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Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba; Malek, Alaeddin - In: Computational economics 45 (2015) 1, pp. 31-47
Persistent link: https://www.econbiz.de/10010511343
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A numerical method for discrete single barrier option pricing with time-dependent parameters
Farnoosh, Rahman; Rezazadeh, Hamidreza; Sobhani, Amirhossein - In: Computational economics 48 (2016) 1, pp. 131-145
Persistent link: https://www.econbiz.de/10011646608
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A non-stationary model of dividend distribution in a stochastic interest-rate setting
Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg - In: Computational economics 47 (2016) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10011712413
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A deep learning based numerical PDE method for option pricing
Wang, Xiang; Li, Jessica; Li, Jichun - In: Computational economics 62 (2023) 1, pp. 149-164
Persistent link: https://www.econbiz.de/10014327247
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Foreign currency power option pricing based on Esscher transform
Li, Wenhan; Li, Cuixiang; Liu, Lixia; Wang, Mengna - In: Computational economics 58 (2021) 2, pp. 535-548
Persistent link: https://www.econbiz.de/10012615075
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Numerical solution of optimal control problems with constant control delays
Brandt-Pollmann, Ulrich; Winkler, Ralph; Sager, Sebastian; … - In: Computational economics 31 (2008) 2, pp. 181-206
Persistent link: https://www.econbiz.de/10003686033
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Comparing numerical methods for solving the competitive storage model
Gouel, Christophe - In: Computational economics 41 (2013) 2, pp. 267-295
Persistent link: https://www.econbiz.de/10009710571
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Taking perturbation to the accuracy frontier : a hybrid of local and global solutions
Maliar, Lilia; Maliar, Serguei; Villemot, Sebastien - In: Computational economics 42 (2013) 3, pp. 307-325
Persistent link: https://www.econbiz.de/10010189022
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A numerical method for solving stochastic optimal control problems with linear control
Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Computational economics 39 (2012) 4, pp. 429-446
Persistent link: https://www.econbiz.de/10009540913
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Accurate and robust numerical methods for the dynamic portfolio management problem
Cong, Fei; Oosterlee, Cornelis Willebrordus - In: Computational economics 49 (2017) 3, pp. 433-458
Persistent link: https://www.econbiz.de/10011762120