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export results for "integral option"
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@article{DBLP:journals/ijcm/ZhuZ23,
author = {Song{-}Ping Zhu and
Yawen Zheng},
title = {An integral equation approach for pricing American put options under
regime-switching model},
journal = {Int. J. Comput. Math.},
volume = {100},
number = {7},
pages = {1454--1479},
year = {2023},
url = {https://doi.org/10.1080/00207160.2023.2190828},
doi = {10.1080/00207160.2023.2190828},
timestamp = {Wed, 01 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/ijcm/ZhuZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jcam/AranedaV21,
author = {Axel A. Araneda and
Marcelo J. Villena},
title = {Computing the {CEV} option pricing formula using the semiclassical
approximation of path integral},
journal = {J. Comput. Appl. Math.},
volume = {388},
pages = {113244},
year = {2021},
url = {https://doi.org/10.1016/j.cam.2020.113244},
doi = {10.1016/J.CAM.2020.113244},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jcam/AranedaV21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jcam/LinH21,
author = {Sha Lin and
Xin{-}Jiang He},
title = {A new integral equation approach for pricing American-style barrier
options with rebates},
journal = {J. Comput. Appl. Math.},
volume = {383},
pages = {113107},
year = {2021},
url = {https://doi.org/10.1016/j.cam.2020.113107},
doi = {10.1016/J.CAM.2020.113107},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jcam/LinH21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/mcs/GeorgievV21,
author = {Slavi G. Georgiev and
Lubin G. Vulkov},
title = {Computation of the unknown volatility from integral option price observations
in jump-diffusion models},
journal = {Math. Comput. Simul.},
volume = {188},
pages = {591--608},
year = {2021},
url = {https://doi.org/10.1016/j.matcom.2021.05.008},
doi = {10.1016/J.MATCOM.2021.05.008},
timestamp = {Tue, 13 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/mcs/GeorgievV21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/icict/TodorovDAP21,
author = {Venelin Todorov and
Ivan Dimov and
Stoyan Apostolov and
Stoyan Poryazov},
editor = {Xin{-}She Yang and
Simon Sherratt and
Nilanjan Dey and
Amit Joshi},
title = {Highly Efficient Stochastic Approaches for Computation of Multiple
Integrals for European Options},
booktitle = {Proceedings of Sixth International Congress on Information and Communication
Technology - {ICICT} 2021, London, UK, Volume 2},
series = {Lecture Notes in Networks and Systems},
volume = {236},
pages = {1--9},
publisher = {Springer},
year = {2021},
url = {https://doi.org/10.1007/978-981-16-2380-6\_1},
doi = {10.1007/978-981-16-2380-6\_1},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/icict/TodorovDAP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cnsns/AliahmadiTK20,
author = {Hazhir Aliahmadi and
Mahsan Tavakoli{-}Kakhki and
Hamid Khaloozadeh},
title = {Option pricing under finite moment log stable process in a regulated
market: {A} generalized fractional path integral formulation and Monte
Carlo based simulation},
journal = {Commun. Nonlinear Sci. Numer. Simul.},
volume = {90},
pages = {105345},
year = {2020},
url = {https://doi.org/10.1016/j.cnsns.2020.105345},
doi = {10.1016/J.CNSNS.2020.105345},
timestamp = {Sat, 19 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cnsns/AliahmadiTK20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jocs/GeorgievV20,
author = {Slavi G. Georgiev and
Lubin G. Vulkov},
title = {Computational recovery of time-dependent volatility from integral
observations in option pricing},
journal = {J. Comput. Sci.},
volume = {39},
year = {2020},
url = {https://doi.org/10.1016/j.jocs.2019.101054},
doi = {10.1016/J.JOCS.2019.101054},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/jocs/GeorgievV20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/fedcsis/Todorov20,
author = {Venelin Todorov},
editor = {Stefka Fidanova},
title = {Advanced Stochastic Approaches Based on Lattice Rules for Multiple
Integrals in Option Pricing},
booktitle = {Recent Advances in Computational Optimization - Results of the Workshop
on Computational Optimization {WCO} 2020},
series = {Studies in Computational Intelligence},
volume = {986},
pages = {407--423},
publisher = {Springer},
year = {2020},
url = {https://doi.org/10.1007/978-3-030-82397-9\_21},
doi = {10.1007/978-3-030-82397-9\_21},
timestamp = {Tue, 21 Dec 2021 08:37:11 +0100},
biburl = {https://dblp.org/rec/conf/fedcsis/Todorov20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@inproceedings{DBLP:conf/fedcsis/TodorovDFP20,
author = {Venelin Todorov and
Ivan Dimov and
Stefka Fidanova and
Stoyan Poryazov},
editor = {Maria Ganzha and
Leszek A. Maciaszek and
Marcin Paprzycki},
title = {A New Optimized Stochastic Approach for Multiple Integrals in Option
Pricing},
booktitle = {Communication Papers of the 2020 Federated Conference on Computer
Science and Information Systems, FedCSIS 2020, Sofia, Bulgaria, September
6-9, 2020},
series = {Annals of Computer Science and Information Systems},
volume = {23},
pages = {21--24},
year = {2020},
url = {https://doi.org/10.15439/2020F109},
doi = {10.15439/2020F109},
timestamp = {Fri, 26 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/conf/fedcsis/TodorovDFP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jcam/JeonYK17,
author = {Junkee Jeon and
Ji{-}Hun Yoon and
Myungjoo Kang},
