Search Results - subject:"Finite-difference approximation"

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-12

Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013201083

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012627673

A dynamic game approach to uninvadable strategies for biotrophic pathogens

Yegorov, Ivan; Grognard, Frédéric; Mailleret, Ludovic; … - In: Dynamic games and applications : DGA 10 (2020) 1, pp. 257-296

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012226873

Finite difference gradient approximation : to randomize or not?

Scheinberg, Katya - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 5, pp. 2384-2388

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014325326

On the numerical solution of Mertonian control problems : a survey of the markov chain approximation method for the working economist

Ellersgaard, Simon - In: Computational economics 54 (2019) 3, pp. 1179-1211

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012134515

Option pricing in illiquid markets with jumps

Cruz, José M. T. S.; Ševčovič, Daniel - In: Applied mathematical finance 25 (2018) 3/4, pp. 389-409

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012129168

Welfare analysis of HIV/AIDS: Formulating and computing a continuous time overlapping generations policy model

Shorish, Jamsheed - 2007

dynamic programming problem is presented and the numerical approximation using a finite difference approximation is derived …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010294015

Welfare Analysis of HIV/AIDS: Formulating and Computing a Continuous Time Overlapping Generations Policy Model

Shorish, Jamsheed - Department of Economics and Finance Research and … - 2007

dynamic programming problem is presented and the numerical approximation using a finite difference approximation is derived …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005247720

Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines

McDonald, Stuart - Volkswirtschaftliche Fakultät, … - 2006

provides a proof that the MOL can be used to provide a finite difference approximation of the boundary value solutions for two …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005837318

A numerical modelling for the extraction of decay regions from color images of monuments

Cerimele, Maria Mercede; Cossu, Rossella - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2334-2344

by the eikonal equation. We adopted the fast marching technique to solve the upwind finite difference approximation of …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011050775