[BOOK][B] Quantitative methods in derivatives pricing: an introduction to computational finance
D Tavella - 2003 - books.google.com
This book presents a cogent description of the main methodologies used in derivatives
pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative …
pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative …
[BOOK][B] Analytical finance
JRM Röman - 2017 - Springer
This book is based upon lecture notes, used and developed for the course Analytical
Finance I at Mälardalen University in Sweden. The aim is to cover the most essential …
Finance I at Mälardalen University in Sweden. The aim is to cover the most essential …
[BOOK][B] Derivative Finanzmarktinstrumente: Eine anwendungsbezogene Einführung in Märkte, Strategien und Bewertung
B Rudolph, K Schäfer - 2010 - books.google.com
Das Buch führt umfassend und anwendungsorientiert in die breite Palette der derivativen
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …
Finanzmarktinstrumente ein. Die Charakteristika von Optionen und Futures werden …
An analysis of snow options for ski resort establishments
MF Beyazıt, E Koc - Tourism Management, 2010 - Elsevier
This study proposes a pricing method for put options on snow level for tourism
establishments operating in Palandoken ski resort in the east of Turkey. In the calculation of …
establishments operating in Palandoken ski resort in the east of Turkey. In the calculation of …
Early exercise decision in american options with dividends, stochastic volatility, and jumps
A Cosma, S Galluccio, P Pederzoli… - Journal of Financial and …, 2020 - cambridge.org
Using a fast numerical technique, we investigate a large database of investors' suboptimal
nonexercise of short-maturity American call options on dividend-paying stocks listed on the …
nonexercise of short-maturity American call options on dividend-paying stocks listed on the …
[HTML][HTML] Convergence rates of trinomial tree methods for option pricing under regime-switching models
J Ma, T Zhu - Applied Mathematics Letters, 2015 - Elsevier
Recently trinomial tree methods have been developed to option pricing under regime-
switching models. Although these novel trinomial tree methods are shown to be accurate via …
switching models. Although these novel trinomial tree methods are shown to be accurate via …
Pricing a CDO on stochastically correlated underlyings
In this paper, we propose a method to price collateralized debt obligations (CDO) within
Merton's structural model on underlyings with a stochastic mean-reverting covariance …
Merton's structural model on underlyings with a stochastic mean-reverting covariance …
Enhancing binomial and trinomial equity option pricing models
YS Kim, S Stoyanov, S Rachev, FJ Fabozzi - Finance Research Letters, 2019 - Elsevier
We extend the classical Cox–Ross–Rubinstein binomial model in two ways. We first develop
a binomial model with time-dependent parameters that equate all moments of the pricing …
a binomial model with time-dependent parameters that equate all moments of the pricing …
A computational weighted finite difference method for American and barrier options in subdiffusive Black–Scholes model
G Krzyżanowski, M Magdziarz - Communications in Nonlinear Science and …, 2021 - Elsevier
Subdiffusion is a well established phenomenon in physics. In this paper we apply the
subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time …
subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time …
[HTML][HTML] Option pricing incorporating factor dynamics in complete markets
Using the Donsker–Prokhorov invariance principle, we extend the Kim–Stoyanov–Rachev–
Fabozzi option pricing model to allow for variably-spaced trading instances, an important …
Fabozzi option pricing model to allow for variably-spaced trading instances, an important …