Option Pricing Algorithms is a computational methodology within numerical finance that specifies systematic procedures for estimating the theoretical value of financial options by solving pricing models under varying assumptions and market conditions.
1.3K
Publications
62.6K
Citations
1.8K
Authors
850
Institutions
Publications per year
2017–2026
266
Parents
Publications
1.3K
Option valuation using the fast Fourier transform
Peter Carr, Dilip B. Madan · The Journal of Computational Finance · 1999 · 2.3K citations
Mark Rubinstein · The Journal of Finance · 1994 · 1.7K citations
Recovering Probability Distributions from Option Prices
Jens Carsten Jackwerth, Mark Rubinstein · The Journal of Finance · 1996 · 1.1K citations · Full text
1–5 of 1.3K
Authors
1.8K
- CW
18
h-index
- PF
14
h-index
- MS
12
h-index
- AK
12
h-index
- SL
12
h-index
1–5 of 1.8K
Institutions
850
Columbia University
New York, United States
17 h-index
22 publications
4.2K citations
Delft University of Technology
Delft, The Netherlands
16 h-index
30 publications
1.5K citations
Hong Kong University of Science and Technology
Hong Kong, Hong Kong
15 h-index
25 publications
1.1K citations
Centrum Wiskunde & Informatica
Amsterdam, The Netherlands
15 h-index
27 publications
1.4K citations
University of Waterloo
Waterloo, Canada
14 h-index
39 publications
3.3K citations
Imperial College London
London, United Kingdom
14 h-index
33 publications
817 citations
New York University
New York, United States
14 h-index
19 publications
1.4K citations
University of Hong Kong
Pok Fu Lam, Hong Kong
12 h-index
17 publications
760 citations
1–8 of 850
Venues
- The Journal of Computational Finance
66 publications · 6.7K citations
32
h-index
- SSRN Electronic Journal
Repository · 86 publications · 2.4K citations
28
h-index
- Quantitative Finance
58 publications · 1.8K citations
26
h-index
- Journal of Computational and Applied Mathematics
41 publications · 1.6K citations
23
h-index
- Applied Mathematical Finance
28 publications · 1.5K citations
22
h-index
1–5