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Publication search results
found 20 matches
- 2023
- Song-Ping Zhu, Yawen Zheng:
An integral equation approach for pricing American put options under regime-switching model. Int. J. Comput. Math. 100(7): 1454-1479 (2023) - 2021
- Axel A. Araneda, Marcelo J. Villena:
Computing the CEV option pricing formula using the semiclassical approximation of path integral. J. Comput. Appl. Math. 388: 113244 (2021) - Sha Lin, Xin-Jiang He:
A new integral equation approach for pricing American-style barrier options with rebates. J. Comput. Appl. Math. 383: 113107 (2021) - Slavi G. Georgiev, Lubin G. Vulkov:
Computation of the unknown volatility from integral option price observations in jump-diffusion models. Math. Comput. Simul. 188: 591-608 (2021) - Venelin Todorov, Ivan Dimov, Stoyan Apostolov, Stoyan Poryazov:
Highly Efficient Stochastic Approaches for Computation of Multiple Integrals for European Options. ICICT (2) 2021: 1-9 - 2020
- Hazhir Aliahmadi, Mahsan Tavakoli-Kakhki, Hamid Khaloozadeh:
Option pricing under finite moment log stable process in a regulated market: A generalized fractional path integral formulation and Monte Carlo based simulation. Commun. Nonlinear Sci. Numer. Simul. 90: 105345 (2020) - Slavi G. Georgiev, Lubin G. Vulkov:
Computational recovery of time-dependent volatility from integral observations in option pricing. J. Comput. Sci. 39 (2020) - Venelin Todorov:
Advanced Stochastic Approaches Based on Lattice Rules for Multiple Integrals in Option Pricing. WCO@FedCSIS 2020: 407-423 - Venelin Todorov, Ivan Dimov, Stefka Fidanova, Stoyan Poryazov:
A New Optimized Stochastic Approach for Multiple Integrals in Option Pricing. FedCSIS (Communication Papers) 2020: 21-24 - 2017
- Junkee Jeon, Ji-Hun Yoon, Myungjoo Kang:
Pricing vulnerable path-dependent options using integral transforms. J. Comput. Appl. Math. 313: 259-272 (2017) - Kensuke Ishitani:
Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals. JSIAM Lett. 9: 13-16 (2017) - 2016
- Junkee Jeon, Heejae Han, Hyeonuk Kim, Myungjoo Kang:
An integral equation representation approach for valuing Russian options with a finite time horizon. Commun. Nonlinear Sci. Numer. Simul. 36: 496-516 (2016) - Andrew Lyasoff:
Another look at the integral of exponential Brownian motion and the pricing of Asian options. Finance Stochastics 20(4): 1061-1096 (2016) - 2015
- Jamal Amani Rad, Kourosh Parand, Saeid Abbasbandy:
Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options. Commun. Nonlinear Sci. Numer. Simul. 22(Issues): 1178-1200 (2015) - 2014
- Ghada Alobaidi, Sattar Mansi, Roland Mallier:
Numerical solution of an integral equation for perpetual Bermudan options. Int. J. Comput. Math. 91(5): 1005-1011 (2014) - Jamal Amani Rad, Kourosh Parand, Saeid Abbasbandy:
Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options. CoRR abs/1412.6063 (2014) - 2013
- Edgard Ngounda, Kailash C. Patidar, Edson Pindza:
Contour integral method for European options with jumps. Commun. Nonlinear Sci. Numer. Simul. 18(3): 478-492 (2013) - 2008
- Jules Sadefo Kamdem, Alan Genz:
Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options. Comput. Stat. Data Anal. 52(7): 3389-3407 (2008) - 2004
- Knut Petras:
Numerical Computation of an Integral Representation for Arithmetic-Average Asian Options. Computing 73(1): 25-39 (2004) - 2000
- Lester Ingber:
High-resolution path-integral development of financial options. CoRR physics/0001048 (2000)
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