参考文献
参考文献
[1]Gatheral,J.The Volatility Surface:A Practioner’s Guide[M].New York,NY:John Wiley & Sons,2006.
[2]Dupire,B.Pricing With a Smile.Risk 7,1994:18-20.
[3]Derman,E.,Kani,I.,M.Kamal.Trading and Hedging Local Volatility[J].The Journal of Financial Engineering,1996,6:1233-1268.
[4]Roger Lee.The moment formula for implied volatility at extreme strikes[J].Mathematical Finance,2004,14(3):469-480.
[5]Roger Lee.Option pricing by transform methods:Extensions,unification,and error control[J].Journal of Computational Finance,2004,7(3):51-86.
[6]Heston,S.L.A Closed Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options[J].Review of Financial Studies,1993(6):327-343.
[7]Derman,E.,Kani,I.The Volatility Smile and its Implied Tree[R].Goldman Sachs Quantitative Strategies Research Notes.
[8]Derman,E.,Kani,I.,Zou,J.Z.The Local Volatility Surface:Unlocking the Information in Index Option Prices[J].Financial Analysts Journal,1996:25-36.
[9]Julien Hok,Shih-Hau Tan.Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods[J].Decisions in Economics and Finance,2019,42(2).
[10]Longstaff F,Schwartz E.Review of Finance.Valuing American Options by Simulation:A Simple Least-Squares Approach,2001.
[11]Fischer Black,Myron Scholes.The Pricing of Options and Corporate Liabilities[J]. The Journal of Political Economy,1973,81(3):637-654.
[12]Robert C.Merton.Theory of Rational Option Pricing[J].The Bell Journal of Economics and Management Science,1973,4(1):141-183.
[13]Merton Robert C.Option pricing when underlying stock returns are discontinuous[J].Journal of Financial Economics,1976,3(1-2).
[14]Merton Robert C.Continuous-Time Finance[M].Wiley-Blackwell,1992.(https://www.daowen.com)
[15]Steven Shreve.Stochastic Calculus for Finance I&II[M].Springer.2004.
[16]郑振龙,陈蓉.金融工程(第五版)[M].北京:高等教育出版社,2020.
[17][美]唐·M.钱斯(Dom M.Chance).金融衍生工具与风险管理(第十版)[M]. 路蒙佳,译.北京:中国人民大学出版社,2020.
[18]王晋忠.衍生金融工具(第二版)[M].北京:中国人民大学出版社,2019.
[19][加]约翰·赫尔(John C.Hull).期权、期货及其他衍生产品(原书第10版)[M].王勇,索吾林,译,北京:机械工业出版社,2018.
[20]谭春枝,王忠玉,唐菁菁.金融工程学理论与实务(第3版)[M].北京:北京大学出版社,2018.
[21][美]唐·钱斯(Don M.Chance),罗伯特·布鲁克斯(Robert Brooks).衍生工具与风险管理(第九版)[M].丁志杰,谢蓉蓉,郭凯,等,译.北京:机械工业出版社,2015.
[22]约翰·C·赫尔(John C.Hull).期货与期权市场导论(第7版)[M].郭宁,汪涛,韩瑾,译.北京:中国人民大学出版社,2014.
[23]萨利赫·N·内夫特奇.金融工程学原理(第二版)[M].王忠玉,董竹,董奕,译.北京:中国人民大学出版社,2014.
[24]周洛华.金融工程学(第3版)[M].上海:上海财经大学出版社,2011.
[25]徐成贤,薛宏刚.金融工程——计算技术与方法[M].北京:科学出版社,2007. [26]基思·卡思伯森,德克·尼奇.金融工程——衍生品与风险管理[M].张陶伟,彭永江,译.北京:中国人民大学出版社,2004.
[27]郑振龙.金融工程[M].北京:高等教育出版社,2003.
[28]洛伦茨 格利茨.金融工程学[M].唐旭,译.北京:经济科学出版社,1998.