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Publication search results
found 394 matches
- 2024
- Eric Djeutcha, Jules Sadefo Kamdem:
Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model. Ann. Oper. Res. 334(1): 101-131 (2024) - Yunzhang Huo, Carman K. M. Lee, Shuzhu Zhang:
Correction to: Trinomial tree based option pricing model in supply chain financing. Ann. Oper. Res. 332(1): 1285 (2024) - Deepak Kumar Yadav, Akanksha Bhardwaj, Alpesh Kumar:
Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model. Comput. Appl. Math. 43(1): 6 (2024) - Clarinda Nhangumbe, Ercília Sousa:
Numerical solutions of an option pricing rainfall weather derivatives model. Comput. Math. Appl. 153: 43-55 (2024) - Youssef El-Khatib, Zororo S. Makumbe, Josep Vives:
Approximate option pricing under a two-factor Heston-Kou stochastic volatility model. Comput. Manag. Sci. 21(1): 3 (2024) - Oldouz Samimi, Farshid Mehrdoust:
Vasicek interest rate model under Lévy process and pricing bond option. Commun. Stat. Simul. Comput. 53(1): 529-545 (2024) - Sha Lin, Xuanmeng Lin, Xin-Jiang He:
Analytically pricing European options with a two-factor Stein-Stein model. J. Comput. Appl. Math. 440: 115662 (2024) - Lina Song, Wang Yu, Yousheng Tan, Ke Duan:
Calculations of fractional derivative option pricing models based on neural network. J. Comput. Appl. Math. 437: 115462 (2024) - Weinan Zhang, Pingping Zeng, Gongqiu Zhang, Yue Kuen Kwok:
Pricing Discretely Monitored Asian Options Under Regime-Switching and Stochastic Volatility Models with Jumps. J. Sci. Comput. 98(2): 47 (2024) - Vikas Maurya, Ankit Singh, Vivek S. Yadav, Manoj K. Rajpoot:
Efficient pricing of options in jump-diffusion models: Novel implicit-explicit methods for numerical valuation. Math. Comput. Simul. 217: 202-225 (2024) - Saghar Heidari:
A finite element method for pricing of continuous-installment options under a Markov-modulated model: existence, uniqueness, and stability of solutions. Soft Comput. 28(4): 3341-3351 (2024) - Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu, Xavier Warin:
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids. CoRR abs/2401.03245 (2024) - Emmanuil H. Georgoulis, Antonis Papapantoleon, Costas Smaragdakis:
A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models. CoRR abs/2401.06740 (2024) - Antonis Papapantoleon, Jasper Rou:
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models. CoRR abs/2403.00746 (2024) - 2023
- Yunzhang Huo, Carman K. M. Lee, Shuzhu Zhang:
Trinomial tree based option pricing model in supply chain financing. Ann. Oper. Res. 331(1): 141-157 (2023) - Jorge de Andrés-Sánchez:
A Fuzzy-Random Extension of Jamshidian's Bond Option Pricing Model and Compatible One-Factor Term Structure Models. Axioms 12(7): 668 (2023) - Geonwoo Kim:
A Simplified Approach to the Pricing of Vulnerable Options with Two Underlying Assets in an Intensity-Based Model. Axioms 12(12): 1105 (2023) - Hyun-Gyoon Kim, So-Yoon Cho, Jeong-Hoon Kim:
A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model. Comput. Appl. Math. 42(6): 296 (2023) - Zhengguang Shi, Pin Lyu, Jingtang Ma:
High-order methods for the option pricing under multivariate rough volatility models. Comput. Math. Appl. 139: 173-183 (2023) - Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici:
Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code). Comput. Methods Appl. Math. 23(2): 301-332 (2023) - Zhidong Guo, Xianhong Wang, Yunliang Zhang:
Option pricing under time interval driven model. Commun. Stat. Simul. Comput. 52(4): 1538-1545 (2023) - Xin-Jiang He, Sha Lin:
A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing. Expert Syst. Appl. 212: 118742 (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) - Hajar Nafia, Imane Agmour, Youssef El Foutayeni, Naceur Achtaich:
Pricing American put options model with application to oil options. Int. J. Comput. Sci. Math. 17(1): 67-78 (2023) - Qiansheng Zhang, Jingfa Liu, Haixiang Yao:
An option pricing model with adaptive interval-valued fuzzy numbers. Int. J. Comput. Sci. Math. 17(4): 371-381 (2023) - Razieh Delpasand, Mohammad Mehdi Hosseini:
Numerical solution of the three-asset Black-Scholes option pricing model using an efficient hybrid method. Int. J. Model. Simul. Sci. Comput. 14(2): 2350035:1-2350035:17 (2023) - Ting Jin, Hongxuan Xia:
Lookback option pricing models based on the uncertain fractional-order differential equation with Caputo type. J. Ambient Intell. Humaniz. Comput. 14(6): 6435-6448 (2023) - Kamran Kazmi:
A second order numerical method for the time-fractional Black-Scholes European option pricing model. J. Comput. Appl. Math. 418: 114647 (2023) - Fazlollah Soleymani, Shengfeng Zhu:
Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes. J. Comput. Appl. Math. 425: 115075 (2023) - Hebatollah Hashemi, Reza Ezzati, Naser Mikaeilvand, Mojtaba Nazari:
Study on fuzzy fractional European option pricing model with Mittag-Leffler kernel. J. Intell. Fuzzy Syst. 45(5): 8567-8582 (2023)
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