Found 9 Documents (Results 1–9)
Spectrally accurate option pricing under the time-fractional Black-Scholes model. (English) Zbl 1484.91520
Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics. (English) Zbl 1481.65159
An analytical option pricing formula for mean-reverting asset with time-dependent parameter. (English) Zbl 1471.91582
Finite maturity American-style stock loans with regime-switching volatility. (English) Zbl 1471.91579
An analytical approximation formula for the pricing of credit default swaps with regime switching. (English) Zbl 1471.91572
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