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An Accurate FFT-Based Algorithm for Bermudan Barrier Option Pricing
(Articles)
Deng Ding
,
Zuoqiu Weng
,
Jingya Zhao
Intelligent Information Management
Vol.4 No.3
,May 25, 2012
DOI:
10.4236/iim.2012.43014
4,413
Downloads
7,820
Views
Citations
Pricing Bermudan Option with Variable Transaction Costs under the Information-Based Model
(Articles)
Matabel Odin
,
Jane Akinyi Aduda
,
Cyprian Ondieki Omari
Open Journal of Statistics
Vol.12 No.5
,October 10, 2022
DOI:
10.4236/ojs.2022.125033
88
Downloads
421
Views
Citations
This article belongs to the Special Issue on
Applied Statistics
Numerical Approximation of Information-Based Model Equation for Bermudan Option with Variable Transaction Costs
(Articles)
Matabel Odin
,
Jane Akinyi Aduda
,
Cyprian Ondieki Omari
Journal of Mathematical Finance
Vol.13 No.1
,February 21, 2023
DOI:
10.4236/jmf.2023.131006
110
Downloads
558
Views
Citations
The Model-Free Equivalence Condition for American Spread Options
(Articles)
Sang Baum Kang
,
Pascal Létourneau
Theoretical Economics Letters
Vol.7 No.4
,June 13, 2017
DOI:
10.4236/tel.2017.74055
1,178
Downloads
1,912
Views
Citations
Asset Pricing and Simulation Analysis Based on the New Mixture Gaussian Processes
(Articles)
Bo Peng
Journal of Applied Mathematics and Physics
Vol.11 No.8
,August 24, 2023
DOI:
10.4236/jamp.2023.118153
53
Downloads
205
Views
Citations
The Valuation of Corruption
(Articles)
Joseph Atta-Mensah
Journal of Mathematical Finance
Vol.6 No.5
,November 17, 2016
DOI:
10.4236/jmf.2016.65051
1,735
Downloads
4,337
Views
Citations
Valuation of European and American Options under Variance Gamma Process
(Articles)
Ferry Jaya Permana
,
Dharma Lesmono
,
Erwinna Chendra
Journal of Applied Mathematics and Physics
Vol.2 No.11
,October 28, 2014
DOI:
10.4236/jamp.2014.211114
3,671
Downloads
5,016
Views
Citations
Foreign Exchange Derivative Pricing with Stochastic Correlation
(Articles)
Topilista Nabirye
,
Philip Ngare
,
Joseph Mungatu
Journal of Mathematical Finance
Vol.6 No.5
,November 23, 2016
DOI:
10.4236/jmf.2016.65059
1,674
Downloads
3,104
Views
Citations
On the Location of a Free Boundary for American Options
(Articles)
Ronald Katende
,
Diaraf Seck
,
Philip Ngare
Journal of Mathematical Finance
Vol.6 No.5
,November 24, 2016
DOI:
10.4236/jmf.2016.65062
1,883
Downloads
4,129
Views
Citations
The Barone-Adesi Whaley Formula to Price American Options Revisited
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Applied Mathematics
Vol.6 No.2
,February 13, 2015
DOI:
10.4236/am.2015.62036
7,959
Downloads
14,037
Views
Citations
Random Timestepping Algorithm with Exponential Distribution for Pricing Various Structures of One-Sided Barrier Options
(Articles)
Hasan Alzubaidi
American Journal of Computational Mathematics
Vol.7 No.3
,August 3, 2017
DOI:
10.4236/ajcm.2017.73020
956
Downloads
2,214
Views
Citations
Analysis of Studies from 2000-2010 in Real Option Theory and Application to OM
(Articles)
Hui-Chuan Chen
American Journal of Operations Research
Vol.1 No.1
,March 25, 2011
DOI:
10.4236/ajor.2011.11003
5,542
Downloads
11,902
Views
Citations
Black-Scholes Option Pricing Model Modified to Admit a Miniscule Drift Can Reproduce the Volatility Smile
(Articles)
Matthew C. Modisett
,
James A. Powell
Applied Mathematics
Vol.3 No.6
,June 26, 2012
DOI:
10.4236/am.2012.36093
7,130
Downloads
11,895
Views
Citations
Study on Chinese Rural Drinking Water Option and Its Pricing
(Articles)
Jian-Fei Leng
,
Lu Li
Journal of Financial Risk Management
Vol.1 No.4
,December 18, 2012
DOI:
10.4236/jfrm.2012.14010
4,194
Downloads
8,361
Views
Citations
Some Explicit Formulae for the Hull and White Stochastic Volatility Model
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Int'l J. of Modern Nonlinear Theory and Application
Vol.2 No.1
,March 13, 2013
DOI:
10.4236/ijmnta.2013.21003
6,621
Downloads
12,305
Views
Citations
Generalized Option Betas
(Articles)
Sven Husmann
,
Neda Todorova
Journal of Mathematical Finance
Vol.3 No.3
,August 8, 2013
DOI:
10.4236/jmf.2013.33035
5,526
Downloads
8,695
Views
Citations
Pricing Options in Jump Diffusion Models Using Mellin Transforms
(Articles)
Robert Frontczak
Journal of Mathematical Finance
Vol.3 No.3
,August 15, 2013
DOI:
10.4236/jmf.2013.33037
7,455
Downloads
11,694
Views
Citations
Optimal Investment Strategy for Kinked Utility Maximization: Covered Call Option Strategy
(Articles)
Miwaka Yamashita
Journal of Mathematical Finance
Vol.4 No.2
,February 14, 2014
DOI:
10.4236/jmf.2014.42006
4,458
Downloads
7,436
Views
Citations
Pricing of Margrabe Options for Large Investors with Application to Asset-Liability Management in Life Insurance
(Articles)
Erik Bølviken
,
Frank Proske
,
Mark Rubtsov
Journal of Mathematical Finance
Vol.4 No.2
,February 27, 2014
DOI:
10.4236/jmf.2014.42011
4,246
Downloads
6,544
Views
Citations
Are Mispricings Long-Lasting or Short-Lived? Evidence from S & P 500 Index ETF Options
(Articles)
Feng Jiao
Theoretical Economics Letters
Vol.8 No.3
,February 12, 2018
DOI:
10.4236/tel.2018.83027
774
Downloads
2,044
Views
Citations
This article belongs to the Special Issue on
Financial Derivatives
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