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Found 269 Documents (Results 1–100)

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Decision tree and Microsoft Excel approach for option pricing model. (English) Zbl 1452.91304

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2885-2927 (2021).
MSC:  91G20 91-08
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Alternative methods for determining option bounds: a review and comparison. (English) Zbl 1454.91299

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 917-945 (2021).
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Numerical identification of time-dependent volatility in European options with two-stage regime-switching. (English) Zbl 1448.91323

Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 249-261 (2021).
MSC:  91G60 65M55 91G20
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The fitted finite volume and power penalty methods for option pricing. (English) Zbl 1458.91008

SpringerBriefs in Applied Sciences and Technology. Mathematical Methods. Singapore: Springer (ISBN 978-981-15-9557-8/pbk; 978-981-15-9558-5/ebook). viii, 94 p. (2020).
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Valuation of European options with liquidity shocks switching by fitted finite volume method. (English) Zbl 1444.91219

Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 12th international conference, LSSC 2019, Sozopol, Bulgaria, June 10–14, 2019. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 11958, 584-592 (2020).
MSC:  91G60 65M08 91G20
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Discrete hedging in the mean/variance model for European call options. (English. Russian original) Zbl 1407.91255

J. Math. Sci., New York 227, No. 2, 229-240 (2017); translation from Statisticheskie Metody Otsenivaniya i Proverki Gipotez 21, 208-223 (2008).
MSC:  91G20 91G10 62P05
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Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time. (English) Zbl 1414.91417

Karasözen, Bülent (ed.) et al., Numerical mathematics and advanced applications – ENUMATH 2015. Selected papers based on the presentations at the European conference, Ankara, Turkey, September 14–18, 2015. Cham: Springer. Lect. Notes Comput. Sci. Eng. 112, 607-615 (2016).
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An introduction to mathematical finance with applications. Understanding and building financial intuition. (English) Zbl 1348.91002

Springer Undergraduate Texts in Mathematics and Technology. Cham: Springer (ISBN 978-1-4939-3781-3/hbk; 978-1-4939-3783-7/ebook). xvii, 483 p. (2016).
MSC:  91-01 91Gxx 91B30 91B70 60H30 62P05
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On supremal and maximal sets with respect to random partial orders. (English) Zbl 1338.49033

Hamel, Andreas H. (ed.) et al., Set optimization and applications – the state of the art. From set relations to set-valued risk measures. Berlin: Springer (ISBN 978-3-662-48668-9/hbk; 978-3-662-48670-2/ebook). Springer Proceedings in Mathematics & Statistics 151, 275-291 (2015).
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Efficient meshfree method for pricing European and American put options on a non-dividend paying asset. (English) Zbl 1335.91108

Agrawal, P. N. (ed.) et al., Mathematical analysis and its applications. Proceedings of the international conference on recent trends in mathematical analyis and its applications, ICRTMAA 2014, Roorkee, India, December 21–23, 2014. New Delhi: Springer (ISBN 978-81-322-2484-6/hbk; 978-81-322-2485-3/ebook). Springer Proceedings in Mathematics & Statistics 143, 439-450 (2015).
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High-order compact finite difference method for Black-Scholes PDE. (English) Zbl 1337.65119

Agrawal, P. N. (ed.) et al., Mathematical analysis and its applications. Proceedings of the international conference on recent trends in mathematical analyis and its applications, ICRTMAA 2014, Roorkee, India, December 21–23, 2014. New Delhi: Springer (ISBN 978-81-322-2484-6/hbk; 978-81-322-2485-3/ebook). Springer Proceedings in Mathematics & Statistics 143, 393-403 (2015).
MSC:  65M06 91G60 35Q91 91B25 65M15
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The time-discrete method of lines for options and bonds. A PDE approach. (English) Zbl 1319.91008

Hackensack, NJ: World Scientific (ISBN 978-981-4619-67-7/hbk; 978-981-4619-69-1/ebook). xv, 269 p. (2015).
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Fractional Brownian motions in financial models and their Monte Carlo simulation. (English) Zbl 1319.91158

Takahashi, Akihiko (ed.) et al., Recent advances in financial engineering 2012. Proceedings of the international workshop on finance, Tokyo, Japan, October 30–31, 2012. Hackensack, NJ: World Scientific (ISBN 978-981-4571-63-0/hbk; 978-981-4571-65-4/ebook). 133-176 (2014).
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