DG framework for pricing European options under one-factor stochastic volatility models-Reference-Cited by-同舟云学术

DG framework for pricing European options under one-factor stochastic volatility models

Published:2018-12 Issue: Volume:344 Page:585-600
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Hozman Jiří,Tichý Tomáš

Funder

Czech Science Foundation (GAČR), Czech RepublicCzech Science Foundation (GAČR), Czech Republic

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference30 articles.

1. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973

2. Theory of rational option pricing;Merton;Bell J. Econ. Manag. Sci.,1973

3. The pricing of options on assets with stochastic volatilities;Hull;J. Finance,1987

4. Option pricing when the variance changes randomly: Theory, estimation, and an application;Scott;J. Financ. Quant. Anal.,1987

5. Option values under stochastic volatilities: Theory and empirical estimates;Wiggins;J. Financ. Econ.,1987

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