Option Portfolio - Articles - Scientific Research Publishing

Some Properties for the American Option-Pricing Model (Articles)

Hong-Ming Yin

Journal of Mathematical Finance Vol.2 No.3, August 31, 2012

DOI: 10.4236/jmf.2012.23027 5,016 Downloads 9,398 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 4,830 Downloads 8,076 Views Citations
The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option (Articles)

Sure Mataramvura

Journal of Mathematical Finance Vol.2 No.4, November 19, 2012

DOI: 10.4236/jmf.2012.24031 3,591 Downloads 6,975 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 4,945 Downloads 8,315 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 6,829 Downloads 13,008 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 7,907 Downloads 13,203 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 9,647 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
One-Year Outcomes of Women Started on Antiretroviral Therapy during Pregnancy before and after the Implementation of Option B+ in Malawi: A Retrospective Chart Review from Three Facilities (Articles)

Alfred A. Kamuyango, Lisa R. Hirschhorn, Wenjia Wang, Perry Jansen, Risa M. Hoffman

World Journal of AIDS Vol.4 No.3, August 28, 2014

DOI: 10.4236/wja.2014.43039 3,695 Downloads 5,076 Views Citations
On the Efficacy of Fourier Series Approximations for Pricing European Options (Articles)

A. S. Hurn, K. A. Lindsay, A. J. McClelland

Applied Mathematics Vol.5 No.17, October 23, 2014

DOI: 10.4236/am.2014.517267 4,744 Downloads 6,331 Views Citations
A Real Options Approach to Distressed Property Borrower-Lender Reconciliation (Articles)

David J. Moore, Nuriddin Ikromov

Journal of Mathematical Finance Vol.5 No.1, February 25, 2015

DOI: 10.4236/jmf.2015.51007 3,856 Downloads 5,439 Views Citations
A Comparative Study of Email Forensic Tools (Articles)

Vamshee Krishna Devendran, Hossain Shahriar, Victor Clincy

Journal of Information Security Vol.6 No.2, April 10, 2015

DOI: 10.4236/jis.2015.62012 12,718 Downloads 17,390 Views Citations
Duopolistic Competition and Capacity Choice with Jump-Diffusion Process (Articles)

Danmei Chen

Journal of Mathematical Finance Vol.5 No.2, May 22, 2015

DOI: 10.4236/jmf.2015.52018 2,846 Downloads 3,955 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 4,464 Downloads 8,380 Views Citations
Valuating New Product Development Project with a Stochastic Volatility Model (Articles)

Chengru Hu, Chulhee Jun, Maggie Foley

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

DOI: 10.4236/jmf.2016.65064 1,798 Downloads 4,258 Views Citations
The Equation of Real Option Value under Trinomial Tree Model (Articles)

Changsheng Dou, Li Wang, Chenxi Zhu

Open Journal of Social Sciences Vol.5 No.3, March 13, 2017

DOI: 10.4236/jss.2017.53001 2,558 Downloads 4,922 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 1,696 Downloads 3,043 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 1,666 Downloads 3,158 Views Citations
This article belongs to the Special Issue on Option Pricing
A Study on Numerical Solution of Black-Scholes Model (Articles)

Md. Nurul Anwar, Laek Sazzad Andallah

Journal of Mathematical Finance Vol.8 No.2, May 17, 2018

DOI: 10.4236/jmf.2018.82024 2,342 Downloads 11,796 Views Citations

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