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Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Luo, Xiaolin; Shevchenko, Pavel V. - In: International journal of financial engineering 2 (2015) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011403137
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Recent advances in numerical methods for pricing derivative securities
Broadie, Mark; Detemple, Jérôme B. - In: Numerical methods in finance, (pp. 43-66). 2008
Persistent link: https://www.econbiz.de/10003723883
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American options : a comparison of numerical methods
AitSahlia, Farid; Carr, P. - In: Numerical methods in finance, (pp. 67-87). 2008
Persistent link: https://www.econbiz.de/10003723886
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Numerical methods for backward stochastic differential equations
Chevance, D. - In: Numerical methods in finance, (pp. 232-244). 2008
Persistent link: https://www.econbiz.de/10003723947
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A log-transformed binomial numerical analysis method for valuing complex multi-option investments
Trigeorgis, Lenos - In: Real options and investment under uncertainty : …, (pp. 539-558). 2004
Persistent link: https://www.econbiz.de/10002362049
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Simulation and numerical methods in real options valuation
Cortazar, Gonzalo - In: Real options and investment under uncertainty : …, (pp. 601-620). 2004
Persistent link: https://www.econbiz.de/10002363138
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Bayesian inference, prior information on volatility, and option pricing : a maximum entropy approach
Venagas-Martínez, Francisco - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10002625103
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Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben
Reisinger, Christoph - 2004
Persistent link: https://www.econbiz.de/10002734206
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Computational methods for option pricing
Achdou, Yves; Pironneau, Olivier - 2005
Persistent link: https://www.econbiz.de/10002705305
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A numerical method for pricing American-style Asian options under GARCH model
Shao, Dan - In: International journal of theoretical and applied finance 9 (2006) 8, pp. 1323-1350
Persistent link: https://www.econbiz.de/10003397192