# zbMATH — the first resource for mathematics

## Review of Derivatives Research

 Short Title: Rev. Deriv. Res. Publisher: Springer US, New York, NY ISSN: 1380-6645; 1573-7144/e Online: http://link.springer.com/journal/volumesAndIssues/11147
 Documents Indexed: 235 Publications (since 1996) References Indexed: 190 Publications with 6,216 References.
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#### Latest Issues

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#### Authors

 12 Jarrow, Robert Alan 4 Ritchken, Peter H. 4 Wang, Jr-Yan 3 Drimus, Gabriel G. 3 Escobar, Marcos 3 Fengler, Matthias R. 3 Hodges, Stewart D. 3 Huang, James Kuodo 3 Hung, Mao-wei 3 Itkin, Andrey 3 Kijima, Masaaki 3 Madan, Dilip B. 3 Mahayni, Antje 3 Nunes, João Pedro Vidal 3 Pelsser, Antoon A. J. 3 Schwartz, Eduardo S. 3 Uhrig-Homburg, Marliese 3 Zhang, Jin E. 2 Andersen, Leif B. G. 2 Bondarenko, Oleg 2 Carr, Peter P. 2 Chance, Don M. 2 Chang, Lung-Fu 2 Cherian, Joseph A. 2 Chesney, Marc 2 Clewlow, Les 2 Cruz, Aricson 2 Dai, Tian-Shyr 2 Das, Sanjiv Ranjan 2 Dias, José Carlos 2 Dorfleitner, Gregor 2 Düring, Bertram 2 Farkas, Walter 2 Forsyth, Peter A. 2 Gao, Bin 2 Gerer, Johannes 2 Gibson, Rajna 2 Guillaume, Florence 2 Guillaume, Tristan 2 Handley, John C. 2 Hieber, Peter 2 Ingersoll, Jonathan E. jun. 2 Kavussanos, Manolis G. 2 Korn, Olaf 2 Kwok, Yue-Kuen 2 Li, Minqiang 2 Rathgeber, Andreas W. 2 Rich, Don 2 Ronn, Ehud I. 2 Rösch, Daniel 2 Schoutens, Wim 2 Stapleton, Richard C. 2 Stöckl, Stefan 2 Vetzal, Kenneth R. 2 Vitiello, Luiz 2 Wang, Hsiao-Chuan 2 Yildirim, Yildiray 2 Zagst, Rudi 1 Adeinat, Iman 1 Aguilar, Jean-Philippe 1 Ahn, Dong-Hyun 1 Al Rahahleh, Naseem 1 Albeverio, Sergio A. 1 Ammann, Manuel 1 Amzelek, Philippe 1 Andreasen, Jesper 1 Ano, Katsunori 1 Antonelli, Fabio 1 Areal, Nelson 1 Armada, Manuel Rocha 1 Auer, Benjamin R. 1 Baule, Rainer 1 Beisland, Leif Atle 1 Benninga, Simon 1 Bernard, Carole 1 Bizid, Abdelhamid 1 Blenman, Lloyd P. 1 Boen, Lynn 1 Bonnaud, Joe 1 Bossy, Mireille 1 Branger, Nicole 1 Brinkmann, Felix 1 Brorsen, B. Wade 1 Bruand, Martin 1 Büchel, Patrick 1 Bühler, Wolfgang J. 1 Busch, Thomas 1 Camara, Antonio 1 Cao, Charles 1 Carverhill, Andrew P. 1 Cassano, Mark A. 1 Chalasani, Prasad 1 Chan, Ron Tat Lung 1 Chen, Chun-Ying 1 Chen, Qihong 1 Chen, Ren-Raw 1 Cheng, Jun 1 Chern, Shane 1 Cheuk, Terry H. F. 1 Chiang, Shu-Ling ...and 287 more Authors
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#### Fields

 235 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 30 Statistics (62-XX) 26 Probability theory and stochastic processes (60-XX) 11 Numerical analysis (65-XX) 2 Approximations and expansions (41-XX) 1 Functions of a complex variable (30-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX)

#### Citations contained in zbMATH Open

144 Publications have been cited 1,269 times in 1,055 Documents Cited by Year
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Zbl 1274.91398
Andersen, Leif; Andreasen, Jesper
2000
On Cox processes and credit risky securities. Zbl 1274.91459
Lando, David
1998
Electricity prices and power derivatives: evidence from the Nordic Power Exchange. Zbl 1064.91508
Lucia, Julio J.; Schwartz, Eduardo S.
