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Search: subject:"Analytical approximation"
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analytical approximation
9
Analytical approximation
8
Option pricing theory
6
Optionspreistheorie
6
Volatility
6
Volatilität
6
Theorie
5
American option
4
Stochastic process
4
Stochastischer Prozess
4
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4
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3
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3
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2
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2
Basel II
2
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2
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2
Critical stock price
2
Fourier methods
2
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2
Interpolation method
2
Kreditrisiko
2
Local stochastic volatility
2
Lévy process
2
Monte Carlo simulation
2
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2
Option pricing
2
Quasi-analytical approximation
2
analytical approximation method
2
characteristic function
2
double default
2
dynamic re-order point policy
2
fruit juice manufacturing
2
granularity adjustment
2
inventory control
2
inventory performance measures
2
inventory policy
2
local volatility
2
option pricing
2
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English
12
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Li, Minqiang
3
Lütkebohmert, Eva
3
Pascucci, Andrea
3
Mahamani, A.
2
Pagliarani, Stefano
2
Pandurangadu, V.
2
Rao, K. Prahlada
2
Burger, J.M.S.
1
Chan, Yin-Chi
1
Datey, Jean-Yves
1
Delden, Arnout van
1
Edwards, David A.
1
Fan, Pengying
1
Gauthier, Genevieve
1
He, Xin-Jiang
1
Joynt, Gavin
1
Kurtz, Cornelius
1
Lai, Paul
1
Lin, Sha
1
Mazzon, Andrea
1
Minqiang Li, Li
1
PAGLIARANI, STEFANO
1
PASCUCCI, ANDREA
1
Scholtus, Sander
1
Sester, Julian
1
Simonato, Jean-Guy
1
Wang, Qi
1
Wang, Zerong
1
Wong, Eric W. M.
1
Wu, Xiaoxia
1
Wu, Xinyu
1
Xie, Dejun
1
Xie, Haibin
1
Yang, Ying
1
Zhang, Qian
1
Zhang, Yuanyuan
1
Zukerman, Moshe
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
University of Bonn, Germany
1
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Computational economics
3
MPRA Paper
3
Bonn Econ Discussion Papers
2
International Journal of Data Analysis Techniques and Strategies
2
Review of Derivatives Research
2
Discussion paper / Statistics Netherlands
1
Health care management science
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of financial engineering
1
International journal of theoretical and applied finance
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Multinational Finance Journal
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The journal of computational finance
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The journal of credit risk : published quarterly by Incisive Media
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ECONIS (ZBW)
10
RePEc
10
EconStor
1
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1
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10
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21
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1
Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan
;
Zhang, Qian
;
Wang, Zerong
;
Wang, Qi
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
Saved in:
2
Evaluating the accuracy of growth rates in the presence of classification errors
Scholtus, Sander
;
Delden, Arnout van
;
Burger, J.M.S.
-
2019
Persistent link: https://www.econbiz.de/10012174764
Saved in:
3
An
analytical
approximation
formula for barrier option prices under the heston model
He, Xin-Jiang
;
Lin, Sha
- In:
Computational economics
60
(
2022
)
4
,
pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
Saved in:
4
Accelerating FHS option pricing under linear GARCH
Xie, Haibin
;
Wu, Xinyu
;
Fan, Pengying
- In:
Computational economics
58
(
2021
)
2
,
pp. 395-411
Persistent link: https://www.econbiz.de/10012615025
Saved in:
5
An optimal mortgage refinancing strategy with stochastic interest rate
Wu, Xiaoxia
;
Xie, Dejun
;
Edwards, David A.
- In:
Computational economics
53
(
2019
)
4
,
pp. 1353-1375
Persistent link: https://www.econbiz.de/10012135162
Saved in:
6
Overflow models for the admission of intensive care patients
Chan, Yin-Chi
;
Wong, Eric W. M.
;
Joynt, Gavin
;
Lai, Paul
; …
- In:
Health care management science
21
(
2018
)
4
,
pp. 554-572
Persistent link: https://www.econbiz.de/10011933849
Saved in:
7
Calculating capital charges for sector concentration risk
Kurtz, Cornelius
;
Lütkebohmert, Eva
;
Sester, Julian
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
4
,
pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
Saved in:
8
The forward smile in local-stochastic volatility models
Mazzon, Andrea
;
Pascucci, Andrea
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011689675
Saved in:
9
Analytical
approximation
for spread option pricing in local volatility model
Yang, Ying
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011807086
Saved in:
10
Analytical
approximation
of the transition density in a local volatility model
Pagliarani, Stefano
;
Pascucci, Andrea
-
Volkswirtschaftliche Fakultät, …
-
2011
We present a simplified approach to the
analytical
approximation
of the transition density related to a general local …
Persistent link: https://www.econbiz.de/10009025272
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