In this partial and selective literature review of option implied risk-neutral distributions and of
implied binomial trees, we start by observing that in efficient markets, there is information …

Given the price of a call or put option, the Black-Scholes implied volatility is the unique
volatility parameter for which the Black-Scholes formula recovers the option price. This …

Complementary to Chapter 11, the present chapter is devoted to the study of solution
methods for VIs that are of the monotone type and also for NCPs of the P 0 type. We already …

Optimization methods play a central role in financial modeling. This textbook is devoted to
explaining how state-of-the-art optimization theory, algorithms, and software can be used to …

Mathematical finance is an old science but has become a major topic for numerical analysts
since Merton [97], Black—Scholes [16] modeled financial derivatives. An excellent book for …

An implicit method is developed for the numerical solution of option pricing models where it
is assumed that the underlying process is a jump diffusion. This method can be applied to a …

The fair price for an American option where the underlying asset follows a jump diffusion
process can be formulated as a partial integral differential linear complementarity problem …

Analysts are accustomed to using prices for the information they contain. A stock price, for
example, can be thought of as an expected value of future cash flows. Each futures price …

The pricing equations derived from uncertain volatility models in finance are often cast in the
form of nonlinear partial differential equations. Implicit timestepping leads to a set of …

A jump-diffusion model for a single-asset market is considered. Under this assumption the
value of a European contingency claim satisfies a general partial integro-differential …