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Numerical analysis on binomial tree methods for a jump-diffusion model
9 references·1 citing·29 second hop
Numerical analysis on binomial tree methods for a jump-diffusion model (2003)Numerical analysis on binomial tree metho…Introduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…Jump Diffusion Option Valuation in Discrete Time (1993)Jump Diffusion Option Valuati…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Residual risks and hedging strategies in Markovian markets (1989)Residual risks and hedging st…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries (2010)Optimal Convergence Rate of t…Theory of Rational Option Pricing (1973)The arbitrage theory of capital asset pricing (1976)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)On Valuation and Risk Management at the Interface of Insurance and Finance (2002)Theory of rational option pricing (2005)A Guided Tour through Quadratic Hedging Approaches (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Martingales and stochastic integrals in the theory of continuous trading (1981)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Stochastic Differential Equations (2002)Stochastic Volatility for Lévy Processes (2003)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Of Smiles and Smirks: A Term Structure Perspective (1999)Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Backward Stochastic Differential Equations in Finance (1997)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2011Introduction to Stochastic Calculus Applied to Finance654 cited
  • 1985Hedging of non-redundant contingent claims460 cited
  • 1993Jump Diffusion Option Valuation in Discrete Time320 cited
  • 1989Residual risks and hedging strategies in Markovian markets87 cited

Cited by

  • 2010Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries15 cited

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