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~institution:"University of Bonn, Germany"
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General game tree
1
Homogeneous Chaos
1
Karhunen-Loeve expansion
1
Numerical Method
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Numerical examples
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Option Pricing
1
Recursive solution
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Solution with learning
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Stochastic Differential Equations
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equivalent martingale measures
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incomplete markets
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ption pricing
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Hofmann, N.
1
Krelle, Wilhelm
1
Look, Stefan
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Platen, E.
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Schweizer, M.
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University of Bonn, Germany
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Society for Computational Economics - SCE
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International Monetary Fund (IMF)
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Department of Economics, University of Texas-Austin
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Consultation on the Capital Goods Industry <4, 1991, Prag>
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Option Pricing under Incompleteness and Stochastic Volatility
Hofmann, N.
;
Platen, E.
;
Schweizer, M.
-
University of Bonn, Germany
-
1992
stochastic
numerical
methods permitting the explicit computation of option prices and hedging strategies, and we illustrate our …
Persistent link: https://www.econbiz.de/10005028474
Saved in:
2
Learning in a class of non-zero-sum two-person games, PartI
Krelle, Wilhelm
-
University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028414
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3
The Stochastic Finite Element Method and Application in Option Pricing
Look, Stefan
-
University of Bonn, Germany
The purpose of this paper is to present a
numerical
method to solve partial stochastic differential equations. This …
Persistent link: https://www.econbiz.de/10005032148
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