2002
Pricing the risks of default. Zbl 1274.91426
1998
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
2007
Option pricing using variance gamma Markov chains. Zbl 1064.91044
2002
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
2007
Assessing the least squares Monte-Carlo approach to American option valuation. Zbl 1080.91041
Stentoft, Lars
2004
Exact solutions for bond and option prices with systematic jump risk. Zbl 1274.91448
Das, Sanjiv Ranjan; Foresi, Silverio
1996
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
2002
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
2010
Heterogeneity and option pricing. Zbl 1274.91198
Benninga, Simon; Mayshar, Joram
2000
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Zbl 1059.91047
Moreno, Manuel; Navas, Javier F.
2003
The $$\alpha$$VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
2013
Term structure modelling of defaultable bonds. Zbl 1274.91452
Schönbucher, Philipp J.
1998
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
2006
The dynamics of implied volatilities: a common principal components approach. Zbl 1059.91038
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe
2003
Finite dimensional affine realisations of HJM models in terms of forward rates and yields. Zbl 1037.60069
Chiarella, Carl; Kwon, Oh Kang
2003
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
2005
Stochastic duration and fast coupon bond option pricing in multi-factor models. Zbl 1274.91431
Munk, Claus
1999
Lean trees – a general approach for improving performance of lattice models for option pricing. Zbl 1080.91026
Baule, Rainer; Wilkens, Marco
2004
The dynamics of the S&P 500 implied volatility surface. Zbl 1274.91488
Skiadopoulos, George; Hodges, Stewart; Clewlow, Les
1999
Valuation of commodity derivatives in a new multi-factor model. Zbl 1070.91014
Yan, Xuemin
2002
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
2008
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
2009
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
2014
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
2006
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
2005
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
2013
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
2014
Theory of storage and the pricing of commodity claims. Zbl 1090.91029
Nielsen, Martin J.; Schwartz, Eduardo S.
2004
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
2010
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
2006
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
2006
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
2011
Credit events and the valuation of credit derivatives of basket type. Zbl 1274.91418
Kijima, Masaaki; Muromachi, Yukio
2000
Valuation of a credit swap of the basket type. Zbl 1274.91417
Kijima, Masaaki
2000
A refined binomial lattice for pricing American Asian options. Zbl 1274.91477
Chalasani, Prasad; Jha, Somesh; Egriboyun, Feyzullah; Varikooty, Ashok
1999
On the information in the interest rate term structure and option prices. Zbl 1080.91044
de Jong, Frank; Driessen, Joost; Pelsser, Antoon
2004
Efficient, exact algorithms for Asian options with multiresolution lattices. Zbl 1054.91035
Dai, Tian-Shyr; Lyuu, Yuh-Dauh
2002
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
2010
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
2005
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
2011
An alternative approach to the valuation of American options and applications. Zbl 1274.91419
Kim, In Joon; Yu, G. George
1996
Valuing foreign exchange rate derivatives with a bounded exchange process. Zbl 1274.91415
Ingersoll, Jonathan E. jun.
1996
A tractable yield-curve model that guarantees positive interest rates. Zbl 1274.91437
Pelsser, Antoon
1996
Interest rate option pricing with volatility humps. Zbl 1274.91441
Ritchken, Peter; Chuang, Iyuan
1999
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks. Zbl 1059.91049
Wong, Hoi Ying; Kwok, Yue Kuen
2003
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
2014
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
2012
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
2009
Option pricing using a binomial model with random time steps (A formal model of gamma hedging). Zbl 1274.91409
Dengler, Heike; Jarrow, Robert A.
1996
American stochastic volatility call option pricing: a lattice based approach. Zbl 1274.91411
Finucane, Thomas J.; Tomas, Michael J.
1996
Tighter option bounds from multiple exercise prices. Zbl 1274.91442
Ryan, Peter J.
2000
Dividend forecast biases in index option valuation. Zbl 1274.91405
Chance, Don M.; Kumar, Raman; Rich, Don
2000
A universal lattice. Zbl 1274.91478
Chen, Ren-Raw; Yang, Tyler T.
