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Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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An approximation scheme for option pricing under two-state continuous CAPM
Safdari-Vaighani, Ali; Ahmadian, Davood; Javid-Jahromi, Roja - In: Computational economics 57 (2021) 4, pp. 1373-1385
Persistent link: https://www.econbiz.de/10012543380
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Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui; Zheng, Xiangcheng - In: Computational economics 62 (2023) 3, pp. 1155-1175
Persistent link: https://www.econbiz.de/10014382889
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Multivariate picture fuzzy time series : new definitions and a new forecasting method based on pi-sigma artificial neural network
Bas, Eren; Egrioglu, Erol; Tunc, Taner - In: Computational economics 61 (2023) 1, pp. 139-164
Persistent link: https://www.econbiz.de/10014228419
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Pattern recognition in microtrading behaviors preceding stock price jumps : a study based on mutual information for multivariate time series
Kong, Ao; Azencott, Robert; Zhu, Hongliang; Li, Xindan - In: Computational economics 63 (2024) 4, pp. 1401-1429
Persistent link: https://www.econbiz.de/10014549027
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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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The hitting time density for a reflected Brownian motion
Hu, Qin; Wang, Yongjin; Yang, Xuewei - In: Computational economics 40 (2012) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009627574
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An efficient semi-analytical simulation for the Heston model
Sun, Xianming; Gan, Siqing - In: Computational economics 43 (2014) 4, pp. 433-445
Persistent link: https://www.econbiz.de/10010396258
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Valuation of N-stage investments under jump-diffusion processes
Andergassen, Rainer; Sereno, Luigi - In: Computational economics 39 (2012) 3, pp. 289-313
Persistent link: https://www.econbiz.de/10009513147