title = {Pricing vulnerable path-dependent options using integral transforms},
journal = {J. Comput. Appl. Math.},
volume = {313},
pages = {259--272},
year = {2017},
url = {https://doi.org/10.1016/j.cam.2016.09.024},
doi = {10.1016/J.CAM.2016.09.024},
timestamp = {Thu, 20 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/jcam/JeonYK17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/jsiaml/Ishitani17,
author = {Kensuke Ishitani},
title = {Computation of first-order Greeks for barrier options using chain
rules for Wiener path integrals},
journal = {{JSIAM} Lett.},
volume = {9},
pages = {13--16},
year = {2017},
url = {https://doi.org/10.14495/jsiaml.9.13},
doi = {10.14495/JSIAML.9.13},
timestamp = {Wed, 17 Feb 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/jsiaml/Ishitani17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cnsns/JeonHKK16,
author = {Junkee Jeon and
Heejae Han and
Hyeonuk Kim and
Myungjoo Kang},
title = {An integral equation representation approach for valuing Russian options
with a finite time horizon},
journal = {Commun. Nonlinear Sci. Numer. Simul.},
volume = {36},
pages = {496--516},
year = {2016},
url = {https://doi.org/10.1016/j.cnsns.2015.12.019},
doi = {10.1016/J.CNSNS.2015.12.019},
timestamp = {Mon, 20 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cnsns/JeonHKK16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/fs/Lyasoff16,
author = {Andrew Lyasoff},
title = {Another look at the integral of exponential Brownian motion and the
pricing of Asian options},
journal = {Finance Stochastics},
volume = {20},
number = {4},
pages = {1061--1096},
year = {2016},
url = {https://doi.org/10.1007/s00780-016-0307-1},
doi = {10.1007/S00780-016-0307-1},
timestamp = {Wed, 22 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/fs/Lyasoff16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cnsns/RadPA15,
author = {Jamal Amani Rad and
Kourosh Parand and
Saeid Abbasbandy},
title = {Local weak form meshless techniques based on the radial point interpolation
{(RPI)} method and local boundary integral equation {(LBIE)} method
to evaluate European and American options},
journal = {Commun. Nonlinear Sci. Numer. Simul.},
volume = {22},
number = {Issues},
pages = {1178--1200},
year = {2015},
url = {https://doi.org/10.1016/j.cnsns.2014.07.015},
doi = {10.1016/J.CNSNS.2014.07.015},
timestamp = {Sat, 05 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cnsns/RadPA15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/ijcm/AlobaidiMM14,
author = {Ghada Alobaidi and
Sattar Mansi and
Roland Mallier},
title = {Numerical solution of an integral equation for perpetual Bermudan
options},
journal = {Int. J. Comput. Math.},
volume = {91},
number = {5},
pages = {1005--1011},
year = {2014},
url = {https://doi.org/10.1080/00207160.2013.817569},
doi = {10.1080/00207160.2013.817569},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/ijcm/AlobaidiMM14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/corr/RadPA14,
author = {Jamal Amani Rad and
Kourosh Parand and
Saeid Abbasbandy},
title = {Local weak form meshless techniques based on the radial point interpolation
{(RPI)} method and local boundary integral equation {(LBIE)} method
to evaluate European and American options},
journal = {CoRR},
volume = {abs/1412.6063},
year = {2014},
url = {http://arxiv.org/abs/1412.6063},
eprinttype = {arXiv},
eprint = {1412.6063},
timestamp = {Mon, 13 Aug 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/corr/RadPA14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/cnsns/NgoundaPP13,
author = {Edgard Ngounda and
Kailash C. Patidar and
Edson Pindza},
title = {Contour integral method for European options with jumps},
journal = {Commun. Nonlinear Sci. Numer. Simul.},
volume = {18},
number = {3},
pages = {478--492},
year = {2013},
url = {https://doi.org/10.1016/j.cnsns.2012.08.003},
doi = {10.1016/J.CNSNS.2012.08.003},
timestamp = {Sat, 05 Sep 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/cnsns/NgoundaPP13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/csda/KamdemG08,
author = {Jules Sadefo Kamdem and
Alan Genz},
title = {Approximation of multiple integrals over hyperboloids with application
to a quadratic portfolio with options},
journal = {Comput. Stat. Data Anal.},
volume = {52},
number = {7},
pages = {3389--3407},
year = {2008},
url = {https://doi.org/10.1016/j.csda.2007.12.006},
doi = {10.1016/J.CSDA.2007.12.006},
timestamp = {Tue, 18 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/csda/KamdemG08.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/computing/Petras04,
author = {Knut Petras},
title = {Numerical Computation of an Integral Representation for Arithmetic-Average
Asian Options},
journal = {Computing},
volume = {73},
number = {1},
pages = {25--39},
year = {2004},
url = {https://doi.org/10.1007/s00607-004-0066-2},
doi = {10.1007/S00607-004-0066-2},
timestamp = {Thu, 06 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/computing/Petras04.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/corr/physics-0001048,
author = {Lester Ingber},
title = {High-resolution path-integral development of financial options},
journal = {CoRR},
volume = {physics/0001048},
year = {2000},
url = {http://arxiv.org/abs/physics/0001048},
timestamp = {Mon, 13 Aug 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/corr/physics-0001048.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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