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DOI
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Journal
Affiliation
ISSN
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A Skewness-Adjusted Binomial Model for Pricing Futures Options—The Importance of the Mean and Carrying-Cost Parameters
(Articles)
Stafford Johnson
,
Amit Sen
,
Brian Balyeat
Journal of Mathematical Finance
Vol.2 No.1
,February 28, 2012
DOI:
10.4236/jmf.2012.21013
4,498
Downloads
8,329
Views
Citations
Equivalent Martingale Measure in Asian Geometric Average Option Pricing
(Articles)
Yonggang Zhu
Journal of Mathematical Finance
Vol.4 No.4
,August 28, 2014
DOI:
10.4236/jmf.2014.44027
4,807
Downloads
5,825
Views
Citations
The Simulation of European Call Options’ Sensitivity Based on Black-Scholes Option Formula
(Articles)
Yujie Cui
,
Baoli Yu
Journal of Mathematical Finance
Vol.2 No.3
,August 31, 2012
DOI:
10.4236/jmf.2012.23029
6,062
Downloads
10,499
Views
Citations
Introducing the Power Series Method to Numerically Approximate Contingent Claim Partial Differential Equations
(Articles)
Gerald W. Buetow
,
James Sochacki
Journal of Mathematical Finance
Vol.9 No.4
,October 25, 2019
DOI:
10.4236/jmf.2019.94031
898
Downloads
2,716
Views
Citations
This article belongs to the Special Issue on
Actuarial Science and Finance
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
7,115
Downloads
11,858
Views
Citations
On the Individual Expectations of Non-Average Investors
(Articles)
Lucia Del Chicca
,
Gerhard Larcher
Journal of Mathematical Finance
Vol.1 No.3
,November 8, 2011
DOI:
10.4236/jmf.2011.13010
5,188
Downloads
8,821
Views
Citations
Pricing Double Barrier Parisian Option Using Finite Difference
(Articles)
Xuemei Gao
Journal of Financial Risk Management
Vol.2 No.4
,October 31, 2013
DOI:
10.4236/jfrm.2013.24011
4,758
Downloads
9,078
Views
Citations
Pricing American Options Using Transition Probabilities: A Dynamical Systems Approach
(Articles)
Rocio Elizondo
,
Pablo Padilla
,
Mogens Bladt
Open Journal of Statistics
Vol.5 No.6
,October 20, 2015
DOI:
10.4236/ojs.2015.56056
3,547
Downloads
4,758
Views
Citations
The Operator Splitting Method for Black-Scholes Equation
(Articles)
Yassir Daoud
,
Turgut Öziş
Applied Mathematics
Vol.2 No.6
,June 22, 2011
DOI:
10.4236/am.2011.26103
6,303
Downloads
12,050
Views
Citations
A Comparison Study of ADI and LOD Methods on Option Pricing Models
(Articles)
Neda Bagheri
,
Hassan Karnameh Haghighi
Journal of Mathematical Finance
Vol.7 No.2
,May 15, 2017
DOI:
10.4236/jmf.2017.72014
1,495
Downloads
2,411
Views
Citations
This article belongs to the Special Issue on
Option Pricing
Pricing European Option When the Stock Price Process Is Being Driven by Geometric Brownian Motion
(Articles)
Kebareng I. Moalosi-Court
Open Access Library Journal
Vol.6 No.8
,August 2, 2019
DOI:
10.4236/oalib.1105568
218
Downloads
800
Views
Citations
Applying the Barycentric Jacobi Spectral Method to Price Options with Transaction Costs in a Fractional Black-Scholes Framework
(Articles)
B. F. Nteumagné
,
E. Pindza
,
E. Maré
Journal of Mathematical Finance
Vol.4 No.1
,January 21, 2014
DOI:
10.4236/jmf.2014.41004
6,499
Downloads
8,943
Views
Citations
This article belongs to the Special Issue on
Option Pricing Research
Option Pricing with Economic Feasibility
(Articles)
Yi-Jang Yu
Modern Economy
Vol.4 No.1
,January 31, 2013
DOI:
10.4236/me.2013.41009
4,117
Downloads
6,135
Views
Citations
Recent Developments in Fuzzy Sets Approach in Option Pricing
(Articles)
Srimantoorao S. Appadoo
,
Aerambamoorthy Thavaneswaran
Journal of Mathematical Finance
Vol.3 No.2
,May 24, 2013
DOI:
10.4236/jmf.2013.32031
4,514
Downloads
8,352
Views
Citations
A Simple Generalisation of Kirk’s Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method
(Articles)
Chi-Fai Lo
Journal of Mathematical Finance
Vol.4 No.3
,May 6, 2014
DOI:
10.4236/jmf.2014.43016
6,687
Downloads
9,558
Views
Citations
Performance of the Heston’s Stochastic Volatility Model: A Study in Indian Index Options Market
(Articles)
Shivam Singh
,
Alok Dixit
Theoretical Economics Letters
Vol.6 No.2
,April 6, 2016
DOI:
10.4236/tel.2016.62018
2,375
Downloads
4,371
Views
Citations
The Black-Scholes Merton Model
—Implications for the Option Delta and the Probability of Exercise
(Articles)
Sunil K. Parameswaran
,
Sankarshan Basu
Theoretical Economics Letters
Vol.10 No.6
,December 25, 2020
DOI:
10.4236/tel.2020.106080
585
Downloads
3,410
Views
Citations
On the Economic Premium Principle
(Articles)
Kazuhiro Takino
Theoretical Economics Letters
Vol.8 No.3
,February 14, 2018
DOI:
10.4236/tel.2018.83036
680
Downloads
1,316
Views
Citations
This article belongs to the Special Issue on
Financial Derivatives
An Extension of the Black-Scholes and Margrabe Formulas to a Multiple Risk Economy
(Articles)
Werner Hürlimann
Applied Mathematics
Vol.2 No.4
,March 31, 2011
DOI:
10.4236/am.2011.24053
6,314
Downloads
12,235
Views
Citations
Recent Developments in Option Pricing
(Articles)
Hui Gong
,
You Liang
,
Aerambamoorthy Thavaneswaran
Journal of Mathematical Finance
Vol.1 No.3
,November 25, 2011
DOI:
10.4236/jmf.2011.13009
6,647
Downloads
13,739
Views
Citations
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