Found 10,828 Documents (Results 1–100)
Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment. (English) Zbl 1542.91389
A generalized integral equation formulation for pricing American options under regime-switching model. (English) Zbl 07900335
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Extreme ATM skew in a local volatility model with discontinuity: joint density approach. (English) Zbl 07927024
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models. (English) Zbl 07927023
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets. (English) Zbl 07927020
Improved robust price bounds for multi-asset derivatives under market-implied dependence information. (English) Zbl 07927017
A novel portfolio optimization method and its application to the hedging problem. (English) Zbl 07922094
Life reinsurance under perfect and asymmetric information. (English) Zbl 07916998
MSC:
91B30
The valuation of American options with the stochastic liquidity risk and jump risk. (English) Zbl 07916074
MSC:
82-XX
Approximation rates for deep calibration of (rough) stochastic volatility models. (English) Zbl 07914761
Conditional indicators. (English) Zbl 07914183
Convergence of the two point flux approximation method and the fitted two point flux approximation method for options pricing with local volatility function. (English) Zbl 07912574
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Optimization of electricity futures and LNG futures trading under practical constraints of power producers in Japan. (English) Zbl 07910135
A robust numerical simulation of a fractional Black-Scholes equation for pricing American options. (English) Zbl 07906464
Correction to: “Trinomial tree based option pricing model in supply chain financing”. (English) Zbl 07905532
Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay. (English) Zbl 07904966
Regret-aversion over different maturities: application to energy futures markets. (English) Zbl 07903194
Solving American option optimal control problems in financial markets using a novel neural network. (English) Zbl 07901726
Two-dimensional forward and backward transition rates. (English) Zbl 07901662
Reviewer: Emilia Di Lorenzo (Napoli)
MSC:
91G05
RBF-based IMEX finite difference schemes for pricing option under liquidity switching. (English) Zbl 07899562
Primal-dual active set algorithm for valuating American options under regime switching. (English) Zbl 07899550
Reviewer: Nikolay Kyurkchiev (Plovdiv)
A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model. (English) Zbl 07899549
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Monte Carlo method for pricing lookback type options in Lévy models. (English. Russian original) Zbl 1542.91426
Theory Probab. Appl. 69, No. 2, 243-264 (2024); translation from Teor. Veroyatn. Primen. 69, No. 1, 305-334 (2024).
An efficient and provable sequential quadratic programming method for American and swing option pricing. (English) Zbl 07895453
MSC:
90Bxx
Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy. (English) Zbl 1542.91404
Asset pricing and hedging in financial markets with fixed and proportional transaction costs. (English) Zbl 1542.91406
Pricing European call options with interval-valued volatility and interest rate. (English) Zbl 07894925
Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models. (English) Zbl 07893831
A short note on super-hedging an arbitrary number of European options with integer-valued strategies. (English) Zbl 07891548
Mean reflected BSDE driven by a marked point process and application in insurance risk management. (English) Zbl 07891423
Pricing CDS index tranches under thinning-dependence structure with regime switching. (English) Zbl 07890911
Numerical analysis of fractional order Black-Scholes option pricing model with band equation method. (English) Zbl 1542.91423
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model. (English) Zbl 07890862
The power of derivatives in portfolio optimization under affine GARCH models. (English) Zbl 07890795
Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model. (English) Zbl 07890791
The effect of cutting interest rates on corporate investments: a real options model. (English) Zbl 07889710
MSC:
62-XX
Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models. (English) Zbl 07886241
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility. (English) Zbl 07885177
Reviewer: Tamás Mátrai (Edinburgh)
A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM-MVA. (English) Zbl 07885176
Tail risk aversion and backwardation of index futures. (English) Zbl 1542.91398
Reviewer: Piotr Jaworski (Warszawa)
Speed and duration of drawdown under general Markov models. (English) Zbl 07885174
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Robust and accurate reconstruction of the time-dependent continuous volatility from option prices. (English) Zbl 07884756
Mitigating decentralized finance liquidations with reversible call options. (English) Zbl 07882518
Baldimtsi, Foteini (ed.) et al., Financial cryptography and data security. 27th international conference, FC 2023, Bol, Brač, Croatia, May 1–5, 2023. Revised selected papers. Part I. Cham: Springer. Lect. Notes Comput. Sci. 13950, 344-362 (2024).
MSC:
91G20
Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models. (English) Zbl 1542.91397
Exact simulation of the Hull and White stochastic volatility model. (English) Zbl 07881218
MSC:
91-XX
Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model. (English) Zbl 07879830
Real option pricing under the regime-switching model with jumps on a finite time horizon. (English) Zbl 1541.91261
Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility. (English) Zbl 07876198
Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity. (English) Zbl 07873901
Reviewer: Nikolay Kyurkchiev (Plovdiv)
On the expected uniform error of Brownian motion approximated by the Lévy-Ciesielski construction. (English) Zbl 1542.60048
Forecasting trading-session return volatility in Taiwan futures market: a periodic regime switching with jump approach. (English) Zbl 1542.91396
Coping with an unreliable supplier: an option contract with a backup supplier. (English) Zbl 07871013
MSC:
90-XX
Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion. (English) Zbl 1541.35513
Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint. (English) Zbl 07866539
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. (English) Zbl 07865844
MSC:
90Bxx
A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S&P500 returns and options. (English) Zbl 07865843
MSC:
90Bxx
Randomized optimal stopping problem in continuous time and reinforcement learning algorithm. (English) Zbl 07865496
Computation and simulation for finance. An introduction with Python. (English) Zbl 07863730
Springer Undergraduate Texts in Mathematics and Technology. Cham: Springer (ISBN 978-3-031-60574-1/hbk; 978-3-031-60577-2/pbk; 978-3-031-60575-8/ebook). (2024).
BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options. (English) Zbl 07863383
A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes. (English) Zbl 07862737
MSC:
90Bxx
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