European option pricing using Gumbel distribution

JOURNAL ARTICLE published March 2022 in International Journal of Financial Engineering

Authors: Seema Uday Purohit | Prasad Narahar Lalit

THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING

JOURNAL ARTICLE published December 2012 in Annals of Financial Economics

Authors: ROBERT JARROW

The Black—Scholes Formula

BOOK CHAPTER published 2003 in Mathematical Finance and Probability

Authors: J. C. Cox | S. A. Ross | M. Rubinstein

9. Calibration of Local Volatility with American Options

BOOK CHAPTER published January 2005 in Computational Methods for Option Pricing

Simplified mean-variance portfolio optimisation

JOURNAL ARTICLE published May 2012 in Mathematics and Financial Economics

Authors: Claudio Fontana | Martin Schweizer

The Russian Options

BOOK CHAPTER published 2000 in Introduction to Option Pricing Theory

Authors: Gopinath Kallianpur | Rajeeva L. Karandikar

AUTOMATED OPTION PRICING: NUMERICAL METHODS

JOURNAL ARTICLE published December 2013 in International Journal of Theoretical and Applied Finance

Authors: PIERRE HENRY-LABORDÈRE

Front Matter

OTHER published 21 January 2003 in Risk‐Adjusted Lending Conditions

OPTION PRICING WITH FEEDBACK EFFECTS

JOURNAL ARTICLE published September 2004 in International Journal of Theoretical and Applied Finance

Authors: ALEXANDER LYUKOV

A Reduced Basis for Option Pricing

JOURNAL ARTICLE published January 2011 in SIAM Journal on Financial Mathematics

Authors: Rama Cont | Nicolas Lantos | Olivier Pironneau

Deep learning-based option pricing for Barndorff–Nielsen and Shephard model

JOURNAL ARTICLE published September 2023 in International Journal of Financial Engineering

Research funded by MEXT (Aid for Scientific Research (C) No. 18K03422,Aid for Scientific Research (C) No. 22K03419)

Authors: Takuji Arai

Analytical approximation for spread option pricing in local volatility model

JOURNAL ARTICLE published December 2017 in International Journal of Financial Engineering

Authors: Ying Yang

Some Excursions in Option Pricing

BOOK CHAPTER published 19 December 2013 in Nonlinear Option Pricing

Option Pricing in a Nutshell

BOOK CHAPTER published 19 December 2013 in Nonlinear Option Pricing

Stochastic Dominance: Introduction

BOOK CHAPTER published 2019 in Stochastic Dominance Option Pricing

Authors: Stylianos Perrakis

A NOVEL METHOD FOR ARBITRAGE-FREE OPTION SURFACE CONSTRUCTION

JOURNAL ARTICLE published December 2019 in Annals of Financial Economics

Authors: GREG OROSI

Citicorp's mortgage valuation model: Option-adjusted spreads and option-based durations

JOURNAL ARTICLE published June 1988 in The Journal of Real Estate Finance and Economics

Authors: Alan Jay Brazil

ASSET PRICING WITH NON-GEOMETRIC TYPE OF DIVIDENDS

JOURNAL ARTICLE published December 2015 in Annals of Financial Economics

Authors: AKIRA YAMAZAKI

ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING

JOURNAL ARTICLE published September 2021 in Annals of Financial Economics

Authors: ERDEM KILIC | OGUZHAN GÖKSEL

A Fourier Transform Method for Spread Option Pricing

JOURNAL ARTICLE published January 2010 in SIAM Journal on Financial Mathematics

Authors: T. R. Hurd | Zhuowei Zhou