Derivatives

By Jakob Arnoldi. 2004

370 citations recorded by the source corpus.

Subfields: Information Systems, Sociology and Political Science

View Paper: https://www.semanticscholar.org/paper/5996d86c87d96b0666f87d1d9f5dffbf0da73de3

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Citations in the corpus

Pricing methods and hedging strategies for volatility derivatives (2006, neutral): “3 When there are transaction costs [21] we replace (21) with:”
Efficient numerical methods for pricing American options under stochastic volatility (2008, methodology): “The projected SOR method introduced in [12] has been used widely for pricing American options; see, for example, [37], [39], [43].”
Take an issue: cultural economy and finance (2007, background): “Firms gather in such places to enable their traders and dealers to engage endlessly in the task of making sense of an increasingly financialized future produced by a finance-led capitalism that ‘creates new markets out of itself ’ (Arnoldi 2004: 38).”
The Theoretical Biologist's Toolbox: Quantitative Methods for Ecology and Evolutionary Biology (2006, background): “financial engineering (Wilmott 1998) and some readers may decide that this is indeed an attractive career for them.”
Analysis of the stability of the linear boundary condition for the Black–Scholes equation (2004, methodology): “When solving option pricing PDEs such as the Black-Scholes equation numerically, many authors [19, 18, 10] have recommended a linear asymptotic boundary condition (that the second derivative of the option value with respect to the underlying asset value be zero) as the asset price becomes large.”
κ-Minkowski spacetime and the star product realizations (2007, methodology): “[20],[22], but only for three particular choices of the function φ, namely φ = 1, φ = e−A and φ = A eA−1 .”
COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (2007, neutral): “These methods are commonly used for pricing options [30], [32], [34].”
An iterative method for pricing American options under jump-diffusion models (2011, neutral): “Moreover, many theoretical results are only valid for the log-normal distribution [25].”
Probability distribution of returns in the Heston model with stochastic volatility (2002, background): “Stochastic dynamics of stock prices is commonly described by a geometric (multiplicative) Brownian motion, which gives a log-normal probability distribution function (PDF) for stock price changes (returns) [1].”
Quadratic Convergence for Valuing American Options Using a Penalty Method (2001, background): “Now, from [29, 32], we know that the value of an American call option (where the underlying asset pays a proportional dividend) behaves like V = const .”
Numerical convergence properties of option pricing PDEs with uncertain volatility (2003, background): “Note that the Leland (1985) model of transaction costs can be formulated as a nonlinear PDE which is mathematically identical to equation (2.1) with nonlinearities of the form (2.4)-(2.5) (see Wilmott, 1998, for details).”
Convergence of numerical methods for valuing path-dependent options using interpolation (2002, background): “( 1979 ) , and from the continuous Green ' s function de - scribed in Wilmott ( 1998 ) .”