1999
American option valuation under stochastic interest rates. Zbl 1274.91408
Chung, San-Lin
1999
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
2013
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
2007
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
2016
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
2013
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
2014
The valuation and behavior of Black-Scholes options subject to intertemporal default risk. Zbl 1274.91440
Rich, Don
1996
Variable purchase options. Zbl 1274.91413
Handley, John C.
2000
Window double barrier options. Zbl 1065.91024
Guillaume, Tristan
2003
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
2007
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
2006
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
2009
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
2009
The $$\beta$$-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
2011
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
2010
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
2012
Discrete-time bond and option pricing for jump-diffusion processes. Zbl 1274.91479
Das, Sanjiv Ranjan
1996
Effects of callable feature on early exercise policy. Zbl 1274.91421
Kwok, Yue Kuen; Wu, Lixin
2000
Pricing of non-redundant derivatives in a complete market. Zbl 1274.91400
Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François
1998
Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models. Zbl 1274.91450
Pang, Kin
1998
An extended set of risk neutral valuation relationships for the pricing of contingent claims. Zbl 1274.91404
Camara, Antonio
1999
A model of the convenience yields in on-the-run treasuries. Zbl 1080.91023
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A.
2004
Pricing the risks of default: a note on Madan and Unal. Zbl 1089.91035
Grundke, Peter; Riedel, Karl O.
2004
Contingent claims on foreign assets following jump-diffusion processes. Zbl 1059.91053
Martzoukos, Spiros H.
2003
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
2007
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
2008
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
2014
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
2018
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
2005
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
2016
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
2016
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
2005
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
2008
A recombining lattice option pricing model that relaxes the assumption of lognormality. Zbl 1230.91178
2011
The cost of operational risk loss insurance. Zbl 1213.91090
Jarrow, Robert A.; Oxman, Jeff; Yildirim, Yildiray
2010
Valuation of American partial barrier options. Zbl 1296.91264
Jun, Doobae; Ku, Hyejin
2013
The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054
Jarrow, Robert; Li, Hao
2014
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
2012
Pricing of swaps with default risk. Zbl 1274.91422
Li, Haitao
1998
Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach. Zbl 1274.91434
Nunes, João Pedro Vidal; Clewlow, Les; Hodges, Stewart
1999
Options on the minimum or the maximum of two average prices. Zbl 1274.91446
Wu, Xueping; Zhang, Jin E.
1999
Impact of divergent consumer confidence on option prices. Zbl 1059.91041
Huang, James
2003
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
2007
Implied risk aversion: an alternative rating system for retail structured products. Zbl 1425.91432
Fink, Holger; Geissel, Sebastian; Sass, J.; Seifried, F. T.
2019
A general closed form option pricing formula. Zbl 1414.91384
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter
2019
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
2018
Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527
Kim, Sung Ik; Kim, Young Shin
2018
Brinkmann, Felix; Korn, Olaf
2018
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. Zbl 1417.91501
Gerer, Johannes; Dorfleitner, Gregor
2018
A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496
Escobar, Marcos; Gschnaidtner, Christoph
2018
The pricing kernel puzzle in forward looking data. Zbl 1405.91605
Cuesdeanu, Horatio; Jackwerth, Jens Carsten
2018
On the multiplicity of option prices under CEV with positive elasticity of variance. Zbl 1417.91515
Veestraeten, Dirk
2017
Structural default model with mutual obligations. Zbl 1417.91556
Itkin, Andrey; Lipton, Alexander
2017
A unified approach for the pricing of options relating to averages. Zbl 1418.91512
Funahashi, Hideharu; Kijima, Masaaki
2017
A four-factor stochastic volatility model of commodity prices. Zbl 1417.91513
Schöne, Max F.; Spinler, Stefan
2017
A bias in the volatility smile. Zbl 1417.91494
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; Muthuswamy, Jayaram
2017
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
2016
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
2016
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
2016
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. Zbl 1345.91075
Torricelli, Lorenzo
2016
Stochastic covariance and dimension reduction in the pricing of basket options. Zbl 1349.91305
Escobar, Marcos; Krause, Daniel; Zagst, Rudi
2016
Commodity derivative valuation under a factor model with time-varying market prices of risk. Zbl 1315.91072
Mirantes, Andrés G.; Población, Javier; Serna, Gregorio
2015
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
2014
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
2014
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
2014
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
2014
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
2014
The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054
Jarrow, Robert; Li, Hao
2014
The $$\alpha$$VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
2013
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
2013
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
2013
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
2013
Valuation of American partial barrier options. Zbl 1296.91264
Jun, Doobae; Ku, Hyejin
2013
Parametric modeling of implied smile functions: a generalized SVI model. Zbl 1269.91101
Zhao, Bo; Hodges, Stewart D.
