Option Pricing

By Feng Li. 2000

256 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e8a37d502b08611ff3c336bdb36447e6bf18d71e

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Citations in the corpus

Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations (2005, background): “6, it is clear that for 2 small the above functionals are good approximations of the following general type of look-back claim (see [8], [27] or [40]):”
Linear and nonlinear ultraparabolic equations of Kolmogorov type arising in diffusion theory and in finance (2002, background): “In the last decades mathematical models involving linear and non linear Kolmogorov type equations have also appeared in finance [1], [4], [5] and [49].”
QUADRATIC CONVERGENCE OF A PENALTY METHOD FOR VALUING AMERICAN OPTIONS (2000, methodology): “Another technique is to solve the discrete LCP using a relaxation method [20].”
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives (2007, unknown): “Two specifications have been proposed in the literature: Cox et al. (1979) assume equality between jump sizes 4 and Jarrow and Rudd (1983) assume equal probability of up and down jumps.”
Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (2008, unknown): “If we let r denote the constant risk-free rate, q the constant continuous dividend yield, then using standard Black-Scholes dynamic hedging arguments as shown in [12, 13], the value, V (S, I, t), of a European option which depends on S, I and t, and has the payoff V (S, I, T ) = Po(S, I) at expiry, ”
On multigrid for linear complementarity problems with application to American-style options. (2003, background): “In the American context, this would mean that buying the option for u, selling the asset immediately for E, and buying the asset on the market for s, would result in a risk-free profit of E − u − s > 0 in this s range, which contradicts the arbitrage concept [10, 23].”
Deviations from Put-Call Parity and Stock Return Predictability (2010, unknown): “We analyze whether the volatility spread captures some of the same information as the open buy put-call ratio Xit in Table 7.16 The interesting result in Table 7 is that there is a significant relation between deviations from put- 16 The data originate from Market Data Express and span the period Ja”
On a class of degenerate parabolic equations of Kolmogorov type (2005, background): “In the last decades the Black & Scholes theory has been developed by many authors and mathematical models involving KEs have appeared in the study of the so-called path-dependent contingent claims (see, for instance, [1], [4], [5] and [33]).”
On the complete model with stochastic volatility by Hobson and Rogers (2004, background): “where “A” denotes the path-dependent variable and r is the risk-free rate (see, for instance, [25]).”
A simple approach for pricing equity options with Markov switching state variables (2006, methodology): “The pricing of American options on stocks was rendered computable by the work of Cox et al. (1979) (CRR) and the ensuing work of Jarrow and Rudd (1983).”
A survey on the classical theory for Kolmogorov equation (2019, background): “In particular, several mathematical models involving linear and non linear Kolmogorov type equations have also appeared in finance [3], [9], [10] and [28].”
Quadratic Convergence for Valuing American Options Using a Penalty Method (2001, methodology): “As well, a single method can be used to handle American options and other nonlinearities, such as uncertain volatility and transaction cost models [33, 1].”