Document Search Results

Cutland, N. J.; Kopp, P. E.; Willinger, W.; Wyman, M. C.

Convergence of Snell envelopes and critical prices in the American put. (English) Zbl 0921.90016

Dempster, M. A. H. (ed.) et al., Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Cambridge: Cambridge Univ. Press. Publ. Newton Inst. 15, 126-140 (1997).

MSC: 91B28 60G40

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Cutland, Nigel J.; Kopp, P. Ekkehard; Willinger, Walter

From discrete to continuous stochastic calculus. (English) Zbl 0864.60039

Stochastics Stochastics Rep. 52, No. 3-4, 173-192 (1995).

MSC: 60H05 60F17

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Cutland, Nigel J.; Kopp, P. Ekkehard; Willinger, Walter

Stock price returns and the Joseph effect: a fractional version of the Black-Scholes model. (English) Zbl 0827.60021

Bolthausen, Erwin (ed.) et al., Seminar on stochastic analysis, random fields and applications. Proceedings of a seminar held at the Centro Stefano Franscini, Ascona, Switzerland, June 7-12, 1993. Basel: Birkhäuser. Prog. Probab. 36, 327-351 (1995).

MSC: 60F17 91G20 60G22 60H30 60H05 62M07

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Cutland, Nigel J.; Kopp, P. Ekkehard; Willinger, Walter

A nonstandard treatment of options driven by Poisson processes. (English) Zbl 0808.90018

Stochastics Stochastics Rep. 42, No. 2, 115-133 (1993).

MSC: 91B24 91B62 93E03 91B06

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Cutland, Nigel J.; Kopp, P. Ekkehard; Willinger, Walter

From discrete to continuous financial models: new convergence results for option pricing. (English) Zbl 0884.90022

Math. Finance 3, No. 2, 101-123 (1993).

MSC: 91G10

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Cutland, Nigel; Kopp, P. Ekkehard; Willinger, Walter

A nonstandard approach to option pricing. (English) Zbl 0900.90104

Math. Finance 1, No. 4, 1-38 (1991).

MSC: 91G10 91G80

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Found 6 Documents (Results 1–6)

Convergence of Snell envelopes and critical prices in the American put. (English) Zbl 0921.90016

From discrete to continuous stochastic calculus. (English) Zbl 0864.60039

Stock price returns and the Joseph effect: a fractional version of the Black-Scholes model. (English) Zbl 0827.60021

A nonstandard treatment of options driven by Poisson processes. (English) Zbl 0808.90018

From discrete to continuous financial models: new convergence results for option pricing. (English) Zbl 0884.90022

A nonstandard approach to option pricing. (English) Zbl 0900.90104

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