[۴] زرگری، بهناز؛ زمانی، شیوا؛ ظهوری زنگنه، بیژن؛ کنت، راما. استخراج فرمول قیمت گذاری اختیارمعامله در مدل هستون. فرهنگ و اندیشه ی ریاضی، شماره ی ۴۴(بهار ۱۳۸۹).
[۵] هال، جان؛ ترجمه ی: سیاح، سجاد؛ صالح آبادی، علی؛ مبانی مهندسی مالی و مدیریت ریسک. ویرایش دوم. تهران: گروه رایانه تدبیر پرداز، ۱۳۸۴٫
[۶] Amin, K.” Jump-diffusion option valuation in discrete time". J. Finance
۴۸(۱۹۹۳), pp. 1833-1863.
[۷] Andersen, L; Andreasen,J." Jump-diffusion models: Volatility smile fitting and numerical methods for pricing“. Rev. Derivatives Research, 4 (2000), pp. 231–۲۶۲٫
[۸] Applebaum,D. Levy Processes and Stochastic Calculus. 2th ed.Cambridge University Press, 2009.
[۹] Athreya, Krishna, B; Lahiri, Soumendra, N. Measure Theory and Probability Theory. Springer Tests in Statistics. 2006.
[۱۰] Bachelier,L. “Theorie de la Speculation”. Annales Scientifiques de L’ Ecole Normale Superieure. (1900), pp. 21-86.
[۱۱] Bachelier,L. Theorie de la Speculation. Paris: Gauthier-Villars,1900.
[۱۲] Barles,G; Souganidis,P. “Convergence of approximation schemes for fully nonlinear second order equations“. Asymptotic Anal, 4 (1991), pp. 271–۲۸۳٫
[۱۳] Boyarchenko, S; Levendorskii. S. Non-Gaussian Merton-Black- Scholes Theory. World Scientific: River Edge, NJ, 2002.
[۱۴] Bensoussan,A; Lions,J,-L. Contrˆole Impulsionnel et In´equations Quasi-Variationnelles. Dunod, Paris, 1982.
[۱۵] Black, F; Scholes M. “The Pricing of Options andCorporate Liabilities". Journal of Political Economy. 3,1973. pp. 637-654.
[۱۶] Brandimarte,P. Numerical Methods in Finance and Economice:A Matlab-Based Introduction. 2th ed. A John Wiley & Sons. 2006.
[۱۷] Brezeniak, Z ; Zastawniak,T. Basic Stochastic Processes. Kingeston upon Hull. 2000.
[۱۸] Carr, P; Faguet, D. Fast accurate valuation of American options working paper. Cornell University. 1994.
[۱۹] Carr, P; Gernan, H; Madan, D; Yor, M. “The fine structure of as asset returns:
An empirical investigation“. Journal of Business, 75 (2002).
[۲۰] Carr, P; Madan, D.” Option valuation using the fast Fourier transform”. J. Comput.Finance, 2 (1998), pp. 61–۷۳٫
[۲۱] Carr, P ; Wu, L.” The finite moment logstable process and option pricing“. J. Finance, 58(2003), pp. 753–۷۷۸٫
[۲۲] Chung, K, L. A Course in Probability Theory. 3th ed. Academic Press. 2001.
[۲۳] Cinlar,E. Probability and Stochastics. Springer. 2010.
[۲۴] Cont, R ; Tankov,T. Financial Modelling with Jump Processes. Chapman & Hall/CRC,Boca Raton, FL. 2004.
[۲۵] Cont, R ; Tankov,T." Nonparametric calibration of jump-diffusion option pricing models“. J. Comput. Finance, 7 (2004), pp. 1–۴۹٫
[۲۶] Cont, R; Voltchkova, E.” Finite difference methods for option pricing in jump-diffusion and exponential Levy models“. Rapport Interne 513, CMAP, Ecole Polytechnique. 4(2003). pp. 1596-1626.
