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First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

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Selected problems in financial mathematics

Ekström, Erik - 2004

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A bias in the volatility smile

Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90

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Block-pulse operational matrix method for solving fractional Black-Scholes equation

Mehrdoust, Farshid; Sheikhani, Amir Hosein Refahi; … - In: Journal of economic studies 44 (2017) 3, pp. 489-502

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Volatility risk structure for options depending on extrema

Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122

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A note on the implied volatility of floating strike Asian options

Alòs, Elisa; León, Jorge A. - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 743-758

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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

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Computing deltas without derivatives

Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549

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Pricing American option using a modified fractional black-scholes model under multi-state regime switching

Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21

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Computational Financial Mathematics using MATHEMATICA® : Optimal Trading in Stocks and Options

Stojanovic, Srdjan - 2003

Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both...

Persistent link: https://www.econbiz.de/10013523085