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A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing
14 references·0 citing·33 second hop
A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing (2017)A Stable and Convergent Finite Difference…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Introduction to Mathematical Finance (2008)Introduction to Mathematical …Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black–Scholes equations (2007)Stock exchange fractional dyn…Theory of rational option pricing (2005)Theory of rational option pri…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Introduction to Mathematical Finance (2000)Introduction to Mathematical …American option valuation under stochastic interest rates (2000)American option valuation und…PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)PRICING OF AMERICAN PATH‐DEPE…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1 (1994)CONVERGENCE OF AMERICAN OPTIO…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…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Option pricing: A simplified approach (1979)Efficient Analytic Approximation of American Option Values (1987)Monte Carlo methods for security pricing (1997)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Stochastic volatility models (2010)Numerical Valuation of High Dimensional Multivariate American Securities (1995)SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS (2001)Pricing Interest Rate Derivatives: A General Approach (2002)Brownian Motion and Stochastic Calculus (2007)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)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Systemic risk in banking ecosystems (2011)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 2000Introduction to Mathematical Finance349 cited
  • 1996PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS173 cited
  • 1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1118 cited
  • 2007Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black–Scholes equations115 cited
  • 2008Introduction to Mathematical Finance42 cited
  • 2000American option valuation under stochastic interest rates20 cited

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