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Reduced basis methods for option pricing and calibration
Burkovska, Olena - 2016
Persistent link: https://www.econbiz.de/10012545679
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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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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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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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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
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Feature extraction with hybrid neural networks
Wegmann, Georg - 2000
optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As …
Persistent link: https://www.econbiz.de/10010301758
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Feature Extraction with Hybrid Neural Networks
Kreuter, Christof - 2000
optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. …
Persistent link: https://www.econbiz.de/10005843728
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A Note on Conditional Arbitrage-Free Maximum Entropy Densities For Simulative Option Pricing
Herrmann, Klaus - Universität <Erlangen - 2009
densities using the principle of maximum entropy. For the case ofidentically and independently distributed returns, we easily …
Persistent link: https://www.econbiz.de/10005866785
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Pricing stock and bond options in incomplete markets
Gulko, Les - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 98-107
Persistent link: https://www.econbiz.de/10003769599
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Option pricing based on geometric stable processes and minimal entropy martingale measures
Miyahara, Yoshio; Moriwaki, Naruhiko - In: Recent advances in financial engineering : proceedings …, (pp. 119-133). 2009
Persistent link: https://www.econbiz.de/10003871176