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Transformation methods for evaluating approximations to the optimal exercise boundary for a linear and nonlinear Black-Scholes equation
Ševčovič, Daniel - In: Nonlinear models in mathematical finance : new research …, (pp. 173-218). 2008
Persistent link: https://www.econbiz.de/10011954443
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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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Robust bounds for the American put
Hobson, David G.; Norgilas, Dominykas - In: Finance and stochastics 23 (2019) 2, pp. 359-395
Persistent link: https://www.econbiz.de/10012023741
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Block-pulse operational matrix method for solving fractional Black-Scholes equation
Mehrdoust, Farshid; Sheikhani, Amir Hosein Refahi; … - In: Journal of economic studies 44 (2017) 3, pp. 489-502
Persistent link: https://www.econbiz.de/10011757574
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A combinatorial optimization model for enterprise patent transfer
Xie, Yi; Takala, Josu; Liu, Yang; Chen, Yong - In: Information technology and management 16 (2015) 4, pp. 327-337
Persistent link: https://www.econbiz.de/10011398838
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Applying the Model Order Reduction method to a European option pricing model
Lin, Shao-bin; Chen, Chun-Da - In: Economic modelling 33 (2013), pp. 533-536
Persistent link: https://www.econbiz.de/10010193332
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Pricing American put options by fast solutions of the linear complementarity problem
Borici, Artan; Lüthi, Hans-Jakob - In: Computational methods in decision-making, economics and …, (pp. 325-338). 2010
Persistent link: https://www.econbiz.de/10009153077
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On the solution of the Black-Scholes equation using feed-forward neural networks
Eskiizmirliler, Saadet; Günel, Korhan; Polat, Refet - In: Computational economics 58 (2021) 3, pp. 915-941
Persistent link: https://www.econbiz.de/10012651048
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Robust option pricing : Hannan and Blackwell meet Black and Scholes
DeMarzo, Peter M.; Kremer, Ilan; Mansour, Yishay - In: Journal of economic theory 163 (2016), pp. 410-434
Persistent link: https://www.econbiz.de/10011593386
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Inverse problem and concentration method of a continuous-in-time financial model
Chakkour, Tarik; Frénod, Emmanuel - In: International journal of financial engineering 3 (2016) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011577116