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Applications of Hilfer-Prabhakar Operator to Option Pricing Financial Model
7 references·0 citing·28 second hop
Applications of Hilfer-Prabhakar Operator to Option Pricing Financial Model (2020)Applications of Hilfer-Prabhakar Operator…Option pricing beyond Black–Scholes based on double-fractional diffusion (2016)Option pricing beyond Black–S…Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (2014)Analytically pricing European…Option pricing with Mellin transnforms (2004)Option pricing with Mellin tr…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…A Simple Approach to Option Valuation and Hedging in the Black-Scholes Model (1994)A Simple Approach to Option V…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fractional Brownian Motions, Fractional Noises and Applications (1968)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations (2019)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008)The pricing of vulnerable options with double Mellin transforms (2014)Valuing vulnerable geometric Asian options (2016)Option valuation using the fast Fourier transform (1999)A predictor–corrector approach for pricing American options under the finite moment log-stable model (2015)“Options, Futures, and Other Derivatives” (2016)A fractional Black-Scholes model with stochastic volatility and European option pricing (2021)Review of the Fractional Black-Scholes Equations and Their Solution Techniques (2024)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)The Behavior of Stock-Market Prices (1965)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Stochastic skew in currency options☆ (2007)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)The economic determinants of interest rate option smiles (2007)Are voluntary disclosures that disavow the reliability of mandated fair value information informative or opportunistic? (2011)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 2004Option pricing with Mellin transnforms114 cited
  • 2014Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative62 cited
  • 2016Option pricing beyond Black–Scholes based on double-fractional diffusion59 cited
  • 1994A Simple Approach to Option Valuation and Hedging in the Black-Scholes Model53 cited

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