Black-Scholes Option Pricing - Articles - Scientific Research Publishing

Mathematical Analysis of Financial Model on Market Price with Stochastic Volatility (Articles)

Mitun Kumar Mondal, Md. Abdul Alim, Md. Faizur Rahman, Md. Haider Ali Biswas

Journal of Mathematical Finance Vol.7 No.2, May 19, 2017

DOI: 10.4236/jmf.2017.72019 3,128 Downloads 6,743 Views Citations
Applying the Barycentric Jacobi Spectral Method to Price Options with Transaction Costs in a Fractional Black-Scholes Framework (Articles)

B. F. Nteumagné, E. Pindza, E. Maré

Journal of Mathematical Finance Vol.4 No.1, January 21, 2014

DOI: 10.4236/jmf.2014.41004 6,744 Downloads 9,558 Views Citations
This article belongs to the Special Issue on Option Pricing Research
On the Individual Expectations of Non-Average Investors (Articles)

Lucia Del Chicca, Gerhard Larcher

Journal of Mathematical Finance Vol.1 No.3, November 8, 2011

DOI: 10.4236/jmf.2011.13010 5,411 Downloads 9,225 Views Citations
Pricing Double Barrier Parisian Option Using Finite Difference (Articles)

Xuemei Gao

Journal of Financial Risk Management Vol.2 No.4, October 31, 2013

DOI: 10.4236/jfrm.2013.24011 5,102 Downloads 9,749 Views Citations
Pricing American Options Using Transition Probabilities: A Dynamical Systems Approach (Articles)

Rocio Elizondo, Pablo Padilla, Mogens Bladt

Open Journal of Statistics Vol.5 No.6, October 20, 2015

DOI: 10.4236/ojs.2015.56056 3,807 Downloads 5,439 Views Citations
Option Pricing Model Driven by G-Lévy Process under the G-Expectation Framework (Articles)

Yingmei Xu, Yang Li

Journal of Applied Mathematics and Physics Vol.11 No.1, January 16, 2023

DOI: 10.4236/jamp.2023.111004 329 Downloads 1,169 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 5,300 Downloads 8,830 Views Citations
Option Pricing When Changes of the Underlying Asset Prices Are Restricted (Articles)

George J Jiang, Guanzhong Pan, Lei Shi

Journal of Mathematical Finance Vol.1 No.2, August 25, 2011

DOI: 10.4236/jmf.2011.12004 5,118 Downloads 10,473 Views Citations
Stochastic Volatility Jump-Diffusion Model for Option Pricing (Articles)

Nonthiya Makate, Pairote Sattayatham

Journal of Mathematical Finance Vol.1 No.3, November 8, 2011

DOI: 10.4236/jmf.2011.13012 5,761 Downloads 12,856 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 10,307 Downloads 17,998 Views Citations
Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications (Articles)

Oleksandr Zhylyevskyy

Theoretical Economics Letters Vol.2 No.4, November 1, 2012

DOI: 10.4236/tel.2012.24074 4,831 Downloads 8,078 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 4,946 Downloads 8,318 Views Citations
This article belongs to the Special Issue on Computing
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration (Articles)

Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Journal of Mathematical Finance Vol.3 No.1, February 26, 2013

DOI: 10.4236/jmf.2013.31002 6,830 Downloads 13,010 Views Citations
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 7,908 Downloads 13,211 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 7,455 Downloads 9,650 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 5,263 Downloads 6,988 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 5,447 Downloads 8,268 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 4,465 Downloads 8,384 Views Citations
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 1,666 Downloads 3,159 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 813 Downloads 2,030 Views Citations
This article belongs to the Special Issue on Stochastic Process and Stochastic Calculus

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