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1
Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel
;
Girón, Luis Eduardo
- In:
Computational economics
61
(
2023
)
4
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014327069
Saved in:
2
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:
3
A deep learning based numerical PDE method for option pricing
Wang, Xiang
;
Li, Jessica
;
Li, Jichun
- In:
Computational economics
62
(
2023
)
1
,
pp. 149-164
Persistent link: https://www.econbiz.de/10014327247
Saved in:
4
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:
5
The convergence analysis of the numerical calculation to price the time-fractional black-scholes model
Mesgarani, H.
;
Bakhshandeh, M.
;
Aghdam, Y. Esmaeelzade
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1845-1856
Persistent link: https://www.econbiz.de/10014437608
Saved in:
6
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:
7
Accurate and efficient finite difference method for the black-scholes model with no far-field boundary conditions
Lee, Chaeyoung
;
Kwak, Soobin
;
Hwang, Youngjin
;
Kim, Junseok
- In:
Computational economics
61
(
2023
)
3
,
pp. 1207-1224
Persistent link: https://www.econbiz.de/10014252173
Saved in:
8
The convergence investigation of a numerical scheme for the tempered fractional black-scholes model arising European double barrier option
Aghdam, Y. Esmaeelzade
;
Mesgarani, H.
;
Adl, A.
;
Farnam, B.
- In:
Computational economics
61
(
2023
)
2
,
pp. 513-528
Persistent link: https://www.econbiz.de/10014228450
Saved in:
9
Deep learning based hybrid computational intelligence models for options pricing
Arin, Efe
;
Özbayoglu, Ahmet Murat
- In:
Computational economics
59
(
2022
)
1
,
pp. 39-58
Persistent link: https://www.econbiz.de/10013168900
Saved in:
10
Option pricing by the Legendre wavelets method
Doostaki, Reza
;
Hosseini, Mohammad Mehdi
- In:
Computational economics
59
(
2022
)
2
,
pp. 749-773
Persistent link: https://www.econbiz.de/10013169051
Saved in:
11
Numerically pricing nonlinear time-fractional Black-Scholes equation with time-dependent parameters under transaction costs
Rezaei, M.
;
Yazdanian, A. R.
;
Ashrafi, A.
;
Mahmoudi, S. M.
- In:
Computational economics
60
(
2022
)
1
,
pp. 243-280
Persistent link: https://www.econbiz.de/10013262670
Saved in:
12
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:
13
On the solution of the Black-Scholes equation using feed-forward neural networks
Eskiizmirliler, Saadet
;
Günel, Korhan
;
Polat, Refet
- In:
Computational economics
58
(
2021
)
3
,
pp. 915-941
Persistent link: https://www.econbiz.de/10012651048
Saved in:
14
A computational method based on the moving least-squares approach for pricing double barrier options in a time-fractional Black-Scholes model
Golbabai, Ahmad
;
Nikan, Omid
- In:
Computational economics
55
(
2020
)
1
,
pp. 119-141
Persistent link: https://www.econbiz.de/10012222594
Saved in:
15
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:
16
Multiple shooting method for solving black-scholes equation
Abdi-Mazraeh, Somayeh
;
Khani, Ali
;
Irandoust-Pakchin, Safar
- In:
Computational economics
56
(
2020
)
4
,
pp. 723-746
Persistent link: https://www.econbiz.de/10012390448
Saved in:
17
A hybrid Monte Carlo and finite difference method for option pricing
Jeong, Darae
;
Yoo, Minhyun
;
Yoo, Changwoo
;
Kim, Junseok
- In:
Computational economics
53
(
2019
)
1
,
pp. 111-124
Persistent link: https://www.econbiz.de/10012134544
Saved in:
18
A stable and convergent finite difference method for fractional black-scholes model of American put option pricing
Kalantari, R.
;
Shahmorad, S.
- In:
Computational economics
53
(
2019
)
1
,
pp. 191-205
Persistent link: https://www.econbiz.de/10012134618
Saved in:
19
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:
20
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:
21
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:
22
Finite difference method for the black-scholes equation without boundary conditions
Jeong, Darae
;
Yoo, Minhyun
;
Kim, Junseok
- In:
Computational economics
51
(
2018
)
4
,
pp. 961-972
Persistent link: https://www.econbiz.de/10011972206
Saved in:
23
A new stable local radial basis function approach for option pricing
Golbabai, A.
;
Mohebianfar, E.