2013
Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. Zbl 1282.91261
Siriopoulos, Costas; Fassas, Athanasios
2013
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
2012
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
2012
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
2012
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
2011
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
2011
The $$\beta$$-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
2011
A recombining lattice option pricing model that relaxes the assumption of lognormality. Zbl 1230.91178
2011
A remark on static hedging of options written on the last exit time. Zbl 1232.91667
Imamura, Yuri
2011
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
2011
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
2010
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
2010
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
2010
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
2010
The cost of operational risk loss insurance. Zbl 1213.91090
Jarrow, Robert A.; Oxman, Jeff; Yildirim, Yildiray
2010
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442
Li, Minqiang
2010
A comparison of single factor Markov-functional and multi factor market models. Zbl 1213.91083
Pietersz, Raoul; Pelsser, Antoon
2010
Convenience yields. Zbl 1202.91319
Jarrow, Robert A.
2010
Analytical approximations for the critical stock prices of American options: a performance comparison. Zbl 1205.91159
Li, Minqiang
2010
An empirical analysis of alternative recovery risk models and implied recovery rates. Zbl 1231.91454
Zhang, Frank Xiaoling
2010
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
2009
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
2009
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
2009
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
2009
A tale of two volatilities. Zbl 1188.91228
2009
Microstructural biases in empirical tests of option pricing models. Zbl 1189.91223
Dennis, Patrick; Mayhew, Stewart
2009
A general framework for the derivation of asset price bounds: An application to stochastic volatility option models. Zbl 1175.91069
Bondarenko, Oleg; Longarela, Iñaki R.
2009
Dynamic programming and mean-variance hedging with partial execution risk. Zbl 1168.91370
Matsumoto, Koichi
2009
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
2008
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
2008
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
2008
Making the best of best-of. Zbl 1163.91400
Guillaume, Tristan
2008
Leverage, options liabilities, and corporate bond pricing. Zbl 1165.91402
Huang, Hongming; Yildirim, Yildiray
2008
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
2007
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
2007
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
2007
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
2007
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
2007
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
2007
A model of discontinuous interest rate behavior, yield curves, and volatility. Zbl 1151.91668
Heston, Steven L.
2007
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
2006
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
2006
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
2006
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
2006
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
2006
Price discovery in the U.S. stock and stock options markets: a portfolio approach. Zbl 1274.91383
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren
2006
Model misspecification analysis for bond options and Markovian hedging strategies. Zbl 1274.91402
Bossy, Mireille; Gibson, Rajna; Lhabitant, Francois-Serge; Pistre, Nathalie; Talay, Denis
2006
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
2005
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
2005
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
2005
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
2005
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
2005
The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets. Zbl 1201.91210
Doran, James S.; Ronn, Ehud I.
2005
Options with constant underlying elasticity in strikes. Zbl 1108.91037
Blenman, Lloyd P.; Clark, Steven P.
2005
Assessing the least squares Monte-Carlo approach to American option valuation. Zbl 1080.91041
Stentoft, Lars
2004
Lean trees – a general approach for improving performance of lattice models for option pricing. Zbl 1080.91026
Baule, Rainer; Wilkens, Marco
2004
Theory of storage and the pricing of commodity claims. Zbl 1090.91029
Nielsen, Martin J.; Schwartz, Eduardo S.
2004
On the information in the interest rate term structure and option prices. Zbl 1080.91044
de Jong, Frank; Driessen, Joost; Pelsser, Antoon
2004
A model of the convenience yields in on-the-run treasuries. Zbl 1080.91023
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A.
2004
Pricing the risks of default: a note on Madan and Unal. Zbl 1089.91035
Grundke, Peter; Riedel, Karl O.
2004
Option pricing bounds and the elasticity of the pricing kernel. Zbl 1080.91034
Huang, James
2004
Hedging long-term forwards with short-term futures: a two-regime approach. Zbl 1097.91035
Bühler, Wolfgang; Korn, Olaf; Schöbel, Rainer
2004
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Zbl 1059.91047
Moreno, Manuel; Navas, Javier F.
