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Forward deterministic pricing of options using Gaussian radial basis functions
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Forward deterministic pricing of options using Gaussian radial basis functions (2017)Forward deterministic pricing of options …BENCHOP – The BENCHmarking project in option pricing (2015)BENCHOP – The BENCHmarking pr…Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach (2013)Pricing European and American…Tools for Computational Finance (2012)Tools for Computational Finan…Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff (2009)Analysing multi-level Monte C…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Space–time adaptive finite difference method for European multi-asset options (2007)Space–time adaptive finite di…Theory of rational option pricing (2005)Theory of rational option pri…Operator splitting methods for American option pricing (2004)Operator splitting methods fo…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Transition Densities of Diffusion Processes (2002)Transition Densities of Diffu…Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002)Numerical Techniques for Maxi…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Theory of the Term Structure of Interest Rates (1985)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Maximum Likelihood Estimation of Latent Affine Processes (2006)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)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)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)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Modeling financial contagion using mutually exciting jump processes (2015)Portfolio management with heuristic optimization (2005)Numerical pricing of options using high-order compact finite difference schemes (2007)On the numerical solution of nonlinear Black–Scholes equations (2008)Option pricing: A simplified approach (1979)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes381 cited
  • 2012Tools for Computational Finance220 cited
  • 2004Operator splitting methods for American option pricing192 cited
  • 2002Transition Densities of Diffusion Processes105 cited
  • 2013Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach78 cited
  • 2009Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff78 cited
  • 2007Space–time adaptive finite difference method for European multi-asset options77 cited

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  • 2015BENCHOP – The BENCHmarking project in option pricing64 cited
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