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Stochastischer Prozess
Finite difference method
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finite difference method
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Option pricing theory
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International journal of theoretical and applied finance
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The journal of computational finance
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ECONIS (ZBW)
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Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning
;
Zhu, Song-Ping
;
Elliott, Robert J.
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 1019-1033
Persistent link: https://www.econbiz.de/10014304432
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2
Pricing American options with the Runge-Kutta-Legendre finite difference scheme
Le Floc'h, Fabien
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012652624
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3
Finite difference techniques for arbitrage-free SABR
Le Floc'h, Fabien
;
Kennedy, Gary
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 51-79
Persistent link: https://www.econbiz.de/10011689679
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4
Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme
Shi, Guangping
;
Liu, Xiaoxing
;
Tang, Pan
- In:
Finance research letters
16
(
2016
),
pp. 220-229
Persistent link: https://www.econbiz.de/10011656186
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5
Swing options in commodity markets : a multidimensional Lévy diffusion model
Eriksson, Marcus
;
Lempa, Jukka
;
Nilssen, Trygve Kastberg
- In:
Mathematical methods of operations research
79
(
2014
)
1
,
pp. 31-67
Persistent link: https://www.econbiz.de/10010347962
Saved in:
6
On the credit risk of secured loans with maximum loan-to-value covenants
Astic, Fabian
;
Tourin, Agnès
- In:
International journal of theoretical and applied finance
17
(
2014
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010498789
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