- In:
Computational economics
49
(
2017
)
2
,
pp. 271-288
Persistent link: https://www.econbiz.de/10011757588
Saved in:
24
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:
25
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
Grossinho, Maria do Rosário
;
Kord, Yaser
;
Ševčovič, …
- In:
Asia-Pacific financial markets
24
(
2017
)
4
,
pp. 291-308
Persistent link: https://www.econbiz.de/10011797690
Saved in:
26
A numerical method for discrete single barrier option pricing with time-dependent parameters
Farnoosh, Rahman
;
Rezazadeh, Hamidreza
;
Sobhani, Amirhossein
- In:
Computational economics
48
(
2016
)
1
,
pp. 131-145
Persistent link: https://www.econbiz.de/10011646608
Saved in:
27
Analysis of the nonlinear option pricing model under variable transaction costs
Ševčovič, Daniel
;
Žitňanská, Magdaléna
- In:
Asia-Pacific financial markets
23
(
2016
)
2
,
pp. 153-174
Persistent link: https://www.econbiz.de/10011619901
Saved in:
28
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
Saved in:
29
On the historical exchange rates Euro/US Dollar
Vadillo, Fernando
- In:
Computational economics
48
(
2016
)
3
,
pp. 463-472
Persistent link: https://www.econbiz.de/10011712513
Saved in:
30
Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba
;
Malek, Alaeddin
- In:
Computational economics
45
(
2015
)
1
,
pp. 31-47
Persistent link: https://www.econbiz.de/10010511343
Saved in:
31
A new type of barrier options : lizard option
Kawanishi, Yasuhiro
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
Saved in:
32
A highly accurate finite element method to price discrete double barrier options
Golbabai, A.
;
Ballestra, L. V.
;
Ahmadian, D.
- In:
Computational economics
44
(
2014
)
2
,
pp. 153-173
Persistent link: https://www.econbiz.de/10010438023
Saved in:
33
A second-order difference scheme for the penalized black-scholes equation governing American put option pricing
Cen, Zhongdi
;
Le, Anbo
;
Xu, Aimin
- In:
Computational economics
40
(
2012
)
1
,
pp. 49-62
Persistent link: https://www.econbiz.de/10009627518
Saved in:
34
Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
Ishimura, Naoyuki
- In:
Asia-Pacific financial markets
17
(
2010
)
3
,
pp. 241-259
Persistent link: https://www.econbiz.de/10009237116
Saved in:
35
Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
Meng, Li
;
Wang, Mei
- In:
Asia-Pacific financial markets
17
(
2010
)
2
,
pp. 99-111
Persistent link: https://www.econbiz.de/10009237122
Saved in:
36
The instantaneous volatility and the implied volatility surface for a generalized black-scholes model
Takaoka, Koichiro
;
Futami, Hidenori
- In:
Asia-Pacific financial markets
17
(
2010
)
4
,
pp. 391-436
Persistent link: https://www.econbiz.de/10009237752
Saved in:
37
Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
Madan, Dilip B.
;
Roynette, B.
;
Yor, Marc
- In:
Asia-Pacific financial markets
15
(
2008
)
2
,
pp. 97-115
Persistent link: https://www.econbiz.de/10003796203
Saved in:
38
Estimation and prediction of a non-constant volatility
Abramov, Vyacheslav M.
;
Klebaner, Fima C.
- In:
Asia-Pacific financial markets
14
(
2007
)
1/2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10003609524
Saved in:
39
A complete-market generalization of the black-scholes model
Takaoka, Koichiro
- In:
Asia-Pacific financial markets
11
(
2004
)
4
,
pp. 431-444
Persistent link: https://www.econbiz.de/10003370691
Saved in:
40
Forecasting credit spread volatility : evidence from the Japanese Eurobond market
Johnson, Brock N.
;
Batten, Jonathan A.
- In:
Asia-Pacific financial markets
10
(
2003
)
4
,
pp. 335-357
Persistent link: https://www.econbiz.de/10003083939
Saved in:
41
Edokko options : a new framework of barrier options
Fujita, Takahiko
;
Miura, Ryozo
- In:
Asia-Pacific financial markets
9
(
2002
)
2
,
pp. 141-151
Persistent link: https://www.econbiz.de/10001758329
Saved in:
42
Option pricing under stochastic interest rates : an empirical investigation
Kim, Yong-jin
- In:
Asia-Pacific financial markets
9
(
2002
)
1
,
pp. 23-44
Persistent link: https://www.econbiz.de/10001722346
Saved in:
43
A note on computation of implied volatility
Kagenishi, Yoshiteru
;
Shinohara, Yoshitane
- In:
Asia-Pacific financial markets
8
(
2001
)
4
,
pp. 361-368
Persistent link: https://www.econbiz.de/10001712367
Saved in:
44
A note on the joint distribution of a, ß-percentiles and its application to the option pricing
Fujita, Takahiko
- In:
Asia-Pacific financial markets
7
(
2000
)
4
,
pp. 339-344
Persistent link: https://www.econbiz.de/10001557975
Saved in:
45
Pricing options under stochastic interest rates : a new approach
Kim, Yong-jin
;
Kunitomo, Naoto
- In:
Asia-Pacific financial markets
6
(
1999
)
1
,
pp. 49-70
Persistent link: https://www.econbiz.de/10001506396
Saved in:
46
An asymptotic expansion approach to pricing financial contingent claims
Takahashi, Akihiko
- In:
Asia-Pacific financial markets
6
(
1999
)
2
,
pp. 115-151
Persistent link: https://www.econbiz.de/10001449307
Saved in:
47
Evaluation of the Asian option by the dual martingale measure
Shirakawa, Hiroshi
- In:
Asia-Pacific financial markets
6
(
1999
)
2
,
pp. 183-194
Persistent link: https://www.econbiz.de/10001449324
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