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isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Computational economics"
~subject:"Stochastic process"
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Search: subject_exact:"Black-Scholes model"
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Stochastic process
Black-Scholes model
47
Black-Scholes-Modell
47
Option pricing theory
37
Optionspreistheorie
37
Volatility
16
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16
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Kim, Yong-jin
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Asia-Pacific financial markets
Computational economics
International journal of theoretical and applied finance
25
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12
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9
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1
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
2
A bilinear pseudo-spectral method for solving two-asset European and American pricing options
Khasi, M.
;
Rashidinia, J.
- In:
Computational economics
63
(
2024
)
2
,
pp. 893-918
Persistent link: https://www.econbiz.de/10014475075
Saved in:
3
Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui
;
Zheng, Xiangcheng
- In:
Computational economics
62
(
2023
)
3
,
pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
Saved in:
4
Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel
;
Veiga, Helena
- In:
Computational economics
57
(
2021
)
4
,
pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
Saved in:
5
Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Ma, Yong-Ki
- In:
Computational economics
55
(
2020
)
1
,
pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
Saved in:
6
Pricing perpetual American lookback options under stochastic volatility
Lee, Min-Ku
- In:
Computational economics
53
(
2019
)
3
,
pp. 1265-1277
Persistent link: https://www.econbiz.de/10012135129
Saved in:
7
An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi
;
Wang, Wansheng
;
Xiao, Aiguo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
Saved in:
8
Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid
;
Najafi, Ali Reza
- In:
Computational economics
52
(
2018
)
2
,
pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
Saved in:
9
Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.
;
Zervos, N.
- In:
Computational economics
50
(
2017
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
Saved in:
10
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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