Marinelli, Carlo; d’Addona, Stefano Nonparametric estimates of option prices via Hermite basis functions. (English) Zbl 07786166 Ann. Finance 19, No. 4, 477-522 (2023). MSC: 91G20 33C45 PDFBibTeX XMLCite \textit{C. Marinelli} and \textit{S. d'Addona}, Ann. Finance 19, No. 4, 477--522 (2023; Zbl 07786166) Full Text: DOI arXiv OA License
Hu, Lina Efficient spectral-Galerkin method for pricing Asian options. (English) Zbl 1524.65656 J. Math. Study 55, No. 4, 358-380 (2022). MSC: 65M70 65M12 65M15 42C10 65M06 65N35 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{L. Hu}, J. Math. Study 55, No. 4, 358--380 (2022; Zbl 1524.65656) Full Text: DOI
Miyamoto, Manabu; Tanaka, Keiichi An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems. (English) Zbl 1503.35233 JSIAM Lett. 14, 25-28 (2022). MSC: 35Q91 91G30 91B05 35C20 35P99 33C45 35R60 34F05 PDFBibTeX XMLCite \textit{M. Miyamoto} and \textit{K. Tanaka}, JSIAM Lett. 14, 25--28 (2022; Zbl 1503.35233) Full Text: DOI
Denuit, Michel; Robert, Christian Y. Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. (English) Zbl 1490.91170 Methodol. Comput. Appl. Probab. 24, No. 2, 693-711 (2022). MSC: 91G05 62P05 62E10 33C45 PDFBibTeX XMLCite \textit{M. Denuit} and \textit{C. Y. Robert}, Methodol. Comput. Appl. Probab. 24, No. 2, 693--711 (2022; Zbl 1490.91170) Full Text: DOI Link
Bambe Moutsinga, Claude Rodrigue; Pindza, Edson; Maré, Eben Comparative performance of time spectral methods for solving hyperchaotic finance and cryptocurrency systems. (English) Zbl 1498.91491 Chaos Solitons Fractals 145, Article ID 110770, 10 p. (2021). MSC: 91G60 65M70 33C45 44A15 45K05 65M12 91G80 PDFBibTeX XMLCite \textit{C. R. Bambe Moutsinga} et al., Chaos Solitons Fractals 145, Article ID 110770, 10 p. (2021; Zbl 1498.91491) Full Text: DOI
Lavagnini, Silvia Pricing Asian options with correlators. (English) Zbl 1484.91480 Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021). MSC: 91G20 33C45 60J74 PDFBibTeX XMLCite \textit{S. Lavagnini}, Int. J. Theor. Appl. Finance 24, No. 8, Article ID 2150041, 44 p. (2021; Zbl 1484.91480) Full Text: DOI arXiv
Yu, Tuo; Tang, Yayong Effect of different basis functions on the LSM pricing of American option. (Chinese. English summary) Zbl 1488.91163 J. Sichuan Univ., Nat. Sci. Ed. 58, No. 3, 031003-1-5 (2021). MSC: 91G60 65D12 91G20 60G40 PDFBibTeX XMLCite \textit{T. Yu} and \textit{Y. Tang}, J. Sichuan Univ., Nat. Sci. Ed. 58, No. 3, 031003--1-5 (2021; Zbl 1488.91163) Full Text: DOI
Baustian, Falko; Filipová, Kateřina; Pospíšil, Jan Solution of option pricing equations using orthogonal polynomial expansion. (English) Zbl 07396167 Appl. Math., Praha 66, No. 4, 553-582 (2021). MSC: 33C45 65M60 91G20 91G60 PDFBibTeX XMLCite \textit{F. Baustian} et al., Appl. Math., Praha 66, No. 4, 553--582 (2021; Zbl 07396167) Full Text: DOI arXiv
Chan, Tat Lung (Ron); Hale, Nicholas Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series. (English) Zbl 1454.91279 Quant. Finance 20, No. 8, 1307-1324 (2020). MSC: 91G20 42C10 PDFBibTeX XMLCite \textit{T. L. Chan} and \textit{N. Hale}, Quant. Finance 20, No. 8, 1307--1324 (2020; Zbl 1454.91279) Full Text: DOI arXiv
