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Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach
2 references·4 citing·29 second hop
Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach (2003)Nonlinear integro-differential evolution …Hedging options for a large investor and forward-backward SDE's (1996)Hedging options for a large i…Optimal portfolio for a small investor in a market model with discontinuous prices (1990)Optimal portfolio for a small…Pricing American bond options using a penalty method (2012)Pricing American bond options…A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance (2011)A Penalty Method for the Nume…About the Pricing Equations in Finance (2010)About the Pricing Equations i…Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (2008)Error estimates for approxima…Option Pricing and Replication with Transactions Costs (1985)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models (2017)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing when underlying stock returns are discontinuous (1976)Stochastic Differential Equations and Diffusion Processes (1983)Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (1997)Insider Trading in a Continuous Time Market Model (1998)Portfolio choice with jumps: A closed-form solution (2009)A Theory of the Term Structure of Interest Rates (1985)Options, Futures and Other Derivatives (2003)Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme (2013)A finite difference method for pricing European and American options under a geometric Lévy process (2014)“Options, Futures, and Other Derivatives” (2016)Financial Modelling with Jump Processes (2003)Controlled Markov Processes and Viscosity Solutions (2005)A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations (2009)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Pricing of Options and Corporate Liabilities (1973)Numerical methods for forward-backward stochastic differential equations (1996)Finding adapted solutions of forward–backward stochastic differential equations: method of continuation (1997)Optimal consumption choices for a ‘large’ investor (1998)Brownian Motion and Stochastic Calculus (2007)Stochastic Integration and Differential Equations (2005)Theory of rational option pricing (2005)DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (2008)Maximum principle for optimal control problems of forward–backward regime-switching system and applications (2012)A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method (2013)
this work references cited by second hop

References

  • 1996Hedging options for a large investor and forward-backward SDE's207 cited
  • 1990Optimal portfolio for a small investor in a market model with discontinuous prices140 cited

Cited by

  • 2010About the Pricing Equations in Finance42 cited
  • 2008Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions41 cited
  • 2012Pricing American bond options using a penalty method37 cited
  • 2011A Penalty Method for the Numerical Solution of Hamilton–Jacobi–Bellman (HJB) Equations in Finance31 cited

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