Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models

Journal of Financial Economics ◽

10.1016/j.jfineco.2011.05.007 ◽

2011 ◽

Vol 102 (2) ◽

pp. 390-415 ◽

Author(s):

Dennis Kristensen ◽

Antonio Mele

Keyword(s):

Continuous Time ◽

New Approach ◽

Black Scholes ◽

Continuous Time Models

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Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models

SSRN Electronic Journal ◽

10.2139/ssrn.1374212 ◽

2009 ◽

Author(s):

Dennis Kristensen ◽

Antonio Mele

Keyword(s):

Continuous Time ◽

New Approach ◽

Black Scholes ◽

Continuous Time Models

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Black-Scholes in a CEV Random Environment: A New Approach to Smile Modelling

SSRN Electronic Journal ◽

10.2139/ssrn.2586055 ◽

2015 ◽

Author(s):

Antoine Jacquier ◽

Patrick Roome

Keyword(s):

Random Environment ◽

New Approach ◽

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Diagnosing Multivariate Continuous-Time Models with Application to Affine Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.858724 ◽

2005 ◽

Author(s):

Bin Chen ◽

Yongmiao Hong

Keyword(s):

Term Structure ◽

Continuous Time ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Continuous Time Models

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Continuous-Time Models in Corporate Finance, Banking, and Insurance

10.2307/j.ctvc774r0 ◽

2018 ◽

Author(s):

Santiago Moreno-Bromberg ◽

Jean-Charles Rochet

Keyword(s):

Corporate Finance ◽

Continuous Time ◽

Continuous Time Models

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Identification of MIMO Continuous-Time Models Using Simultaneous Step Inputs

Industrial & Engineering Chemistry Research ◽

10.1021/acs.iecr.5b00481 ◽

2015 ◽

Vol 54 (29) ◽

pp. 7251-7260 ◽

Author(s):

Salim Ahmed ◽

Syed A. Imtiaz

Keyword(s):

Continuous Time ◽

Continuous Time Models

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Reliable safety analysis with continuous-time models

PAMM ◽

10.1002/pamm.200700381 ◽

2007 ◽

Vol 7 (1) ◽

pp. 1022903-1022904

Author(s):

Youdong Lin ◽

Mark A. Stadtherr

Keyword(s):

Continuous Time ◽

Safety Analysis ◽

Continuous Time Models

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A comparative study of continuous-time models for scheduling of crude oil operations in inland refineries

Computers & Chemical Engineering ◽

10.1016/j.compchemeng.2012.05.009 ◽

2012 ◽

Vol 44 ◽

pp. 141-167 ◽

Author(s):

Xuan Chen ◽

Ignacio Grossmann ◽

Li Zheng

Keyword(s):

Comparative Study ◽

Crude Oil ◽

Continuous Time ◽

Continuous Time Models

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Time-varying matrix estimation in stochastic continuous-time models under coloured noise using LSM with forgetting factor

International Journal of Systems Science ◽

10.1080/00207721003706852 ◽

2011 ◽

Vol 42 (12) ◽

pp. 2009-2020 ◽

Author(s):

J. Escobar ◽

A. Poznyak

Keyword(s):

Continuous Time ◽

Time Varying ◽

Forgetting Factor ◽

Coloured Noise ◽

Matrix Estimation ◽

Continuous Time Models

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Super-replication under proportional transaction costs: From discrete to continuous-time models

Mathematical Methods of Operations Research ◽

10.1007/s001860050099 ◽

1999 ◽

Vol 50 (2) ◽

pp. 297-320 ◽

Author(s):

Nizar Touzi

Keyword(s):

Transaction Costs ◽

Continuous Time ◽

Proportional Transaction Costs ◽

Continuous Time Models

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Intertemporal substitution in consumption, labor supply elasticity and sunspot fluctuations in continuous-time models

International Journal of Economic Theory ◽

10.1111/j.1742-7363.2007.00058.x ◽

2007 ◽

Vol 3 (4) ◽

pp. 235-259 ◽

Author(s):

Jean-Philippe Garnier ◽

Kazuo Nishimura ◽

Alain Venditti

Keyword(s):

Labor Supply ◽

Continuous Time ◽

Intertemporal Substitution ◽

Supply Elasticity ◽

Labor Supply Elasticity ◽

Continuous Time Models

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