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens Matrix representations of life insurance payments. (English) Zbl 1452.91262 Eur. Actuar. J. 10, No. 1, 29-67 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{M. Bladt} et al., Eur. Actuar. J. 10, No. 1, 29--67 (2020; Zbl 1452.91262) Full Text: DOI
Ackerer, Damien; Filipović, Damir Option pricing with orthogonal polynomial expansions. (English) Zbl 1508.91546 Math. Finance 30, No. 1, 47-84 (2020). MSC: 91G20 42C05 60H30 PDFBibTeX XMLCite \textit{D. Ackerer} and \textit{D. Filipović}, Math. Finance 30, No. 1, 47--84 (2020; Zbl 1508.91546) Full Text: DOI arXiv
Nicolussi, Federica; Zoia, Maria Grazia Gram-Charlier-like expansions of the convoluted hyperbolic-secant density. (English) Zbl 1437.62338 J. Stat. Theory Pract. 14, No. 1, Paper No. 15, 29 p. (2020). MSC: 62M10 62P05 91B84 62H15 62G32 PDFBibTeX XMLCite \textit{F. Nicolussi} and \textit{M. G. Zoia}, J. Stat. Theory Pract. 14, No. 1, Paper No. 15, 29 p. (2020; Zbl 1437.62338) Full Text: DOI
Goffard, Pierre-Olivier; Laub, Patrick J. Orthogonal polynomial expansions to evaluate stop-loss premiums. (English) Zbl 1451.91166 J. Comput. Appl. Math. 370, Article ID 112648, 17 p. (2020). Reviewer: Alexandra Rodkina (College Station) MSC: 91G05 60G40 41A10 44A10 PDFBibTeX XMLCite \textit{P.-O. Goffard} and \textit{P. J. Laub}, J. Comput. Appl. Math. 370, Article ID 112648, 17 p. (2020; Zbl 1451.91166) Full Text: DOI arXiv
Willems, Sander Asian option pricing with orthogonal polynomials. (English) Zbl 1420.91481 Quant. Finance 19, No. 4, 605-618 (2019). MSC: 91G20 PDFBibTeX XMLCite \textit{S. Willems}, Quant. Finance 19, No. 4, 605--618 (2019; Zbl 1420.91481) Full Text: DOI arXiv
Foroutan, Mohammadreza; Ebadian, Ali; Fazli, Hadi Rahmani Generalized Jacobi reproducing kernel method in Hilbert spaces for solving the Black-Scholes option pricing problem arising in financial modelling. (English) Zbl 1488.91136 Math. Model. Anal. 23, No. 4, 538-553 (2018). MSC: 91G20 34A45 33C45 35Q91 PDFBibTeX XMLCite \textit{M. Foroutan} et al., Math. Model. Anal. 23, No. 4, 538--553 (2018; Zbl 1488.91136) Full Text: DOI
Barletta, Andrea; Nicolato, Elisa Orthogonal expansions for VIX options under affine jump diffusions. (English) Zbl 1400.91577 Quant. Finance 18, No. 6, 951-967 (2018). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{A. Barletta} and \textit{E. Nicolato}, Quant. Finance 18, No. 6, 951--967 (2018; Zbl 1400.91577) Full Text: DOI
Li, Han; O’Hare, Colin; Vahid, Farshid A flexible functional form approach to mortality modeling: do we need additional cohort dummies? (English) Zbl 1397.33009 J. Forecast. 36, No. 4, 357-367 (2017). MSC: 33C90 91D10 PDFBibTeX XMLCite \textit{H. Li} et al., J. Forecast. 36, No. 4, 357--367 (2017; Zbl 1397.33009) Full Text: DOI
Dong, Zhao; Li, Wenbo V.; Song, Chunwei Integral representations for binomial sums of chances of winning. (English) Zbl 1379.11018 Ars Math. Contemp. 12, No. 2, 329-336 (2017). MSC: 11B65 33D45 60C05 91A60 PDFBibTeX XMLCite \textit{Z. Dong} et al., Ars Math. Contemp. 12, No. 2, 329--336 (2017; Zbl 1379.11018) Full Text: DOI
