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Pricing a specific equity index annuity in a regime-switching Lévy model with jump
Wang, Yayun - In: Computational economics 61 (2023) 3, pp. 1115-1135
Persistent link: https://www.econbiz.de/10014252150
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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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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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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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Using Chebyshev polynomials to approximate partial differential equations
Caporale, Guglielmo Maria; Cerrato, Mario - In: Computational economics 35 (2010) 3, pp. 235-244
Persistent link: https://www.econbiz.de/10003957719
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Using Chebyshev polynomials to approximate partial differential equations : a reply
Mosiño, Alejandro - In: Computational economics 39 (2012) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10009508051
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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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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