Bates Model; Stochastic Volatility; Jump-Diffusion; Characteristic Function; Option Pricing - Articles

A Mean-Field Stochastic Maximum Principle for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps via Malliavin Calculus (Articles)

Qing Zhou, Yong Ren

Journal of Applied Mathematics and Physics Vol.6 No.1, January 16, 2018

DOI: 10.4236/jamp.2018.61014 1,091 Downloads 2,602 Views Citations
A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps (Articles)

Liangliang Zhang

Journal of Mathematical Finance Vol.10 No.1, December 13, 2019

DOI: 10.4236/jmf.2020.101001 884 Downloads 2,181 Views Citations
A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options (Articles)

Tommaso Pellegrino

Journal of Mathematical Finance Vol.6 No.5, November 30, 2016

DOI: 10.4236/jmf.2016.65063 3,235 Downloads 7,364 Views Citations
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets (Articles)

Ata Assaf

Journal of Mathematical Finance Vol.7 No.2, May 31, 2017

DOI: 10.4236/jmf.2017.72026 2,317 Downloads 6,080 Views Citations
Analysis of Cross-Correlations in Emerging Markets Using Random Matrix Theory (Articles)

Thomas Chinwe Urama, Patrick Oseloka Ezepue, Chimezie Peters Nnanwa

Journal of Mathematical Finance Vol.7 No.2, May 16, 2017

DOI: 10.4236/jmf.2017.72015 1,991 Downloads 3,570 Views Citations
Systematic Stock Market Characterisation and Development: Perspectives from Random Matrix Theory, Option Pricing, Genetics, and Global Economics (Articles)

Patrick Oseloka Ezepue, Thomas Chinwe Urama, Mahmoud A. Taib Omar

Journal of Mathematical Finance Vol.9 No.2, April 8, 2019

DOI: 10.4236/jmf.2019.92007 1,036 Downloads 2,686 Views Citations
Pricing European Call Currency Option Based on Fuzzy Estimators (Articles)

Xing Yu, Hongguo Sun, Guohua Chen

Applied Mathematics Vol.2 No.4, March 31, 2011

DOI: 10.4236/am.2011.24058 5,588 Downloads 9,739 Views Citations
Study on Option Price Model of the Transaction of Information Commodities (Articles)

Changping HU, Xianjun QI

Journal of Service Science and Management Vol.2 No.4, December 15, 2009

DOI: 10.4236/jssm.2009.24047 5,353 Downloads 8,901 Views Citations
Pricing Callable Bonds Based on Monte Carlo Simulation Techniques (Articles)

Deng Ding, Qi Fu, Jacky So

Technology and Investment Vol.3 No.2, May 29, 2012

DOI: 10.4236/ti.2012.32015 10,334 Downloads 18,105 Views Citations
Parallel Binomial American Option Pricing under Proportional Transaction Costs (Articles)

Nan Zhang, Alet Roux, Tomasz Zastawniak

Applied Mathematics Vol.3 No.11A, November 27, 2012

DOI: 10.4236/am.2012.331245 4,978 Downloads 8,385 Views Citations
This article belongs to the Special Issue on Computing
Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals (Articles)

Heli Gao

Journal of Applied Mathematics and Physics Vol.4 No.11, November 22, 2016

DOI: 10.4236/jamp.2016.411205 1,551 Downloads 2,791 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 3,025 Downloads 4,230 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 1,237 Downloads 3,170 Views Citations
A Note on the Kou’s Continuity Correction Formula (Articles)

Ting Liu, Chang Feng, Yanqiong Lu, Bei Yao

Open Journal of Social Sciences Vol.3 No.11, November 20, 2015

DOI: 10.4236/jss.2015.311005 3,417 Downloads 4,691 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 5,216 Downloads 11,759 Views Citations
Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market (Articles)

Zhentao Liu, Gilbert V. Nartea, Ji Wu

Theoretical Economics Letters Vol.8 No.1, January 29, 2018

DOI: 10.4236/tel.2018.81005 1,196 Downloads 2,722 Views Citations
This article belongs to the Special Issue on Financial Economics
The Valuation of Corruption (Articles)

Joseph Atta-Mensah

Journal of Mathematical Finance Vol.6 No.5, November 17, 2016

DOI: 10.4236/jmf.2016.65051 2,072 Downloads 5,713 Views Citations
The Pricing of Dual-Expiry Exotics with Mean Reversion and Jumps (Articles)

Kevin Z. Tong, Dongping Hou, Jianhua Guan

Journal of Mathematical Finance Vol.9 No.1, January 29, 2019

DOI: 10.4236/jmf.2019.91003 1,122 Downloads 2,544 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 6,766 Downloads 13,034 Views Citations
Dynamic Option Pricing Model Based on the Realized-GARCH-NIG Approach (Articles)

Honglei Zhang, Yixiang Tian, Gaoxun Zhang

Open Journal of Social Sciences Vol.4 No.3, March 15, 2016

DOI: 10.4236/jss.2016.43011 2,606 Downloads 3,941 Views Citations

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