Farnoosh, Rahman; Sobhani, Amirhossein; Beheshti, Mohammad Hossein Efficient and fast numerical method for pricing discrete double barrier option by projection method. (English) Zbl 1414.91410 Comput. Math. Appl. 73, No. 7, 1539-1545 (2017). MSC: 91G60 65M70 91G20 42C10 PDFBibTeX XMLCite \textit{R. Farnoosh} et al., Comput. Math. Appl. 73, No. 7, 1539--1545 (2017; Zbl 1414.91410) Full Text: DOI
Hok, Julien; Chan, Ron Tat Lung Option pricing with Legendre polynomials. (English) Zbl 1414.91412 J. Comput. Appl. Math. 322, 25-45 (2017). MSC: 91G60 65T50 91G20 42C10 41A58 PDFBibTeX XMLCite \textit{J. Hok} and \textit{R. T. L. Chan}, J. Comput. Appl. Math. 322, 25--45 (2017; Zbl 1414.91412) Full Text: DOI arXiv Link
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys Polynomial approximations for bivariate aggregate claims amount probability distributions. (English) Zbl 1380.65023 Methodol. Comput. Appl. Probab. 19, No. 1, 151-174 (2017). MSC: 65C50 62E17 33C45 62P05 91B30 PDFBibTeX XMLCite \textit{P.-O. Goffard} et al., Methodol. Comput. Appl. Probab. 19, No. 1, 151--174 (2017; Zbl 1380.65023) Full Text: DOI
Wei, Xuehong; Zhang, Qimin; Yang, Hongfu Numerical solution of the nonlinear age-dependent capital system by using the operational matrices of Bernstein polynomials. (Chinese. English summary) Zbl 1399.65284 Numer. Math., Nanjing 38, No. 2, 97-108 (2016). MSC: 65M70 33C47 91-08 PDFBibTeX XMLCite \textit{X. Wei} et al., Numer. Math., Nanjing 38, No. 2, 97--108 (2016; Zbl 1399.65284)
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. (English) Zbl 1355.60117 J. Comput. Appl. Math. 296, 499-511 (2016). MSC: 60K10 62E17 91B30 PDFBibTeX XMLCite \textit{P.-O. Goffard} et al., J. Comput. Appl. Math. 296, 499--511 (2016; Zbl 1355.60117) Full Text: DOI
Aprahamian, Hrayer; Maddah, Bacel Pricing Asian options via compound gamma and orthogonal polynomials. (English) Zbl 1410.91477 Appl. Math. Comput. 264, 21-43 (2015). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{H. Aprahamian} and \textit{B. Maddah}, Appl. Math. Comput. 264, 21--43 (2015; Zbl 1410.91477) Full Text: DOI
Hürlimann, Werner An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications. (English) Zbl 1372.60017 J. Inequal. Appl. 2015, Paper No. 192, 16 p. (2015). MSC: 60E15 15A15 15A24 35F05 42C05 65C60 91G10 PDFBibTeX XMLCite \textit{W. Hürlimann}, J. Inequal. Appl. 2015, Paper No. 192, 16 p. (2015; Zbl 1372.60017) Full Text: DOI
Lefèvre, Claude; Picard, Philippe Risk models in insurance and epidemics: a bridge through randomized polynomials. (English) Zbl 1414.91212 Probab. Eng. Inf. Sci. 29, No. 3, 399-420 (2015). MSC: 91B30 92D30 33C65 33C45 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{P. Picard}, Probab. Eng. Inf. Sci. 29, No. 3, 399--420 (2015; Zbl 1414.91212) Full Text: DOI
Guillemin, Fabrice M.; Mazumdar, Ravi R. Conditional sojourn times and the volatility of payment schemes for bandwidth sharing in packet networks. (English) Zbl 1334.60196 J. Appl. Probab. 52, No. 4, 962-980 (2015). MSC: 60K25 90B22 68M20 91B26 PDFBibTeX XMLCite \textit{F. M. Guillemin} and \textit{R. R. Mazumdar}, J. Appl. Probab. 52, No. 4, 962--980 (2015; Zbl 1334.60196) Full Text: DOI Euclid
