THE BLACK‐SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS

By Martin Widdicks, Peter W. Duck, Ari D. Andricopoulos, David P. Newton. 2005

52 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/96f407fd5edaeb7516679ed03fd7b6014945f967

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Mechanics

1. Sam D. Howison
2. Peter W. Duck

In Finance

1. Sam D. Howison
2. Yipeng Yang
3. Jingyi Zhang
4. David P. Newton
5. Peter W. Duck
6. Shoude Li
7. Mengdi Gu
8. Zhongfei Li

In Numerical Analysis

1. Sam D. Howison

Citations in the corpus

• Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, methodology): “The CEV model was usually applied to calculating the theoretical price, sensitivities and implied volatility of options (e.g. Cox, 1996; Lo et al., 2000; Davydov and Linetsky, 2001; Detemple and Tian, 2002; Jones, 2003; Widdicks et al., 2005).”
• Matched Asymptotic Expansions in Financial Engineering (2005, methodology): “; for more complicated illustrations of the potential of the method in a Black–Scholes setting, see [6].”
• An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options (2008, background): “asymptotic analysis would provide a more accurate approximation ( Widdicks et al., 2005, ob-”