Mathematical models of financial derivatives

By Yue Kuen Kwok. 2008

522 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/7f6a4965d3a45addae97ad265a4193d7f3184529

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In Economics and Econometrics

1. Daniel Sevcovic

Citations in the corpus

• A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations (2008, unknown): “[8, 9],) discuss its analytical properties.”
• Penalty methods for the numerical solution of American multi-asset option problems (2008, unknown): “[8,16] or [24].”
• Analytical and Numerical Methods for Pricing Financial Derivatives (2011, methodology): “It is well known (see Chapter 6 or [75, 33]) that for Asian options with a floating strike we can perform dimension reduction by introducing the following similarity variable: x = A/S, W (x, τ) = V (S,A, t)/A,”