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Optionspreistheorie
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
-
2012
Persistent link: https://www.econbiz.de/10009722625
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2
Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel
;
Lemaire, Vincent
;
Montes, Thibaut
; …
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 87-128
Persistent link: https://www.econbiz.de/10012938894
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3
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
1
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
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4
Numerical ross recovery for diffusion processes using a PDE approach
Sydow, Lina von
;
Walden, Johan
- In:
Applied mathematical finance
27
(
2020
)
1/2
,
pp. 46-66
Persistent link: https://www.econbiz.de/10012254095
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5
Reduced basis methods for option pricing and calibration
Burkovska, Olena
-
2016
Persistent link: https://www.econbiz.de/10012545679
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6
Complexity reduction for calibration to American options
Burkovska, Olena
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 25-60
Persistent link: https://www.econbiz.de/10012064981
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7
Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.
;
Gass, M.
;
Glau, Kathrin
;
Mahlstedt, M.
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
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8
Model risk qualification based on relative
entropy
Arrieta, Daniel
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
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9
Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet
;
Xu, Zhikang
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
Saved in:
10
How noise affects effort in tournaments
Drugov, Mikhail
;
Ryvkin, Dmitry
-
2020
Persistent link: https://www.econbiz.de/10012213218
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