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Uncertain volatility derivative model based on the polynomial chaos

Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63

Persistent link: https://www.econbiz.de/10011543102

Multivariate stochastic volatility estimation with sparse grid integration

Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81

Persistent link: https://www.econbiz.de/10011543122

A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes

Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323

Persistent link: https://www.econbiz.de/10011544516

A general closed form option pricing formula

Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016

A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the Gauss-Hermite expansion. This expansion converges for...

Persistent link: https://www.econbiz.de/10011506359

Perturbative expansion technique for non-linear FBSDEs with interacting particle method

Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304

Persistent link: https://www.econbiz.de/10011524810

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

Prediction of stock price movement using continuous time models

Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191

Persistent link: https://www.econbiz.de/10011398992

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

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

Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework

Nteumagné, B. F.; Pindza, E.; Maré, E. - In: Journal of mathematical finance 4 (2014) 1, pp. 35-46

Persistent link: https://www.econbiz.de/10010422895