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Analytical pricing of American options

Cheng, Jun; Zhang, Jin E. - In: Review of derivatives research 15 (2012) 2, pp. 157-192

Persistent link: https://www.econbiz.de/10009629059

Application of homotopy analysis method to option pricing under Lévy processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010358467

An analytic formula for pricing American-style convertible bonds in a regime switching model

Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428

Persistent link: https://www.econbiz.de/10011515674

An explicit analytic formula for pricing barrier options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37

Persistent link: https://www.econbiz.de/10010500699

A homotopy analysis method for the option pricing PDE in post-crash markets

El-Khatib, Youssef - In: Mathematical economics letters 2 (2014) 3/4, pp. 45-50

Persistent link: https://www.econbiz.de/10010496354

An analytical solution for the HJB equation arising from the Merton problem

Zhu, Song-Ping; Ma, Guiyuan - In: International journal of financial engineering 5 (2018) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011922966

An analytic approach for pricing American options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-20

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the...

Persistent link: https://www.econbiz.de/10012533592

An analytical solution for the robust investment-reinsurance strategy with general utilities

He, Yong; Zhou, Xia; Chen, Peimin; Wang, Xiaoyang - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014225734

A parametric study of a natural flow solar air heater with a rectangular air-duct profile

Ondieki, H. O.; Tonui, J. K. - In: African journal of science, technology, innovation & … 5 (2013) 2, pp. 97-102

Persistent link: https://www.econbiz.de/10011497671

Computational gas-solids flows and reacting systems : theory, methods and practice

Syamlal, Madhava (contributor); … - 2011

1. Multiphase continuum formulation for gas-solids reacting flows / Madhava Syamlal, Sreekanth Pannala -- 2. Hydrodynamic equations from kinetic theory / James Dufty, Aparna Baskaran -- 3. Kinetic theory for granular materials / Christine Hrenya -- 4. Interfacial interactions / Wei Ge, Ning...

Persistent link: https://www.econbiz.de/10011726876