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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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A new approach for firm value and default probability estimation beyond Merton models
De Giuli, Maria Elena; Prienau, Karl; Maggi, Mario … - In: Computational economics 31 (2008) 2, pp. 161-180
Persistent link: https://www.econbiz.de/10003685972
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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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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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New procedures for testing whether stock price processes are martingales
Takeuchi, Keiichi; Akimichi, Takemura; Kumon, Masayuki - In: Computational economics 37 (2011) 1, pp. 67-88
Persistent link: https://www.econbiz.de/10008902941
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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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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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Fast and accurate pricing of discretely monitored barrier options by numerical path integration
Skaug, Christian; Naess, Arvid - In: Computational economics 30 (2007) 2, pp. 143-151
Persistent link: https://www.econbiz.de/10003702548
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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