Similar Search Results

On robustness of the black-scholes partial differential equation model

Mastinsek, Miklavz - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10011455391

Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff

Peng, Xingchun; Wei, Linxiao; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 78-86

Persistent link: https://www.econbiz.de/10010469175

Pseudo linear pricing rule for utility indifference valuation

Henderson, Vicky; Liang, Gechun - In: Finance and stochastics 18 (2014) 3, pp. 593-615

Persistent link: https://www.econbiz.de/10010395991

Die Lösung von Differentialgleichungen mittels numerischer Verfahren oder ein Leitfaden zum Aufspüren von Fehlbewertungen bei Derivaten

Reiß, Ariane - 1996

Die Bewertung von Derivaten über ein replizierendes Portfolio führt häufig zu einer Differentialgleichung, welche analytisch nicht lösbar ist. Eine Lösung kann nur mit Hilfe von numerischen Verfahren gefunden werden. Finite Differenzenverfahren sind insbesondere geeignet,...

Persistent link: https://www.econbiz.de/10010405347

Pricing European options in a delay model with jumps

Imdad, Zaheer; Zhang, Tusheng - In: Journal of financial engineering 1 (2014) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10010508745

Pricing and hedging of variable annuities with state-dependent fees

Delong, Łukasz - In: Insurance / Mathematics & economics 58 (2014), pp. 24-33

Persistent link: https://www.econbiz.de/10010437640

The existence and uniqueness of fuzzy solutions for hyperbolic partial differential equations

Long, Hoang Viet; Nguyen, Thi Kim Son; Nguyen, Thi My Ha; … - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 435-462

Persistent link: https://www.econbiz.de/10010438992

Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216

Persistent link: https://www.econbiz.de/10009703683

Representation of American option prices under Heston stochastic volatility dynamics using integral transforms

Chiarella, Carl; Ziogas, Andrew; Ziveyi, Jonathan - In: Contemporary quantitative finance : essays in honour of …, (pp. 281-315). 2010

Persistent link: https://www.econbiz.de/10008749199

Utility maximization with intermediate consumption under restricted information for jump market models

Ceci, Claudia - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-34

Persistent link: https://www.econbiz.de/10009672596