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On an approximation method for pricing a high-dimensional basket options on assets with mean-reverting prices

Li, Xun; Wu, Zhenyu - In: Computers & operations research : and their … 35 (2008) 1, pp. 76-89

Persistent link: https://www.econbiz.de/10003665818

An efficient approximation method for American exotic options

Chang, Geunhyuk; Kang, Jangkoo; Kim, Hwa-sung; Kim, In-joon - In: The journal of futures markets 27 (2007) 1, pp. 29-59

Persistent link: https://www.econbiz.de/10003492996

Stochastic resonance for bias signal-modulated noise in a single-mode laser

Han, Li-bo; Cao, Li; Wu, Da-jin; Wang, Jun - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 159-166

By using the linear approximation method, the laser intensity power spectrum and signal-to-noise ratio (SNR) are …

Persistent link: https://www.econbiz.de/10010872316

An Alternative to Stationarization

Juillard, Michel - Society for Computational Economics - SCE - 2006

For good reasons, it is standard practice to remove trends before linearizing a growth model. This paper explores an alternative strategy that consists in computing local approximations around successive points in the state space. Obviously this is terribly inefficiant it trend removal is...

Persistent link: https://www.econbiz.de/10005706250

Stochastic resonance in single-mode semiconductor lasers

Wang, J.; Bai, Y.M.; Cao, L.; Wu, D.J.; Ma, X.Y. - In: Physica A: Statistical Mechanics and its Applications 368 (2006) 1, pp. 31-37

were calculated using the linear approximation method. We found that the SR always appears in the dependence of the SNR …

Persistent link: https://www.econbiz.de/10010590836

Systems thinking : managing chaos and complexity; a platform for designing business architecture

Gharajedaghi, Jamshid - 2006 - 2. ed.

Persistent link: https://www.econbiz.de/10013530562

An approximation method for analysis and valuation of credit correlation derivatives

Egami, Masahiko; Esteghamat, Kian - In: Journal of banking & finance 30 (2006) 2, pp. 341-364

Persistent link: https://www.econbiz.de/10003291266

Scaling up the sample average approximation method for stochastic optimization with applications to trading agents

Greenwald, Amy; Guillemette, Bryan; Naroditskiy, Victor; … - In: Agent-mediated electronic commerce : designing trading …, (pp. 187-199). 2006

Persistent link: https://www.econbiz.de/10003596337

Softwareagenten und Soft Computing im Geschäftsprozessmanagement : innovative Methoden und Werkzeuge zur Gestaltung, Steuerung und Kontrolle von Geschäftsprozessen in Dienstleistung, Verwaltung und Industrie ; Tagungsband zum 9. Symposium Soft Computing am 30.11.2006 an der TU Ilmenau

Nissen, Volker (ed.); Petsch, Mathias (contributor) - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003393322

BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE

KOURITZIN, MICHAEL A.; ZENG, YONG - In: International Journal of Theoretical and Applied … 08 (2005) 01, pp. 97-121

for them and then applying the Markov chain approximation method to yield a recursive algorithm. We prove the consistency …

Persistent link: https://www.econbiz.de/10005050499

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