Khatskevich, V. L. Some properties of Legendre polynomials and an approximate solution of the Black-Scholes equation governing option pricing. (English. Russian original) Zbl 1330.35069 Differ. Equ. 51, No. 9, 1157-1164 (2015); translation from Differ. Uravn. 51, No. 9, 1166-1173 (2015). MSC: 35C10 91G80 33C47 35K20 PDFBibTeX XMLCite \textit{V. L. Khatskevich}, Differ. Equ. 51, No. 9, 1157--1164 (2015; Zbl 1330.35069); translation from Differ. Uravn. 51, No. 9, 1166--1173 (2015) Full Text: DOI
Schröder, Michael Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance. (English) Zbl 1339.60117 Methodol. Comput. Appl. Probab. 17, No. 2, 285-313 (2015). MSC: 60J60 60G51 60H30 60H10 60G10 65C99 91G20 91G80 91G60 33C45 33F05 PDFBibTeX XMLCite \textit{M. Schröder}, Methodol. Comput. Appl. Probab. 17, No. 2, 285--313 (2015; Zbl 1339.60117) Full Text: DOI
Li, Hao; Melnikov, Alexander Polynomial extensions of distributions and their applications in actuarial and financial modeling. (English) Zbl 1296.91160 Insur. Math. Econ. 55, 250-260 (2014). MSC: 91B30 91G20 62P05 33C45 PDFBibTeX XMLCite \textit{H. Li} and \textit{A. Melnikov}, Insur. Math. Econ. 55, 250--260 (2014; Zbl 1296.91160) Full Text: DOI
Archer, Aaron; Kleinberg, Robert Truthful germs are contagious: a local-to-global characterization of truthfulness. (English) Zbl 1296.91097 Games Econ. Behav. 86, 340-366 (2014). MSC: 91B14 91B26 PDFBibTeX XMLCite \textit{A. Archer} and \textit{R. Kleinberg}, Games Econ. Behav. 86, 340--366 (2014; Zbl 1296.91097) Full Text: DOI
Cori, Robert; Petrullo, Pasquale; Senato, Domenico Hall-Littlewood symmetric functions via Yamanouchi toppling game. arXiv:1412.0444 Preprint, arXiv:1412.0444 [math.CO] (2014). MSC: 05E05 91A46 05E18 33C45 BibTeX Cite \textit{R. Cori} et al., ``Hall-Littlewood symmetric functions via Yamanouchi toppling game'', Preprint, arXiv:1412.0444 [math.CO] (2014) Full Text: arXiv OA License
Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul Density approximations for multivariate affine jump-diffusion processes. (English) Zbl 1284.62110 J. Econom. 176, No. 2, 93-111 (2013). MSC: 62E17 60J60 60J75 91G80 PDFBibTeX XMLCite \textit{D. Filipović} et al., J. Econom. 176, No. 2, 93--111 (2013; Zbl 1284.62110) Full Text: DOI arXiv
Bernhart, Marie; Tankov, Peter; Warin, Xavier A finite-dimensional approximation for pricing moving average options. (English) Zbl 1236.91129 SIAM J. Financ. Math. 2, 989-1013 (2011). MSC: 91G20 33C45 PDFBibTeX XMLCite \textit{M. Bernhart} et al., SIAM J. Financ. Math. 2, 989--1013 (2011; Zbl 1236.91129) Full Text: DOI arXiv
Addona, Vittoria; Wagon, Stan; Wilf, Herb How to lose as little as possible. (English) Zbl 1235.91036 Ars Math. Contemp. 4, No. 1, 29-62 (2011). MSC: 91A60 60C05 33D45 42C05 PDFBibTeX XMLCite \textit{V. Addona} et al., Ars Math. Contemp. 4, No. 1, 29--62 (2011; Zbl 1235.91036) Full Text: DOI arXiv
Gerhold, Stefan The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence. (English) Zbl 1219.62161 Ann. Appl. Probab. 21, No. 2, 589-608 (2011). MSC: 62P05 33C45 60G51 91G70 PDFBibTeX XMLCite \textit{S. Gerhold}, Ann. Appl. Probab. 21, No. 2, 589--608 (2011; Zbl 1219.62161) Full Text: DOI arXiv
