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  • Search: subject:"Analytic solution"
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Year of publication
Subject
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Analytic solution 7 Option pricing theory 6 Optionspreistheorie 6 Stochastic process 5 Stochastischer Prozess 5 Volatility 3 Volatilität 3 analytic solution 3 CAPM 2 Heston model 2 stochastic volatility 2 Anleihe 1 Approximate analytic solution 1 Asia 1 Asian option 1 Asien 1 Backward equation 1 Black-Scholes equation 1 Black-Scholes model 1 Black-Scholes-Modell 1 Bond 1 Characteristic function 1 CoCo bond 1 Compound slope 1 Contingent convertible bond 1 Convertible bond 1 Cooperation–competition 1 Daily price limit 1 Decision under uncertainty 1 Double gate MOSFET 1 Empirical solution 1 Entscheidung unter Unsicherheit 1 Erlang service 1 European call option 1 Fast Fourier transform 1 Game theory 1 Geometric Brownian motion with affine drift 1 Guaranteed lifetime withdrawal benefits 1 Interest rate 1 Lambert function 1
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Online availability
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Undetermined 10 Free 3
Type of publication
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Article 11 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 7 Undetermined 6
Author
All
Alziary, Bénédicte 1 Barría M., Marta 1 Boker, Steven 1 Chang, Chia-Chang 1 Chang, Hui 1 Chang, Lung-Fu 1 Cox, Daniel 1 Daglish, Toby 1 Deboeck, Pascal 1 Feng, Ai-xia 1 Fu, Chunhua 1 Guo, Jia-Hau 1 Harcourt, Darcy 1 He, Da-Ren 1 Horsky, Roman 1 Hu, Chin-Kun 1 Li, Bo 1 Limon, Alfonso 1 Lin, Chung-Gee 1 Martínez V., José M. 1 Morris, Hedley C. 1 Park, Hyoungsu 1 Petroff, Catherine 1 Pinna, Andrea 1 Sayer, Tilman 1 Shubert, Alexander 1 Sun, Yufei 1 Takáč, Peter 1 Teo, Kok Lay 1 Turfus, Colin 1 Ulm, Eric R. 1 Vallejos C., Reinaldo A. 1 Xu, Xiu-Lian 1
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Institution
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Facoltà di Economia / Wirtschaftswissenschaftliche Fakutät, Libera Università di Bolzano / Freie Universität Bozen 1
Published in...
All
International journal of theoretical and applied finance 2 BEMPS - Bozen Economics & Management Paper Series 1 Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty 1 Insurance : mathematics and economics 1 Mathematics and Computers in Simulation (MATCOM) 1 Natural Hazards 1 Physica A: Statistical Mechanics and its Applications 1 Psychometrika 1 Review of derivatives research 1 Statistics & Probability Letters 1 The North American journal of economics and finance : a journal of financial economics studies 1 Working papers / TSE : WP 1
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Source
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ECONIS (ZBW) 7 RePEc 6
Showing 1 - 10 of 13
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Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
Harcourt, Darcy; Daglish, Toby; Ulm, Eric R. - In: Insurance : mathematics and economics 118 (2024), pp. 59-71
Persistent link: https://www.econbiz.de/10015067006
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An analytic solution for multi-period uncertain portfolio selection problem
Li, Bo; Sun, Yufei; Teo, Kok Lay - In: Fuzzy optimization and decision making : a journal of … 21 (2022) 2, pp. 319-333
Persistent link: https://www.econbiz.de/10013186173
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A generalization of option pricing to price-limit markets
Guo, Jia-Hau; Chang, Lung-Fu - In: Review of derivatives research 23 (2020) 2, pp. 145-161
Persistent link: https://www.econbiz.de/10012229795
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On the Heston model with stochastic volatility : analytic solutions and complete markets
Alziary, Bénédicte; Takáč, Peter - 2017
Persistent link: https://www.econbiz.de/10012265761
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Approximate analytic solution for Asian options with stochastic volatility
Lin, Chung-Gee; Chang, Chia-Chang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012667176
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Price Formation of Pledgeable Securities
Pinna, Andrea - Facoltà di Economia / Wirtschaftswissenschaftliche … - 2015
and has an analytic solution. Such result allows to investigate the impact of pledgeability on informational efficiency …
Persistent link: https://www.econbiz.de/10011191545
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Analytic pricing of CoCo bonds
Turfus, Colin; Shubert, Alexander - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10011734058
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Joining the Heston and a three-factor short rate model : a closed-form approach
Horsky, Roman; Sayer, Tilman - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-17
Persistent link: https://www.econbiz.de/10011419421
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An empirical solution for tsunami run-up on compound slopes
Park, Hyoungsu; Cox, Daniel; Petroff, Catherine - In: Natural Hazards 76 (2015) 3, pp. 1727-1743
analytic solution and calibrated using a Boussinesq wave model for plane-sloped and compound-sloped cases, including the …
Persistent link: https://www.econbiz.de/10011241083
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A manipulator game model of urban public traffic network
Chang, Hui; Xu, Xiu-Lian; Hu, Chin-Kun; Fu, Chunhua; … - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 378-385
Urban public traffic networks are typical complex systems. Understanding their evolution mechanism attracts much attention in recent years. Here, we propose that the evolution of urban public traffic network can be considered as a game process between two network manipulators, i.e., passengers...
Persistent link: https://www.econbiz.de/10010939956
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