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Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach

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Cited by:

  1. Feng, Liming & Jiang, Pingping & Wang, Yongjin, 2020. "Constant elasticity of variance models with target zones," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  2. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015. "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 343-360.
  3. Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
  4. Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  5. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007, January-A.
  6. Antonio Falcó & Francisco Chinesta & Mariano González, 2006. "Model Reduction Methods In Option Pricing," Working Papers. Serie AD 2006-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  7. Likuan Qin & Vadim Linetsky, 2014. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing," Papers 1411.3075, arXiv.org, revised Sep 2015.
  8. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & José Carlos Dias, 2019. "Pricing Double Barrier Options On Homogeneous Diffusions: A Neumann Series Of Bessel Functions Representation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-24, September.
  9. Robert A. Jarrow & Pierre Patie & Anna Srapionyan & Yixuan Zhao, 2021. "Risk‐neutral pricing techniques and examples," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 857-884, July.
  10. Angelos Dassios & Jayalaxshmi Nagaradjasarma, 2006. "The square-root process and Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 337-347.
  11. Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
  12. Li, Lingfei & Linetsky, Vadim, 2014. "Optimal stopping in infinite horizon: An eigenfunction expansion approach," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 122-128.
  13. Aleksandar Mijatović, 2010. "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, vol. 14(1), pages 13-48, January.
  14. Christian Meier & Lingfei Li & Gongqiu Zhang, 2019. "Markov Chain Approximation of One-Dimensional Sticky Diffusions," Papers 1910.14282, arXiv.org.
  15. Jeong‐Hoon Kim & Jungwoo Lee & Song‐Ping Zhu & Seok‐Hyon Yu, 2014. "A multiscale correction to the Black–Scholes formula," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(6), pages 753-765, November.
  16. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, arXiv.org.
  17. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
  18. Evangelos Melas, 2018. "Classes of elementary function solutions to the CEV model. I," Papers 1804.07384, arXiv.org.
  19. Rafael Mendoza-Arriaga & Vadim Linetsky, 2014. "Time-changed CIR default intensities with two-sided mean-reverting jumps," Papers 1403.5402, arXiv.org.
  20. Yishen Li & Jin Zhang, 2004. "Option pricing with Weyl-Titchmarsh theory," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 457-464.
  21. Rafael Mendoza-Arriaga & Vadim Linetsky, 2011. "Pricing equity default swaps under the jump-to-default extended CEV model," Finance and Stochastics, Springer, vol. 15(3), pages 513-540, September.
  22. Dias, José Carlos & Nunes, João Pedro Vidal & da Silva, Fernando Correia, 2024. "Finite maturity caps and floors on continuous flows under the constant elasticity of variance process," European Journal of Operational Research, Elsevier, vol. 316(1), pages 361-385.
  23. Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
  24. Guangli Xu & Shiyu Song & Yongjin Wang, 2016. "The Valuation Of Options On Foreign Exchange Rate In A Target Zone," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-19, May.
  25. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
  26. Marianito R. Rodrigo, 2020. "Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach," Mathematics, MDPI, vol. 8(8), pages 1-20, August.
  27. Shiyu Song & Yongjin Wang, 2017. "Pricing double barrier options under a volatility regime-switching model with psychological barriers," Review of Derivatives Research, Springer, vol. 20(3), pages 255-280, October.
  28. C. Atkinson & S. Kazantzaki, 2009. "Double knock-out Asian barrier options which widen or contract as they approach maturity," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 329-340.
  29. Hyungbin Park, 2015. "Sensitivity Analysis of Long-Term Cash Flows," Papers 1511.03744, arXiv.org, revised Sep 2018.
  30. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
  31. Lingfei Li & Vadim Linetsky, 2013. "Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach," Operations Research, INFORMS, vol. 61(3), pages 625-643, June.
  32. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
  33. Volodymyr Babich, 2006. "Vulnerable options in supply chains: Effects of supplier competition," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(7), pages 656-673, October.
  34. Gongqiu Zhang & Lingfei Li, 2019. "Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior," Operations Research, INFORMS, vol. 67(2), pages 407-427, March.
  35. Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160, arXiv.org, revised Mar 2016.
  36. Hyungbin Park, 2016. "Ross recovery with recurrent and transient processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 667-676, May.
  37. Hyungbin Park, 2015. "The Martin Integral Representation of Markovian Pricing Kernels," Papers 1504.00276, arXiv.org.
  38. Jihun Han & Hyungbin Park, 2014. "The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels," Papers 1411.4606, arXiv.org, revised Sep 2015.
  39. Likuan Qin & Vadim Linetsky, 2016. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing," Operations Research, INFORMS, vol. 64(1), pages 99-117, February.
  40. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
  41. Ning Cai & S. G. Kou, 2011. "Option Pricing Under a Mixed-Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 57(11), pages 2067-2081, November.
  42. Hyungbin Park, 2014. "Ross Recovery with Recurrent and Transient Processes," Papers 1410.2282, arXiv.org, revised Oct 2015.
  43. Dias, José Carlos & Vidal Nunes, João Pedro, 2018. "Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable," European Journal of Operational Research, Elsevier, vol. 265(2), pages 559-570.
  44. Kevin Z. Tong & Allen Liu, 2019. "Option pricing in a subdiffusive constant elasticity of variance (CEV) model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-21, June.
  45. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
  46. Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig, 2010. "Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models," Papers 1007.4361, arXiv.org, revised Apr 2012.
  47. Han, Jihun & Park, Hyungbin, 2015. "The intrinsic bounds on the risk premium of Markovian pricing kernels," Finance Research Letters, Elsevier, vol. 13(C), pages 36-44.
  48. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
  49. Vadim Linetsky, 2004. "Spectral Expansions for Asian (Average Price) Options," Operations Research, INFORMS, vol. 52(6), pages 856-867, December.
  50. Guo, Zhi Jun, 2008. "A note on the CIR process and the existence of equivalent martingale measures," Statistics & Probability Letters, Elsevier, vol. 78(5), pages 481-487, April.
  51. Akihiko Takahashi & Toshihiro Yamada, 2015. "On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 513-541, March.
  52. Lim, Dongjae & Li, Lingfei & Linetsky, Vadim, 2012. "Evaluating callable and putable bonds: An eigenfunction expansion approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1888-1908.
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