2003
The dynamics of implied volatilities: a common principal components approach. Zbl 1059.91038
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe
2003
Finite dimensional affine realisations of HJM models in terms of forward rates and yields. Zbl 1037.60069
Chiarella, Carl; Kwon, Oh Kang
2003
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks. Zbl 1059.91049
Wong, Hoi Ying; Kwok, Yue Kuen
2003
Window double barrier options. Zbl 1065.91024
Guillaume, Tristan
2003
Contingent claims on foreign assets following jump-diffusion processes. Zbl 1059.91053
Martzoukos, Spiros H.
2003
...and 44 more Documents
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#### Cited by 1,532 Authors

 16 Madan, Dilip B. 14 Benth, Fred Espen 14 Chiarella, Carl 10 Grasselli, Martino 10 Lyuu, Yuh-Dauh 9 Elliott, Robert James 9 Escobar, Marcos 9 Kwok, Yue-Kuen 8 Carr, Peter P. 8 Da Fonseca, José 8 Filipović, Damir 8 Jarrow, Robert Alan 8 Liang, Jin 8 Zagst, Rudi 7 Cui, Zhenyu 7 Düring, Bertram 7 Forsyth, Peter A. 7 Gómez-Valle, Lourdes 7 Itkin, Andrey 7 Jeanblanc, Monique 7 Martínez-Rodríguez, Julia 7 Oosterlee, Cornelis Willebrordus 7 Tunaru, Radu S. 6 Ballestra, Luca Vincenzo 6 Company, Rafael 6 Dai, Tian-Shyr 6 Härdle, Wolfgang Karl 6 Ivanov, Roman V. 6 Kim, Jeong-Hoon 6 Nikitopoulos Sklibosios, Christina 6 Pelsser, Antoon A. J. 6 Siu, Tak Kuen 6 Wang, Guojing 6 Wong, Hoi Ying 6 Ye, Zhongxing 5 Biagini, Francesca 5 Costabile, Massimo 5 Deelstra, Griselda 5 Fusai, Gianluca 5 Geman, Hélyette 5 Guillaume, Florence 5 Hinz, Juri 5 Jódar Sanchez, Lucas Antonio 5 Jun, Doobae 5 Kallsen, Jan 5 Kim, Geonwoo 5 Leung, Tim 5 Li, Lingfei 5 Liang, Xue 5 Lipton, Alexander 5 Ma, Yong-Ki 5 Massabó, Ivar 5 Platen, Eckhard 5 Russo, Emilio 5 Schoutens, Wim 5 Tangman, Désiré Yannick 5 Toivanen, Jari 5 Yamazaki, Akira 5 Zheng, Wendong 4 Bender, Christian 4 Bernard, Carole 4 Biffis, Enrico 4 Boen, Lynn 4 Buchmann, Boris 4 Çetin, Umut 4 Chiu, Mei Choi 4 Dai, Min 4 Das, Sanjiv Ranjan 4 Dong, Yinghui 4 Fabozzi, Frank J. 4 Fakharany, M. 4 Gnoatto, Alessandro 4 Kadalbajoo, Mohan K. 4 Kijima, Masaaki 4 Ku, Hyejin 4 Kumar, Alpesh 4 Kyriakou, Ioannis 4 le Courtois, Olivier 4 Li, Shenghong 4 Lian, Guanghua 4 Lorig, Matthew J. 4 Mayerhofer, Eberhard 4 Mehrdoust, Farshid 4 Meyer-Brandis, Thilo 4 Millossovich, Pietro 4 Nunes, João Pedro Vidal 4 Pacelli, Graziella 4 Poulsen, Rolf 4 Protter, Philip Elliott 4 Schlögl, Erik 4 SenGupta, Indranil 4 Sherris, Michael 4 Tripathi, Lok Pati 4 Vázquez Cendón, Carlos 4 Wang, Anjiao 4 Wang, Xingchun 4 Wu, Yuan 4 Yang, Hailiang 4 Zhou, Shengwu 3 Ahlip, Rehez ...and 1,432 more Authors
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#### Cited in 166 Journals

 120 Quantitative Finance 75 International Journal of Theoretical and Applied Finance 68 Review of Derivatives Research 52 Journal of Computational and Applied Mathematics 44 Insurance Mathematics & Economics 43 European Journal of Operational Research 43 Applied Mathematical Finance 38 Journal of Economic Dynamics & Control 34 Finance and Stochastics 34 Mathematical Finance 17 Applied Mathematics and Computation 17 Asia-Pacific Financial Markets 16 Stochastic Processes and their Applications 16 SIAM Journal on Financial Mathematics 14 International Journal of Computer Mathematics 14 Mathematics and Financial Economics 13 Applied Numerical Mathematics 12 The Annals of Applied Probability 12 Discrete Dynamics in Nature and Society 11 Journal of Econometrics 11 Decisions in Economics and Finance 9 Computers & Mathematics with Applications 9 Journal of Mathematical Analysis and Applications 9 Mathematical Methods of Operations Research 8 Abstract and Applied Analysis 7 Computers & Operations Research 7 Annals of Operations Research 7 Applied Mathematics. Series B (English