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Search: subject:"Integro-differential equations"
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Option pricing theory
11
Optionspreistheorie
11
Stochastic process
10
Stochastischer Prozess
10
Integro-differential equations
7
option pricing
6
Volatility
4
Volatilität
4
integro-differential equations
4
European options
3
Option pricing
3
Random media
3
Transport processes
3
partial integro-differential equations
3
Black-Scholes model
2
Black-Scholes-Modell
2
EU countries
2
EU-Staaten
2
Gerber-Shiu function
2
Integro-differential Equations
2
Inventory Management
2
Kou model
2
Laplace transform
2
Lévy process
2
Lévy processes
2
Numerical algorithms
2
Partial Integro-Differential Equations
2
Partial integro-differential equations
2
Production Planning
2
Random walks
2
Theorie
2
Theory
2
first passage times
2
implicit and explicit finite element methods
2
operator splitting methods
2
stability
2
system of partial integro-differential equations
2
viscosity solutions
2
Actuarial risk management
1
Adaptive method
1
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5
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Article
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English
17
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Chazal, Marie
2
Hout, Karel J. in 't
2
Jouini, Elyès
2
Lamotte, Pieter
2
Néel, Marie-Christine
2
Tahraoui, Rabah
2
Abdennadher, Ali
1
Abergel, Frédéric
1
Albani, Vinícius
1
Almendral, Ariel
1
Barles, Guy
1
Basile, M.
1
Brummelhuis, Raymond
1
Cai, Ning
1
Chan, Ron
1
Chan, Ron T. L.
1
Chan, Tat Lung
1
Chasseigne, Emmanuel
1
Chen, Yong
1
Colaneri, Katia
1
Cont, Rama
1
Costantini, Cristina
1
Di Pietro, Liliana
1
FLORESCU, IONUT
1
Faria, João Ricardo
1
Fernanda D’Ippoliti
1
Florescu, Ionuţ
1
Frey, Rüdiger
1
Gan, Siqing
1
Golder, J.
1
Gosio, Cristina
1
He, Yue
1
Hinds, P. D.
1
Imbert, Cyril
1
Jacob, M.J.
1
Joelson, M.
1
Kawai, Reiichiro
1
Kordzakhia, N.
1
Krepysheva, Natalia
1
LIU, RUIHUA
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Université Paris-Dauphine (Paris IX)
2
Department of Economics, University of Bath
1
Finance Discipline Group, Business School
1
Université Paris-Dauphine
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Mathematics and Computers in Simulation (MATCOM)
4
Finance and Stochastics
3
Computational economics
2
Economics Papers from University Paris Dauphine
2
Insurance / Mathematics & economics
2
International journal of theoretical and applied finance
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Physica A: Statistical Mechanics and its Applications
2
The journal of computational finance : JFC
2
Applied Mathematical Finance
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Applied mathematical finance
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Defence and peace economics
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Department of Economics Working Papers / Department of Economics, University of Bath
1
Finance and stochastics
1
INFORMS journal on computing : JOC
1
International Journal of Computational Economics and Econometrics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
Journal of mathematical finance
1
Modern economy
1
Open Access publications from Université Paris-Dauphine
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Research Paper Series / Finance Discipline Group, Business School
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Stochastic Processes and their Applications
1
The journal of computational finance
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RePEc
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ECONIS (ZBW)
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1
Fast and accurate computation of the regime-switching jump-diffusion option prices using laplace transform and compact difference with convergence guarantee
Chen, Yong
- In:
Computational economics
64
(
2024
)
1
,
pp. 57-80
Persistent link: https://www.econbiz.de/10015078003
Saved in:
2
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
3
The Gerber-Shiu discounted penalty function : a review from practical perspectives
He, Yue
;
Kawai, Reiichiro
;
Shimizu, Yasutaka
;
Yamazaki, …
- In:
Insurance / Mathematics & economics
109
(
2023
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014282466
Saved in:
4
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014486917
Saved in:
5
Neural variance reduction for stochastic differential equations
Hinds, P. D.
;
Tretyakov, M. V.
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 1-41
Persistent link: https://www.econbiz.de/10014487028
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6
A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning
;
Yang, Xuewei
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
Saved in:
7
A splitting strategy for the calibration of jump-diffusion models
Albani, Vinícius
;
Zubelli, Jorge P.
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 677-722
Persistent link: https://www.econbiz.de/10012518083
Saved in:
8
Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
Patel, Kuldip Singh
;
Mehra, Mani
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892590
Saved in:
9
Dividends and dynamic solvency insurance in two-dimensional risk models
Gosio, Cristina
;
Lari, Ester C.
;
Ravera, Marina
; …
- In:
Modern economy
9
(
2018
)
12
,
pp. 2104-2118
Persistent link: https://www.econbiz.de/10011997776
Saved in:
10
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
Colaneri, Katia
;
Frey, Rüdiger
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 498-507
Persistent link: https://www.econbiz.de/10012793939
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