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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International journal of financial engineering"
~subject:"Option pricing theory"
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Option pricing theory
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Computational economics
European journal of operational research : EJOR
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16
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15
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ECONIS (ZBW)
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1
An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu
;
Yamada, Toshihiro
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
Saved in:
2
Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano
;
Francischello, Marco
;
Pallavicini, Andrea
- In:
European journal of operational research : EJOR
274
(
2019
)
2
,
pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
Saved in:
3
The study of dynamics for credit default risk by backward stochastic differential equation method
Tian, Kun
;
Xiong, Dewen
;
Yan, Wenchao
;
Yuan, George Xianzhi
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012028824
Saved in:
4
The source of error behavior for the solution of Black-Scholes PDE by finite difference and finite element methods
Özer, H. Ünsal
;
Duran, Ahmet
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011923061
Saved in:
5
Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.
;
Zervos, N.
- In:
Computational economics
50
(
2017
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
Saved in:
6
A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
Saved in:
7
Fractional Black-Scholes equation
Aghili, A.
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673108
Saved in:
8
A non-stationary model of dividend distribution in a stochastic interest-rate setting
Barth, Andrea
;
Moreno-Bromberg, Santiago
;
Reichmann, Oleg
- In:
Computational economics
47
(
2016
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10011712413
Saved in:
9
Option pricing via radial basis functions : performance comparison with traditional numerical integration scheme and parameters choice for a reliable pricing
Giribone, Pier Giuseppe
;
Ligato, Simone
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011333436
Saved in:
10
Using Chebyshev polynomials to approximate partial differential equations : a reply
Mosiño, Alejandro
- In:
Computational economics
39
(
2012
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10009508051
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