An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance
Year of publication: |
2015
|
---|---|
Authors: | Li, Lingfei |
Other Persons: | Qu, Xianjun (contributor) ; Zhang, Gongqiu (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Algorithmus | Algorithm | Mathematische Optimierung | Mathematical programming |
Extent: | 1 Online-Ressource (36 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 13, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2605742 [DOI] |
Classification: | C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Fries, Christian P., (2018)
-
Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
Homescu, Cristian, (2011)
-
A Divide and Conquer Algorithm for Exploiting Policy Function Monotonicity
Gordon, Grey, (2022)
- More ...
-
Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing
Li, Lingfei, (2017)
-
A two-step framework for arbitrage-free prediction of the implied volatility surface
Zhang, Wenyong, (2023)
-
A general approach for lookback option pricing under Markov models
Zhang, Gongqiu, (2023)
- More ...