Black-Scholes Option Pricing Model - Articles - Scientific Research Publishing

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 13,205 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 9,649 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 8,266 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
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 1,019 Downloads 2,588 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 311 Downloads 2,993 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 248 Downloads 1,012 Views Citations
This article belongs to the Special Issue on Pricing Strategy and Theory
The Perils of Relying on Return Data When Testing Asset Pricing Models (Articles)

John F. Pinfold

Journal of Mathematical Finance Vol.12 No.1, January 20, 2022

DOI: 10.4236/jmf.2022.121004 327 Downloads 1,194 Views Citations
Super-Diffusive Noise Source in Asset Dynamics (Articles)

Max-Olivier Hongler

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

DOI: 10.4236/jmf.2013.31004 3,978 Downloads 6,649 Views Citations
A Simple Generalisation of Kirk’s Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method (Articles)

Chi-Fai Lo

Journal of Mathematical Finance Vol.4 No.3, May 6, 2014

DOI: 10.4236/jmf.2014.43016 7,159 Downloads 10,013 Views Citations
An Accurate Numerical Integrator for the Solution of Black Scholes Financial Model Equation (Articles)

Iyakino P. Akpan, Johnson O. Fatokun

American Journal of Computational Mathematics Vol.5 No.3, September 2, 2015

DOI: 10.4236/ajcm.2015.53026 5,351 Downloads 7,039 Views Citations
Performance of the Heston’s Stochastic Volatility Model: A Study in Indian Index Options Market (Articles)

Shivam Singh, Alok Dixit

Theoretical Economics Letters Vol.6 No.2, April 6, 2016

DOI: 10.4236/tel.2016.62018 2,646 Downloads 5,467 Views Citations
On the Solution of the Multi-Asset Black-Scholes Model: Correlations, Eigenvalues and Geometry (Articles)

Mauricio Contreras, Alejandro Llanquihuén, Marcelo Villena

Journal of Mathematical Finance Vol.6 No.4, October 14, 2016

DOI: 10.4236/jmf.2016.64043 2,333 Downloads 6,266 Views Citations
This article belongs to the Special Issue on Portfolio Theory and Risk Management
Extended Model of Stock Price Behaviour (Articles)

Nico Koning, Daniel T. Cassidy, Rachid Ouyed

Journal of Mathematical Finance Vol.8 No.1, January 19, 2018

DOI: 10.4236/jmf.2018.81001 1,249 Downloads 3,039 Views Citations
Exact Solution of Fractional Black-Scholes European Option Pricing Equations (Articles)

Maryeme Ouafoudi, Fei Gao

Applied Mathematics Vol.9 No.1, January 30, 2018

DOI: 10.4236/am.2018.91006 1,642 Downloads 4,272 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 5,189 Downloads 11,697 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 5,100 Downloads 10,590 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 6,306 Downloads 11,513 Views Citations
Can Bailout Improve the Economic Welfare? A Structural Derivation of the Option Price (Articles)

Masayuki Otaki

Theoretical Economics Letters Vol.3 No.2, April 30, 2013

DOI: 10.4236/tel.2013.32017 3,710 Downloads 5,893 Views Citations

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