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~subject:"Option pricing theory"
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Option pricing theory
Theorie
79
Theory
76
Splitting
40
Deutschland
27
Game theory
27
Mathematical programming
27
Mathematische Optimierung
27
Spieltheorie
27
Familienbesteuerung
19
Scheduling problem
19
Scheduling-Verfahren
19
Germany
18
Ehegattenbesteuerung
17
Family taxation
17
Optionspreistheorie
17
Algorithmus
16
Stochastic process
16
Stochastischer Prozess
16
splitting
16
Algorithm
15
Einkommensteuer
14
Experiment
13
Heuristics
12
Heuristik
12
Income tax
12
Simulation
12
Zeeman and Stark splitting
12
Estimation theory
11
Schätztheorie
11
71.70.Ej Spin-orbit coupling
10
Jahn-Teller effect
10
Production planning
10
Produktionsplanung
10
Sample Splitting
10
coalescing
10
Losgröße
9
Lot size
9
Production control
9
Produktionssteuerung
9
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Undetermined
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Free
2
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Article
16
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1
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16
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16
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1
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1
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1
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1
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English
17
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Hout, Karel J. in 't
3
Itkin, Andrey
2
Lamotte, Pieter
2
Lo, C. F.
2
Ballestra, Luca Vincenzo
1
Bhuruth, Muddun
1
Choi, Yongho
1
Coonjobeharry, Radha Krishn
1
Dickmann, Fabian
1
Fereshtian, Ali
1
Gan, Siqing
1
Gudkov, Nikolay
1
Haentjens, Tinne
1
Halperin, Igor
1
He, Y. W.
1
Hessing, Jean-Claude
1
Hwang, Hyeongseok
1
Ignatieva, Ekaterina
1
Jeong, Darae
1
Jo, Jaehyun
1
Kim, Junseok
1
Kim, Taekkeun
1
Lange, Rutger-Jan
1
Lee, Seunggyu
1
Lo, Chi-fai
1
Mollapourasl, Reza
1
Neisy, Abodolsadeh
1
Nematollahi, Nader
1
Pacelli, Graziella
1
Ralph, Daniel
1
Safaei, Maryam
1
Schweizer, Nikolaus
1
Sun, Xianming
1
Tangman, Désiré Yannick
1
Vanmaele, Michèle
1
Yoo, Minhyun
1
Zheng, X. F.
1
Ziveyi, Jonathan
1
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Computational economics
3
Applied mathematical finance
2
International journal of financial engineering
2
International journal of theoretical and applied finance
2
The journal of computational finance
2
Discussion paper / Tinbergen Institute
1
European journal of operational research : EJOR
1
Journal of economic dynamics & control
1
Journal of mathematical finance
1
Quantitative finance
1
The journal of computational finance : JFC
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ECONIS (ZBW)
17
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1
Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude
;
Lange, Rutger-Jan
;
Ralph, Daniel
-
2022
convergence bounds. For jump-diffusion processes, dense matrix factorisation may be avoided by using a suitable operator-
splitting
…
Persistent link: https://www.econbiz.de/10012817150
Saved in:
2
Pricing options on a mean-reverting asset by the analytical operator
splitting
method
Lo, C. F.
;
He, Y. W.
- In:
International journal of financial engineering
9
(
2022
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10013367498
Saved in:
3
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
4
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance : JFC
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014486917
Saved in:
5
A simple closed-form approximation for constant elasticity of variance spread options
Lo, C. F.
;
Zheng, X. F.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
Saved in:
6
Radial basis functions with partition of unity method for American options with stochastic volatility
Mollapourasl, Reza
;
Fereshtian, Ali
;
Vanmaele, Michèle
- In:
Computational economics
53
(
2019
)
1
,
pp. 259-287
Persistent link: https://www.econbiz.de/10012134650
Saved in:
7
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise
splitt...
Gudkov, Nikolay
;
Ignatieva, Ekaterina
;
Ziveyi, Jonathan
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
Saved in:
8
New
splitting
scheme for pricing American options under the Heston model
Safaei, Maryam
;
Neisy, Abodolsadeh
;
Nematollahi, Nader
- In:
Computational economics
52
(
2018
)
2
,
pp. 405-420
Persistent link: https://www.econbiz.de/10012052953
Saved in:
9
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
Saved in:
10
A practical finite difference method for the three-dimensional Black-Scholes equation
Kim, Junseok
;
Kim, Taekkeun
;
Jo, Jaehyun
;
Choi, Yongho
; …
- In:
European journal of operational research : EJOR
252
(
2016
)
1
,
pp. 183-190
Persistent link: https://www.econbiz.de/10011449164
Saved in:
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