractional Brownian motion. (English) Zbl 1402.91847 Physica A 404, 26-33 (2014). MSC: 91G40 91G20 91G70 PDFBibTeX XMLCite \textit{X. He} and \textit{W. Chen}, Physica A 404, 26--33 (2014; Zbl 1402.91847) Full Text: DOI Link
Baaquie, Belal E.; Du, Xin; Tang, Pan; Cao, Yang Pricing of range accrual swap in the quantum finance Libor market model. (English) Zbl 1402.91749 Physica A 401, 182-200 (2014). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{B. E. Baaquie} et al., Physica A 401, 182--200 (2014; Zbl 1402.91749) Full Text: DOI
Xiao, Weilin; Zhang, Weiguo; Zhang, Xili; Chen, Xiaoyan The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate. (English) Zbl 1402.91821 Physica A 394, 320-337 (2014). MSC: 91G20 91G30 60H30 62P05 PDFBibTeX XMLCite \textit{W. Xiao} et al., Physica A 394, 320--337 (2014; Zbl 1402.91821) Full Text: DOI
Cassagnes, Aurelien; Chen, Yu; Ohashi, Hirotada Path integral pricing of outside barrier Asian options. (English) Zbl 1402.91759 Physica A 394, 266-276 (2014). MSC: 91G20 91B80 81S40 PDFBibTeX XMLCite \textit{A. Cassagnes} et al., Physica A 394, 266--276 (2014; Zbl 1402.91759) Full Text: DOI
Contreras, Mauricio; Hojman, Sergio A. Option pricing, stochastic volatility, singular dynamics and constrained path integrals. (English) Zbl 1402.91768 Physica A 393, 391-403 (2014). MSC: 91G20 91G70 91B70 PDFBibTeX XMLCite \textit{M. Contreras} and \textit{S. A. Hojman}, Physica A 393, 391--403 (2014; Zbl 1402.91768) Full Text: DOI
Sun, Lin Pricing currency options in the mixed fractional Brownian motion. (English) Zbl 1402.91816 Physica A 392, No. 16, 3441-3458 (2013). MSC: 91G20 60G22 60H30 PDFBibTeX XMLCite \textit{L. Sun}, Physica A 392, No. 16, 3441--3458 (2013; Zbl 1402.91816) Full Text: DOI
Stutzer, Michael Optimal hedging via large deviation. (English) Zbl 1402.91814 Physica A 392, No. 15, 3177-3182 (2013). MSC: 91G20 91G80 91B80 PDFBibTeX XMLCite \textit{M. Stutzer}, Physica A 392, No. 15, 3177--3182 (2013; Zbl 1402.91814) Full Text: DOI
Tapiero, Oren J. A maximum (non-extensive) entropy approach to equity options bid-ask spread. (English) Zbl 1402.91817 Physica A 392, No. 14, 3051-3060 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{O. J. Tapiero}, Physica A 392, No. 14, 3051--3060 (2013; Zbl 1402.91817) Full Text: DOI
McCauley, Joseph L.; Gunaratne, Gemunu H. An empirical model of volatility of returns and option pricing. (English) Zbl 1056.91024 Physica A 329, No. 1-2, 178-198 (2003). MSC: 91G20 91B70 91B80 PDFBibTeX XMLCite \textit{J. L. McCauley} and \textit{G. H. Gunaratne}, Physica A 329, No. 1--2, 178--198 (2003; Zbl 1056.91024) Full Text: DOI
McCauley, Joseph L.; Gunaratne, Gemunu H. On CAPM and Black-Scholes differing risk-return strategies. (English) Zbl 1056.91033 Physica A 329, No. 1-2, 170-177 (2003). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{J. L. McCauley} and \textit{G. H. Gunaratne}, Physica A 329, No. 1--2, 170--177 (2003; Zbl 1056.91033) Full Text: DOI
Montagna, Guido; Nicrosini, Oreste; Moreni, Nicola A path integral way to option pricing. (English) Zbl 0995.91015 Physica A 310, No. 3-4, 450-466 (2002). MSC: 91G20 PDFBibTeX XMLCite \textit{G. Montagna} et al., Physica A 310, No. 3--4, 450--466 (2002; Zbl 0995.91015) Full Text: DOI arXiv
Perelló, Josep; Masoliver, Jaume The effect of non-ideal market conditions on option pricing. (English) Zbl 0995.91019 Physica A 308, No. 1-4, 420-442 (2002). MSC: 91G20 91B70 91B80 PDFBibTeX XMLCite \textit{J. Perelló} and \textit{J. Masoliver}, Physica A 308, No. 1--4, 420--442 (2002; Zbl 0995.91019) Full Text: DOI arXiv
Haven, Emmanuel E. A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting. (English) Zbl 0992.91043 Physica A 304, No. 3-4, 507-524 (2002). MSC: 91G20 81P99 PDFBibTeX XMLCite \textit{E. E. Haven}, Physica A 304, No. 3--4, 507--524 (2002; Zbl 0992.91043) Full Text: DOI
Otto, Matthias Finite arbitrage times and the volatility smile? (English) Zbl 0997.91029 Physica A 299, No. 1-2, 299-304 (2001). MSC: 91B28 60G50 PDFBibTeX XMLCite \textit{M. Otto}, Physica A 299, No. 1--2, 299--304 (2001; Zbl 0997.91029) Full Text: DOI
Galeeva, R. Binomial trees as dynamical systems. (English) Zbl 0972.91048 Physica A 292, No. 1-4, 519-535 (2001). MSC: 91B24 37N40 PDFBibTeX XMLCite \textit{R. Galeeva}, Physica A 292, No. 1--4, 519--535 (2001; Zbl 0972.91048) Full Text: DOI
Potters, M.; Bouchaud, J.-P.; Sestovic, D. Hedged Monte-Carlo: low variance derivative pricing with objective probabilities. (English) Zbl 0971.91503 Physica A 289, No. 3-4, 517-525 (2001). MSC: 91G20 91B84 PDFBibTeX XMLCite \textit{M. Potters} et al., Physica A 289, No. 3--4, 517--525 (2001; Zbl 0971.91503) Full Text: DOI arXiv
Bouchaud, J.-P. Elements for a theory of financial risks. (English) Zbl 1059.91508 Physica A 285, No. 1-2, 18-28 (2000). MSC: 91B30 91B70 PDFBibTeX XMLCite \textit{J. P. Bouchaud}, Physica A 285, No. 1--2, 18--28 (2000; Zbl 1059.91508) Full Text: DOI arXiv