Kaplun, A. The continuous-time Ehrenfest process in term structure modelling. (English) Zbl 1202.91334 J. Appl. Probab. 47, No. 3, 693-712 (2010). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G30 60J28 91G20 33C52 PDFBibTeX XMLCite \textit{A. Kaplun}, J. Appl. Probab. 47, No. 3, 693--712 (2010; Zbl 1202.91334) Full Text: DOI arXiv
Schröder, Michael Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I: The positive process case. (English) Zbl 1112.60037 Adv. Appl. Probab. 39, No. 1, 245-270 (2007). MSC: 60G51 91B28 65C50 33C45 33C90 PDFBibTeX XMLCite \textit{M. Schröder}, Adv. Appl. Probab. 39, No. 1, 245--270 (2007; Zbl 1112.60037) Full Text: DOI
Schröder, Michael On ladder height densities and Laguerre series in the study of stochastic functionals. II: Exponential functionals of Brownian motion and Asian option values. (English) Zbl 1109.60068 Adv. Appl. Probab. 38, No. 4, 995-1027 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60J65 91B28 65C50 33C45 PDFBibTeX XMLCite \textit{M. Schröder}, Adv. Appl. Probab. 38, No. 4, 995--1027 (2006; Zbl 1109.60068) Full Text: DOI
Schröder, Michael On ladder height densities and Laguerre series in the study of stochastic functionals. I: Basic methods and results. (English) Zbl 1124.65012 Adv. Appl. Probab. 38, No. 4, 969-994 (2006). Reviewer: Silvia Curteanu (Iaşi) MSC: 65C50 33C45 33C90 91G60 60J65 PDFBibTeX XMLCite \textit{M. Schröder}, Adv. Appl. Probab. 38, No. 4, 969--994 (2006; Zbl 1124.65012) Full Text: DOI
Schröder, Michael Laguerre series in contingent claim valuation, with applications to Asian options. (English) Zbl 1136.91457 Math. Finance 15, No. 3, 491-531 (2005). MSC: 91B28 91B82 33C45 60J65 65C50 PDFBibTeX XMLCite \textit{M. Schröder}, Math. Finance 15, No. 3, 491--531 (2005; Zbl 1136.91457) Full Text: DOI
Corcuera, José Manuel; Nualart, David; Schoutens, Wim Completion of a Lévy market by power-jump assets. (English) Zbl 1063.91021 Finance Stoch. 9, No. 1, 109-127 (2005). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B26 91B16 91B70 91G80 60H15 PDFBibTeX XMLCite \textit{J. M. Corcuera} et al., Finance Stoch. 9, No. 1, 109--127 (2005; Zbl 1063.91021) Full Text: DOI
Glasserman, Paul; Yu, Bin Number of paths versus number of basis functions in American option pricing. (English) Zbl 1062.60041 Ann. Appl. Probab. 14, No. 4, 2090-2119 (2004). MSC: 60G40 65C05 65C50 60G35 91G60 PDFBibTeX XMLCite \textit{P. Glasserman} and \textit{B. Yu}, Ann. Appl. Probab. 14, No. 4, 2090--2119 (2004; Zbl 1062.60041) Full Text: DOI arXiv Euclid
Albanese, Claudio; Chen, Oliver X. Credit barrier models in a discrete framework. (English) Zbl 1080.91025 Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 1-11 (2004). MSC: 91B28 33C45 39A70 60J75 91B70 PDFBibTeX XMLCite \textit{C. Albanese} and \textit{O. X. Chen}, Contemp. Math. 351, 1--11 (2004; Zbl 1080.91025)
De Almeida, Caio Ibsen Rodrigues; Duarte, Antonio Marcos jun.; Fernandes, Cristiano Augusto Coelho A generalization of principal component analysis for non-observable term structures in emerging markets. (English) Zbl 1079.91025 Int. J. Theor. Appl. Finance 6, No. 8, 885-903 (2003). MSC: 91G70 62P05 62H25 PDFBibTeX XMLCite \textit{C. I. R. De Almeida} et al., Int. J. Theor. Appl. Finance 6, No. 8, 885--903 (2003; Zbl 1079.91025) Full Text: DOI
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