Add to ORKGABSTRACT. This paper provides approximate formulas that generalize the Black-Scholes formula in all dimensions. Pricing and hedging of multivariate contingent claims are achieved by computing lower and upper bounds. These bounds are given in closed form in the same spirit as the classical one-dimensional Black-Scholes formula. Lower bounds perform remarkably well. Like in the onedimensional case, Greeks are also available in closed form. We discuss an extension to basket options with barrier. 1
Abstract: Several techniques of fundamental physics like quantum mechanics, field theory and related...
textabstract[MAS R-9914] Prices of tradables can only be expressed relative to eachother at any inst...
The paper considers a Black and Scholes economy with constant coefficients. A contingent claim is sa...
In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach c...
In this paper we consider a Black and Scholes economy and investigate two approaches to hedging cont...
This thesis consists of four theoretical essays on contingent claim analysis and its connection to M...
We propose a closed-form approximation for the price of basket options under a multivariate Black-Sc...
In this paper, using a perturbative method, a series expansion of the price of a (put up-and-out) ba...
This paper assumes that the underlying asset prices are lognormally distributed and drives necessary...
In the present paper we provide an analytical solution for pricing discrete barrier options in the B...
The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for ...
The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Sch...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
Abstract: Several techniques of fundamental physics like quantum mechanics, field theory and related...
textabstract[MAS R-9914] Prices of tradables can only be expressed relative to eachother at any inst...
The paper considers a Black and Scholes economy with constant coefficients. A contingent claim is sa...
In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach c...
In this paper we consider a Black and Scholes economy and investigate two approaches to hedging cont...
This thesis consists of four theoretical essays on contingent claim analysis and its connection to M...
We propose a closed-form approximation for the price of basket options under a multivariate Black-Sc...
In this paper, using a perturbative method, a series expansion of the price of a (put up-and-out) ba...
This paper assumes that the underlying asset prices are lognormally distributed and drives necessary...
In the present paper we provide an analytical solution for pricing discrete barrier options in the B...
The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for ...
The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Sch...
Abstract. A pricing method resulting in a closed formula is proposed for a large class of options su...
In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs...
AbstractThe aim of this paper is to study the Black-Scholes option pricing model. We discuss some de...
Abstract: Several techniques of fundamental physics like quantum mechanics, field theory and related...
textabstract[MAS R-9914] Prices of tradables can only be expressed relative to eachother at any inst...
The paper considers a Black and Scholes economy with constant coefficients. A contingent claim is sa...