[۲۷] Cont, R; Voltchkova, E." Integrodifferential equations for option prices in exponential L´evy models“. Finance Stoch. 9 (2005), pp. 299–۳۲۵٫
[۲۸] Crandall, M, G; Ishii, H; Lions, P,-L." User’s guide to viscosity solutions of second order partial differential equations“. Bull. Amer. Math. Soc. (N.S.), 27 (1992), pp. 1–۶۷٫
[۲۹] Crandall, M; Lions,P,-L." Two approximations of solutions of Hamilton-Jacobi equations”. Math. Comp. 43 (1984), pp. 1–۱۹٫
[۳۰] Derman, E; Kani, I.” Riding on a Smile”. RISK, 7 (1994), pp. 32-39.
[۳۱] D’Halluin, Y; Forsyth,P, A; Labahn, G." A penalty method for American options with jump diffusion processes“. Numer. Math., 97 (2004), pp. 321–۳۵۲٫
[۳۲] Duffy, D, J. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach. A John Wiley & Sons. 2006.
[۳۳] Dupire, В.” Pricing with a smile”. RISK, 7 (1994), pp. 18-20.
[۳۴] Garroni, M, G; Menaldi, J, L. Second Order Elliptic Integro-Differential Problems. Chapman & Hall/CRC, Boca Raton, FL, 2002.
[۳۵] Harrison, J, M; Pliska,S, R.” Martingals and Stochastic Integrals in the Theory of Contiuous trading“. Stochastic Process. Appl. 11(1981), pp. 215-260.
[۳۶] Hull, J, C. Options, Futures and Other Derivatives. 6th ed. Prentice Hall Upper Saddle River . 2006.
[۳۷] Ito, K; Mckean, H, P, Jr. Diffusion Processes and Their sample Paths. New York. Springer, 1965.
[۳۸] Korn, R; Korn, E; Kroisandt, G. Monte Carlo Method and Models in Finance and Insurance. Chapman & Hall/CRC, 2010.
[۳۹] Krylov, N." On the rate of convergence of finite difference approximations for Bellman’s equations” St. Petersburg Math. J. 9 (1997), pp. 245–۲۵۶٫
[۴۰] Krylov, N." On the rate of convergence of finite difference approximations for Bellman’s equations with variable coefficients“. Probab. Theory Related Fields, 117 (1997), pp. 1–۱۶٫
[۴۱] Lyuu, Y,-D. Financial Engineering and Computation Principles, Mathematics, Algorithms. National Taiwan University. Cambridge University Press, 2004.
[۴۲] Matache, A,-M; Petersdorff, T, Von; Schwab, C." Fast deterministic pricing of options on L´evy driven assets“. M2AN Math. Model. Numer. Anal. 38 (2004), pp. 37–۷۱٫
[۴۳] Mikosch, T. Elemntray Stochastic Calculus: with Finance in View. World Scientific, 1999.
[۴۴] Nualart, D; Schutens, W. “Chatic and Predictable Representations for Levy Processes“. Stochastic Processes and their Applications 90(2000), pp. 109–۱۲۲٫
[۴۵] Pascucci, A. PDE and Martingale Methods in Option Pricing. B&SS – Bocconi & Springer Series, 2011.
[۴۶] Samuelson, P." Rational Theory of Warrant Pricing“. Industrial Management Review, 6(1965), pp.13-39.
[۴۷] Sato, K. L´evy Processes and Infinitely Divisible Distributions. Cambridge University Press,Cambridge, UK, 1999.
[۴۸] Schoutens, W. Levy Processes in Finance. John Wiley & Sons, 2003
[۴۹] Shereve, S, E. Stochastic Calculus for Finance 2. Springer Finance, 2004.
تحقیقات انجام شده در رابطه با یک روش تفاضل متناهی برای ارزش گذاری اختیارمعاملات در مدل های لوی نمایی ...