Search Results - subject:"Eigenfunction expansion"

The valuation of barrier options under a threshold rough Heston model

Tong, Kevin Z.; Liu, Allen - In: Journal of management science and engineering 8 (2023) 1, pp. 15-31

formulas for the double barrier option prices based on the eigenfunction expansion method. We also implement the model and …

Persistent link: https://www.econbiz.de/10014315774

A recursive pricing method for autocallables under multivariate subordination

Tong, Kevin Z. - In: Quantitative finance and economics 3 (2019) 3, pp. 440-455

Persistent link: https://www.econbiz.de/10012176549

The pricing of dual-expiry exotics with mean reversion and jumps

Tong, Kevin Z.; Hou, Dongping; Guan, Jianhua - In: Journal of mathematical finance 9 (2019) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10012116663

Option pricing in a subdiffusive constant elasticity of variance (CEV) model

Tong, Kevin Z.; Liu, Allen - In: International journal of financial engineering 6 (2019) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10012167519

Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change

Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922948

Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change

Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-24

Persistent link: https://www.econbiz.de/10011778268

A nonlinear diffusion model for electricity prices and derivatives

Tong, Zhigang; Liu, Allen - In: International journal of bonds and derivatives 3 (2017) 4, pp. 290-319

Persistent link: https://www.econbiz.de/10011877179

Pricing double barrier options under a volatility regime-switching model with psychological barriers

Song, Shiyu; Wang, Yongjin - In: Review of derivatives research 20 (2017) 3, pp. 255-280

Persistent link: https://www.econbiz.de/10011936003

A stochastic correlation model with time change for pricing credit spread options

Tong, Zhigang; Liu, Allen - In: Journal of mathematical finance 7 (2017) 2, pp. 445-466

Persistent link: https://www.econbiz.de/10011673996

Eigenfunction approach to the persistent random walk in two dimensions

Bracher, Christian - In: Physica A: Statistical Mechanics and its Applications 331 (2004) 3, pp. 448-466

The Fourier–Bessel expansion of a function on a circular disc yields a simple series representation for the end-to-end probability distribution function w(R,φ) encountered in a planar persistent random walk, where the direction taken in a step depends on the relative orientation towards the...

Persistent link: https://www.econbiz.de/10011057643