Narrow search
Showing 1 - 5 of 5
Cover Image
Stratified approximations for the pricing of options on average
Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113
Persistent link: https://www.econbiz.de/10011603193
Cover Image
Optimal grid selection for the numerical solution of dynamic stochastic optimization problems
Chipeniuk, Karsten O. - In: Computational economics 56 (2020) 4, pp. 883-928
Persistent link: https://www.econbiz.de/10012390486
Cover Image
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Cover Image
Exponential utility maximization for an insurer with time-inconsistent preferences
Zhao, Qian; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 70 (2016), pp. 89-104
Persistent link: https://www.econbiz.de/10011597189
Cover Image
Multidimensional investment problem
Christensen, Sören; Salminen, Paavo - In: Mathematics and financial economics 12 (2018) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011963303