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ISSN
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Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options
(Articles)
Qiang Zhao
,
Guo Liu
,
Guiding Gu
Journal of Mathematical Finance
Vol.3 No.4
,October 17, 2013
DOI:
10.4236/jmf.2013.34045
7,451
Downloads
11,920
Views
Citations
An Option Pricing Analysis of Exotic Bonus Certificates—The Case of Bonus Certificates PLUS
(Articles)
Rodrigo Hernandez
,
Pu Liu
Theoretical Economics Letters
Vol.4 No.5
,June 9, 2014
DOI:
10.4236/tel.2014.45044
7,140
Downloads
8,694
Views
Citations
This article belongs to the Special Issue on
The Bond and Money Markets
Valuation of Certificates on a Straddle with Forward Start—Theory and Evidence
(Articles)
Rodrigo Hernandez
,
Yinying Shao
Theoretical Economics Letters
Vol.4 No.5
,June 9, 2014
DOI:
10.4236/tel.2014.45045
5,081
Downloads
6,389
Views
Citations
This article belongs to the Special Issue on
The Bond and Money Markets
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
(Articles)
Lorella Fatone
,
Francesca Mariani
,
Maria Cristina Recchioni
,
Francesco Zirilli
Journal of Applied Mathematics and Physics
Vol.2 No.7
,June 13, 2014
DOI:
10.4236/jamp.2014.27062
5,102
Downloads
6,979
Views
Citations
The Role of Collateral in Credit Markets
(Articles)
Joseph Atta-Mensah
Journal of Mathematical Finance
Vol.5 No.4
,November 5, 2015
DOI:
10.4236/jmf.2015.54027
4,179
Downloads
6,793
Views
Citations
A Comparison Study of ADI and LOD Methods on Option Pricing Models
(Articles)
Neda Bagheri
,
Hassan Karnameh Haghighi
Journal of Mathematical Finance
Vol.7 No.2
,May 15, 2017
DOI:
10.4236/jmf.2017.72014
1,509
Downloads
2,355
Views
Citations
This article belongs to the Special Issue on
Option Pricing
Application of Fast N-Body Algorithm to Option Pricing under CGMY Model
(Articles)
Takayuki Sakuma
Journal of Mathematical Finance
Vol.7 No.2
,May 19, 2017
DOI:
10.4236/jmf.2017.72016
1,458
Downloads
2,468
Views
Citations
This article belongs to the Special Issue on
Option Pricing
A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1
(Articles)
Z. Guo
,
H. Schellhorn
Applied Mathematics
Vol.10 No.6
,June 28, 2019
DOI:
10.4236/am.2019.106034
616
Downloads
1,295
Views
Citations
This article belongs to the Special Issue on
Stochastic Process and Stochastic Calculus
Pricing European Option When the Stock Price Process Is Being Driven by Geometric Brownian Motion
(Articles)
Kebareng I. Moalosi-Court
Open Access Library Journal
Vol.6 No.8
,August 2, 2019
DOI:
10.4236/oalib.1105568
221
Downloads
789
Views
Citations
A New Binomial Tree Method for European Options under the Jump Diffusion Model
(Articles)
Lingkang Zhu
,
Xiu Kan
,
Huisheng Shu
,
Zifeng Wang
Journal of Applied Mathematics and Physics
Vol.7 No.12
,December 9, 2019
DOI:
10.4236/jamp.2019.712211
813
Downloads
1,681
Views
Citations
Review of Asian Options
(Articles)
Jiaying Han
,
Yicheng Hong
Open Access Library Journal
Vol.9 No.2
,February 15, 2022
DOI:
10.4236/oalib.1108358
183
Downloads
1,612
Views
Citations
Perpetual American Call Option under Fractional Brownian Motion Model
(Articles)
Atsuo Suzuki
Journal of Mathematical Finance
Vol.13 No.2
,May 31, 2023
DOI:
10.4236/jmf.2023.132014
98
Downloads
396
Views
Citations
This article belongs to the Special Issue on
Pricing Strategy and Theory
Adaptive Wave Models for Sophisticated Option Pricing
(Articles)
Vladimir G. Ivancevic
Journal of Mathematical Finance
Vol.1 No.3
,November 25, 2011
DOI:
10.4236/jmf.2011.13006
5,166
Downloads
10,494
Views
Citations
Research on the Protection of Vulnerable Groups in Water Pollution Conflicts Based on Binomial Tree Pricing Model
(Articles)
Yanping Chen
,
Tiejun Cheng
,
Fengping Wu
Journal of Water Resource and Protection
Vol.7 No.8
,June 30, 2015
DOI:
10.4236/jwarp.2015.78054
2,806
Downloads
3,613
Views
Citations
This article belongs to the Special Issue on
Water Pollution and Control
A Linear Regression Approach for Determining Option Pricing for Currency-Rate Diffusion Model with Dependent Stochastic Volatility, Stochastic Interest Rate, and Return Processes
(Articles)
Raj Jagannathan
Journal of Mathematical Finance
Vol.8 No.1
,February 28, 2018
DOI:
10.4236/jmf.2018.81013
984
Downloads
2,363
Views
Citations
An Extension of the Black-Scholes and Margrabe Formulas to a Multiple Risk Economy
(Articles)
Werner Hürlimann
Applied Mathematics
Vol.2 No.4
,March 31, 2011
DOI:
10.4236/am.2011.24053
6,343
Downloads
12,043
Views
Citations
Recent Developments in Option Pricing
(Articles)
Hui Gong
,
You Liang
,
Aerambamoorthy Thavaneswaran
Journal of Mathematical Finance
Vol.1 No.3
,November 25, 2011
DOI:
10.4236/jmf.2011.13009
6,673
Downloads
13,486
Views
Citations
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates
(Articles)
Sarisa Pinkham
,
Pairote Sattayatham
Journal of Mathematical Finance
Vol.1 No.3
,November 25, 2011
DOI:
10.4236/jmf.2011.13013
4,864
Downloads
10,997
Views
Citations
A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
(Articles)
Farshid Mehrdoust
,
Kianoush Fathi Vajargah
Journal of Mathematical Finance
Vol.2 No.2
,May 23, 2012
DOI:
10.4236/jmf.2012.22021
4,883
Downloads
9,839
Views
Citations
Pricing Options on Foreign Currency with a Preset Exchange Rate
(Articles)
Avner Wolf
,
Christopher Hessel
Journal of Mathematical Finance
Vol.2 No.3
,August 31, 2012
DOI:
10.4236/jmf.2012.23024
5,980
Downloads
10,525
Views
Citations
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