Edition) 7 Methodology and Computing in Applied Probability 7 Annals of Finance 6 Advances in Applied Probability 6 Chaos, Solitons and Fractals 6 Journal of Applied Probability 6 Stochastic Analysis and Applications 6 Computational Statistics and Data Analysis 6 Applied Stochastic Models in Business and Industry 6 Computational Management Science 5 Japan Journal of Industrial and Applied Mathematics 5 Communications in Nonlinear Science and Numerical Simulation 5 Journal of Applied Mathematics 4 Physica A 4 Mathematics and Computers in Simulation 4 SIAM Journal on Control and Optimization 4 SIAM Journal on Scientific Computing 4 Scandinavian Actuarial Journal 4 Journal of Systems Science and Complexity 4 Stochastic Models 4 ASTIN Bulletin 4 North American Actuarial Journal 3 Journal of Optimization Theory and Applications 3 Numerische Mathematik 3 Operations Research 3 Operations Research Letters 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Scientific Computing 3 Bernoulli 3 Mathematical Problems in Engineering 3 Studies in Nonlinear Dynamics and Econometrics 3 Probability in the Engineering and Informational Sciences 3 Stochastics and Dynamics 3 Journal of Industrial and Management Optimization 3 Journal of the Korean Statistical Society 3 International Journal of Stochastic Analysis 3 European Actuarial Journal 2 Metrika 2 Calcolo 2 Journal of Differential Equations 2 Journal of Economic Theory 2 Journal of Mathematical Economics 2 Mathematics of Operations Research 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 SIAM Journal on Numerical Analysis 2 Statistics & Probability Letters 2 Econometric Reviews 2 Numerical Methods for Partial Differential Equations 2 Computational Statistics 2 Computational Economics 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Nonlinear Analysis. Real World Applications 2 East Asian Mathematical Journal 2 Asian Journal of Control 2 Mathematical Control and Related Fields 2 East Asian Journal on Applied Mathematics 1 Acta Informatica 1 Applicable Analysis 1 Indian Journal of Pure & Applied Mathematics 1 Information Processing Letters 1 Journal of Mathematical Physics 1 Journal of Statistical Physics 1 Lithuanian Mathematical Journal 1 Theory of Probability and its Applications 1 ACM Transactions on Mathematical Software 1 The Annals of Statistics 1 Applied Mathematics and Optimization 1 Automatica 1 BIT 1 Fuzzy Sets and Systems 1 Mathematical Social Sciences 1 Applied Mathematics and Mechanics. (English Edition) 1 Acta Applicandae Mathematicae ...and 66 more Journals
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#### Cited in 30 Fields

 980 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 434 Probability theory and stochastic processes (60-XX) 157 Numerical analysis (65-XX) 153 Statistics (62-XX) 63 Partial differential equations (35-XX) 61 Operations research, mathematical programming (90-XX) 43 Systems theory; control (93-XX) 17 Integral equations (45-XX) 14 Calculus of variations and optimal control; optimization (49-XX) 12 Integral transforms, operational calculus (44-XX) 9 Approximations and expansions (41-XX) 5 Biology and other natural sciences (92-XX) 4 Operator theory (47-XX) 4 Computer science (68-XX) 3 Real functions (26-XX) 3 Special functions (33-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Measure and integration (28-XX) 2 Ordinary differential equations (34-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Statistical mechanics, structure of matter (82-XX) 2 Information and communication theory, circuits (94-XX) 1 Combinatorics (05-XX) 1 Functional analysis (46-XX) 1 Mechanics of particles and systems (70-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX) 1 Relativity and gravitational theory (83-XX) 1 Geophysics (86-XX)