Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

Published:2011-01 Issue:1 Volume:2 Page:901-934
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Cheng Wen,Costanzino Nick,Liechty John,Mazzucato Anna,Nistor Victor

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

http://epubs.siam.org/doi/pdf/10.1137/100796832

Reference25 articles.

1. Closed-form likelihood expansions for multivariate diffusions

2. The Pricing of Options and Corporate Liabilities

3. Approximate solutions to second order parabolic equations. I: Analytic estimates

4. The valuation of options for alternative stochastic processes

5. Pricing options with Green's functions when volatility, interest rate and barriers depend on time

Cited by 25 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Some asymptotics for short maturity Asian options;Stochastic Models;2024-09-05

2. Short-time expansion of one-dimensional Fokker-Planck equations with heterogeneous diffusion;Physical Review E;2024-06-03

3. SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS;International Journal of Theoretical and Applied Finance;2023-12-30

4. Approximate solutions to second-order parabolic equations: Evolution systems and discretization;Discrete and Continuous Dynamical Systems - S;2022

5. A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL;International Journal of Theoretical and Applied Finance;2020-05

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3