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Modelling Financial Derivatives with MATHEMATICA
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Modelling Financial Derivatives with MATHEMATICA (1998)Modelling Financial Derivatives with MATH…On the computation of option prices and Greeks under the CEV model (2013)On the computation of option …Spline approximation method to solve an option pricing problem (2012)Spline approximation method t…Parametrix Approximation of Diffusion Transition Densities (2010)Parametrix Approximation of D…Closed Formula for Options with Discrete Dividends and Its Derivatives (2009)Closed Formula for Options wi…Instalment Options: A Closed-Form Solution and the Limiting Case (2008)Instalment Options: A Closed-…Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (2008)Differential equations and as…Speed and accuracy comparison of bivariate normal distribution approximations for option pricing (2003)Speed and accuracy comparison…Confined exponential approximations for the valuation of American options (2003)Confined exponential approxim…An analytic valuation formula for unprotected American call options on stocks with known dividends (1977)The valuation of compound options (1979)Options on the minimum or the maximum of two risky assets (1982)Option pricing: A simplified approach (1979)Binomial models for option valuation - examining and improving convergence (1996)The valuation of options for alternative stochastic processes (1976)Efficient Analytic Approximation of American Option Values (1987)Derivatives in Financial Markets with Stochastic Volatility (2000)Approximations for Asian options in local volatility models (2012)Adjoint Expansions in Local Lévy Models (2013)A probabilistic interpretation of the parametrix method ∗ (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing and static hedging of American-style options under the jump to default extended CEV model (2013)Pricing and static hedging of American-style knock-in options on defaultable stocks (2015)A Black–Scholes user's guide to the Bachelier model (2022)Theory of rational option pricing (2005)A fuzzy approach for R&D compound option valuation (2016)Theory of Financial Decision Making. (1988)Option pricing: Mathematical models and computation (1994)The Mathematics of Financial Derivatives (1995)Pricing of Discretely Sampled Asian Options Under Levy Processes (2012)A backward Monte Carlo approach to exotic option pricing (2017)“Options, Futures, and Other Derivatives” (2016)Cubic Spline Method for a Generalized Black‐Scholes Equation (2014)
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Cited by

  • 2010Parametrix Approximation of Diffusion Transition Densities48 cited
  • 2008Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls43 cited
  • 2013On the computation of option prices and Greeks under the CEV model40 cited
  • 2009Closed Formula for Options with Discrete Dividends and Its Derivatives23 cited
  • 2008Instalment Options: A Closed-Form Solution and the Limiting Case22 cited
  • 2012Spline approximation method to solve an option pricing problem18 cited
  • 2003Speed and accuracy comparison of bivariate normal distribution approximations for option pricing16 cited
  • 2003Confined exponential approximations for the valuation of American options16 cited

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