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Computational modeling of non-Gaussian option price using non-extensive Tsallis’ entropy framework
Nayak, Gangadhar; Singh, Amit Kumar; Senapati, Dilip - In: Computational economics 57 (2021) 4, pp. 1353-1371
Persistent link: https://www.econbiz.de/10012543376
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The convergence investigation of a numerical scheme for the tempered fractional black-scholes model arising European double barrier option
Aghdam, Y. Esmaeelzade; Mesgarani, H.; Adl, A.; Farnam, B. - In: Computational economics 61 (2023) 2, pp. 513-528
Persistent link: https://www.econbiz.de/10014228450
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Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
Arratia, Argimiro; Gzyl, Henryk - In: Computational economics 56 (2020) 4, pp. 929-952
Persistent link: https://www.econbiz.de/10012390498
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Utility-based pricing, timing and hedging of an American call option under an incomplete market with partial information
Song, Dandan; Yang, Zhaojun - In: Computational economics 44 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010396234
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ORPIT : a matlab toolbox for option replication and portfolio insurance in incomplete markets
Katsikis, Vasilios N.; Mourtas, Spyridon D. - In: Computational economics 56 (2020) 4, pp. 711-721
Persistent link: https://www.econbiz.de/10012390445
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Optimal grid selection for the numerical solution of dynamic stochastic optimization problems
Chipeniuk, Karsten O. - In: Computational economics 56 (2020) 4, pp. 883-928
Persistent link: https://www.econbiz.de/10012390486
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A new characterization of equilibrium in a multi-period finance economy : a computational viewpoint
Won, Dongchul - In: Computational economics 53 (2019) 1, pp. 367-396
Persistent link: https://www.econbiz.de/10012134686
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The convergence analysis of the numerical calculation to price the time-fractional black-scholes model
Mesgarani, H.; Bakhshandeh, M.; Aghdam, Y. Esmaeelzade; … - In: Computational economics 62 (2023) 4, pp. 1845-1856
Persistent link: https://www.econbiz.de/10014437608
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On the numerical option pricing methods : fractional black-scholes equations with CEV assets
Banihashemi, S.; Ghasemifard, A.; Babaei, A. - In: Computational economics 64 (2024) 3, pp. 1463-1488
Persistent link: https://www.econbiz.de/10015143934
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Pricing fade-in options under garch-jump processes
Wang, Xingchun; Zhang, Han - In: Computational economics 64 (2024) 4, pp. 2563-2584
Persistent link: https://www.econbiz.de/10015144032