Multi-asset Black–Scholes model as a variable second class constrained dynamical system-Reference-Cited by-同舟云学术

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Multi-asset Black–Scholes model as a variable second class constrained dynamical system

Published:2016-09 Issue: Volume:457 Page:540-572
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Bustamante M.,Contreras M.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference41 articles.

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

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

3. Paul Wilmott on Quantitative Finance;Paul,2000

4. The Volatility Surface;Jim,2006

5. Pricing with a Smile Risk Magazine;Dupire,1994

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2. An Optimal Control Perspective on Classical and Quantum Physical Systems;Symmetry;2023-11-08

3. Endogenous stochastic arbitrage bubbles and the Black–Scholes model;Physica A: Statistical Mechanics and its Applications;2021-12

4. Robust and accurate construction of the local volatility surface using the Black–Scholes equation;Chaos, Solitons & Fractals;2021-09

5. Optimal non-uniform finite difference grids for the Black–Scholes equations;Mathematics and Computers in Simulation;2021-04

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