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Search: subject:"Euler–Maruyama"
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Option pricing theory
11
Optionspreistheorie
11
Stochastic process
11
Stochastischer Prozess
11
Euler-Maruyama
8
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Simulation
7
Euler-Maruyama scheme
5
Heston
5
Stochastic volatility
5
Analysis
4
Euler–Maruyama scheme
4
Mathematical analysis
4
Stochastic differential equation
4
Yield curve
4
Zinsstruktur
4
boundary behaviour
4
discretisation
4
square root process
4
strong convergence
4
weak convergence
4
Bayes estimation
3
Bayesian estimation
3
Bond pricing
3
CIR model
3
Credit derivative
3
Euler-Maruyama approximation
3
Euler-Maruyama stochastic integral approximation
3
Gompertz model
3
Growth curves
3
HJM (Heath-Jarrow-Morton) model
3
Kreditderivat
3
Markov chain Monte Carlo
3
Maximum likelihood estimation
3
Metropolis Hastings algorithm
3
Mixed models
3
Option trading
3
Optionsgeschäft
3
Predictive posterior distribution
3
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Undetermined
13
Free
11
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Article
19
Book / Working Paper
12
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Article in journal
10
Aufsatz in Zeitschrift
10
Working Paper
5
Arbeitspapier
4
Graue Literatur
4
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1
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1
research-article
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English
18
Undetermined
13
Author
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Koekkoek, Remmert
5
Lord, Roger
5
Chiarella, Carl
3
Dijk, Dick van
3
Donnet, Sophie
3
Elerian, Ola
3
Evgenidis, Anastasios
3
Fanelli, Viviana
3
Foulley, Jean-Louis
3
Musti, Silvana
3
Samson, Adeline
3
Siriopoulos, Costas
3
Chib, Siddhartha
2
Mao, Xuerong
2
Sun, Qi
2
Zhang, Pu
2
Baltas, Ioannis
1
Bayer, Christian
1
Cervantes-López, E.
1
Dijk, Dick Van
1
Espinoza, P.B.
1
Ezepue, Patrick Oseloka
1
Fenner, Trevor
1
Gallegos, A.
1
Giles, Michael
1
Girón, Luis Eduardo
1
Hall, Eric Joseph
1
Higham, Desmond
1
Hoeting, Jennifer A.
1
Hok, Julien
1
Ida, Yuuki
1
Kinoshita, Tsuyoshi
1
Lee, Chihoon
1
Levene, Mark
1
Rosu, H.C.
1
Shephard, Neil
1
Shephard, Neil G.
1
Suescún-Díaz, Daniel
1
Sun, Libo
1
Tempone, Raúl
1
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Department of Economics, Oxford University
2
Université Paris-Dauphine (Paris IX)
2
Tinbergen Institute
1
Tinbergen Instituut
1
Université Paris-Dauphine
1
Published in...
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Economics Papers from University Paris Dauphine
2
Economics Series Working Papers / Department of Economics, Oxford University
2
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
Tinbergen Institute Discussion Papers
2
Asia-Pacific financial markets
1
Computational Statistics & Data Analysis
1
Computational economics
1
Discussion paper / Tinbergen Institute
1
Economic Modelling
1
Economic modelling
1
European journal of operational research : EJOR
1
Finance and Stochastics
1
Finance and stochastics
1
IMA journal of management mathematics
1
International journal of forecasting
1
International journal of theoretical and applied finance : IJTAF
1
Internet finance and digital economy : advances in digital economy and data analysis technology : the 2nd International Conference on Internet Finance and Digital Economy, Kuala Lumpur, Malaysia, 19 - 21 August 2022
1
Journal of Risk Finance
1
Journal of mathematical finance
1
Journal of risk finance : the convergence of financial products and insurance
1
Mathematical finance
1
Mathematics and Computers in Simulation (MATCOM)
1
Open Access publications from Université Paris-Dauphine
1
Physica A: Statistical Mechanics and its Applications
1
Quantitative Finance
1
The Journal of Risk Finance
1
Tinbergen Institute Discussion Paper
1
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ECONIS (ZBW)
15
RePEc
14
EconStor
1
Other ZBW resources
1
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1
Speeding up the Euler scheme for killed diffusions
Çetin, Umut
;
Hok, Julien
- In:
Finance and stochastics
28
(
2024
)
3
,
pp. 663-707
Persistent link: https://www.econbiz.de/10015130359
Saved in:
2
Valuation of standard call options using the
Euler-Maruyama
method with strong approximation
Suescún-Díaz, Daniel
;
Girón, Luis Eduardo
- In:
Computational economics
61
(
2023
)
4
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014327069
Saved in:
3
Pricing Asian option and lookback option with Monte Carlo method
Yiyang Lu
- In:
Internet finance and digital economy : advances in …
,
(pp. 329-338)
.
2024
Persistent link: https://www.econbiz.de/10014534116
Saved in:
4
Weak error rates for option pricing under linear rough volatility
Bayer, Christian
;
Hall, Eric Joseph
;
Tempone, Raúl
- In:
International journal of theoretical and applied …
25
(
2022
)
7/8
,
pp. 1-47
Persistent link: https://www.econbiz.de/10014235124
Saved in:
5
A stochastic differential equation approach to the analysis of the 2017 and 2019 UK general election polls
Levene, Mark
;
Fenner, Trevor
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1227-1234
Persistent link: https://www.econbiz.de/10012794848
Saved in:
6
Hyperbolic symmetrization of heston type diffusion
Ida, Yuuki
;
Kinoshita, Tsuyoshi
- In:
Asia-Pacific financial markets
26
(
2019
)
3
,
pp. 355-364
Persistent link: https://www.econbiz.de/10012309668
Saved in:
7
Portfolio management in a stochastic factor model under the existence of private information
Baltas, Ioannis
;
Yannacopoulos, Athanasios N.
- In:
IMA journal of management mathematics
30
(
2019
)
1
,
pp. 77-103
Persistent link: https://www.econbiz.de/10012057100
Saved in:
8
Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market
Urama, Thomas Chinwe
;
Ezepue, Patrick Oseloka
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 640-667
Persistent link: https://www.econbiz.de/10012016532
Saved in:
9
Bayesian analysis of growth curves using mixed models defined by stochastic differential equations.
Foulley, Jean-Louis
;
Samson, Adeline
;
Donnet, Sophie
-
Université Paris-Dauphine
-
2010
the conditional distribution of the diffusion process has no explicit form, we propose to approximate it using the
Euler-Maruyama
…
Persistent link: https://www.econbiz.de/10008520021
Saved in:
10
Bayesian analysis of growth curves using mixed models defined by stochastic differential equations
Foulley, Jean-Louis
;
Samson, Adeline
;
Donnet, Sophie
-
Université Paris-Dauphine (Paris IX)
-
2010
the conditional distribution of the diffusion process has no explicit form, we propose to approximate it using the
Euler-Maruyama
…
Persistent link: https://www.econbiz.de/10010707858
Saved in:
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