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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
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An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi; Wang, Wansheng; Xiao, Aiguo - In: Computational economics 53 (2019) 4, pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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Optimal adaptive sequential calibration of option models
Lindström, Erik; Åkerlindh, Carl - In: Handbook of recent advances in commodity and financial …, (pp. 165-181). 2018
Persistent link: https://www.econbiz.de/10011898632
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Deep stochastic optimization in finance
Reppen, A. Max; Soner, Halil Mete; Tissot-Daguette, Valentin - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 91-111
Persistent link: https://www.econbiz.de/10014251569
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Recovering volatility from option prices by evolutionary optimization
Hamida, Sana Ben; Cont, Rama - In: The journal of computational finance 8 (2004/2005) 4, pp. 43-76
Persistent link: https://www.econbiz.de/10002990524
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Calibrating option pricing models with heuristics
Gilli, Manfred; Schumann, Enrico - In: Natural computing in computational finance : volume 4, (pp. 9-37). 2011
Persistent link: https://www.econbiz.de/10009423553
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Optimal switching decisions under stochastic volatility with fast mean reversion
Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - In: European journal of operational research : EJOR 251 (2016) 1, pp. 148-157
Persistent link: https://www.econbiz.de/10011446242
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A Dual Algorithm for Stochastic Control Problems : Applications to Uncertain Volatility Models and CVA
Henry-Labordere, Pierre - 2015
We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...
Persistent link: https://www.econbiz.de/10013023827
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility
Pun, Chi Seng - 2020
This paper investigates the investment and reinsurance problem in the presence of stochastic volatility for an … asset following a multiscale stochastic volatility (SV) model. We formulate the robust optimal investment and reinsurance … tracking of volatility factors. Numerical study is conducted to demonstrate the practical use of theoretical results and to …
Persistent link: https://www.econbiz.de/10012832645