Multiscale Stochastic Volatility Models; Option Pricing; Calibration Problem; FX Data - Articles

Option Pricing Applications of Quadratic Volatility Models (Articles)

Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana

Journal of Mathematical Finance Vol.2 No.2，May 23, 2012

DOI: 10.4236/jmf.2012.22017 4,720 Downloads 9,215 Views Citations
The Stochastic Dominance Violation of Index Call Options in the Presence of Market Makers (Articles)

Sang Baum Kang

Theoretical Economics Letters Vol.8 No.9，June 13, 2018

DOI: 10.4236/tel.2018.89103 793 Downloads 1,399 Views Citations
This article belongs to the Special Issue on Financial Modeling
Differential Evolution Optimization of the Broken Wing Butterfly Option Strategy (Articles)

David Munoz Constantine, Richard Tymerski, Garrison Greenwood

Technology and Investment Vol.11 No.3，June 30, 2020

DOI: 10.4236/ti.2020.113003 908 Downloads 4,791 Views Citations
A Simple Model to Explain Expensive Index Call Options (Articles)

Sang Baum Kang

Theoretical Economics Letters Vol.7 No.3，March 16, 2017

DOI: 10.4236/tel.2017.73024 1,545 Downloads 3,104 Views Citations
Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market (Articles)

Wei Dai, Dejun Xie, Bianxia Sun

Open Journal of Social Sciences Vol.3 No.7，July 14, 2015

DOI: 10.4236/jss.2015.37011 3,476 Downloads 4,514 Views Citations
Modeling Cryptocurrency Market Volatility during FOMC Announcements: Evidence from High-Frequency Data (Articles)

Barış Falay

Journal of Mathematical Finance Vol.14 No.4，September 24, 2024

DOI: 10.4236/jmf.2024.144022 108 Downloads 607 Views Citations
The Barrier Binary Options (Articles)

Min Gao, Zhenfeng Wei

Journal of Mathematical Finance Vol.10 No.1，February 26, 2020

DOI: 10.4236/jmf.2020.101010 1,381 Downloads 5,427 Views Citations
Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility (Articles)

Daiki Maki

Open Journal of Statistics Vol.6 No.5，October 8, 2016

DOI: 10.4236/ojs.2016.65064 1,560 Downloads 2,616 Views Citations
Stochastic Maximum Principle for Optimal Advertising Models with Delay and Non-Convex Control Spaces (Articles)

Giuseppina Guatteri, Federica Masiero

Advances in Pure Mathematics Vol.14 No.6，June 18, 2024

DOI: 10.4236/apm.2024.146025 77 Downloads 324 Views Citations
Forecasting Crude Oil Price Volatility by Heston Model (Articles)

Patrick Kandege Mwanakatwe, Joanitha Daniel, Kulwa Roberth Nzungu

Journal of Mathematical Finance Vol.13 No.3，August 29, 2023

DOI: 10.4236/jmf.2023.133026 257 Downloads 1,254 Views Citations
The Cauchy Problem for the Heat Equation with a Random Right Part from the Space Sub_φ (Ω) (Articles)

Yuriy Kozachenko, Anna Slyvka-Tylyshchak

Applied Mathematics Vol.5 No.15，August 19, 2014

DOI: 10.4236/am.2014.515226 3,241 Downloads 4,158 Views Citations
The Asian Option Pricing when Discrete Dividends Follow a Markov-Modulated Model (Articles)

Yingyi Fang, Huisheng Shu, Xiu Kan, Xin Zhang, Zhiwei Zheng

Open Journal of Statistics Vol.7 No.6，December 29, 2017

DOI: 10.4236/ojs.2017.76074 1,053 Downloads 2,902 Views Citations
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 6,518 Downloads 12,418 Views Citations
A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques (Articles)

Farshid Mehrdoust, Kianoush Fathi Vajargah

Journal of Mathematical Finance Vol.2 No.2，May 23, 2012

DOI: 10.4236/jmf.2012.22021 4,976 Downloads 10,121 Views Citations
Pricing Options on Foreign Currency with a Preset Exchange Rate (Articles)

Avner Wolf, Christopher Hessel

Journal of Mathematical Finance Vol.2 No.3，August 31, 2012

DOI: 10.4236/jmf.2012.23024 6,122 Downloads 10,931 Views Citations
Can Bailout Improve the Economic Welfare? A Structural Derivation of the Option Price (Articles)

Masayuki Otaki

Theoretical Economics Letters Vol.3 No.2，April 30, 2013

DOI: 10.4236/tel.2013.32017 3,609 Downloads 5,599 Views Citations
The Efficiency Research on Stock Index Derivatives in a Bear Market—The Evidences from Hangseng Index Derivatives Markets (Articles)

Jie Wei

Technology and Investment Vol.4 No.2，May 24, 2013

DOI: 10.4236/ti.2013.42012 5,108 Downloads 7,518 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 4,951 Downloads 5,955 Views Citations
Option Pricing with Markov Switching in Uncertainty Markets (Articles)

Guoshuai Wang, Dianli Zhao

Open Journal of Applied Sciences Vol.5 No.5，May 12, 2015

DOI: 10.4236/ojapps.2015.55019 2,771 Downloads 3,676 Views Citations
Calibration and Simulation of Arbitrage Effects in a Non-Equilibrium Quantum Black-Scholes Model by Using Semi-Classical Methods (Articles)

Mauricio Contreras, Rely Pellicer, Daniel Santiagos, Marcelo Villena

Journal of Mathematical Finance Vol.6 No.4，October 12, 2016

DOI: 10.4236/jmf.2016.64042 1,494 Downloads 2,666 Views Citations
This article belongs to the Special Issue on Portfolio Theory and Risk Management

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