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Search: subject:"Homotopy analysis method"
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Homotopy analysis method
9
Option pricing theory
6
Optionspreistheorie
6
Option trading
5
Optionsgeschäft
5
homotopy analysis method
4
Black-Scholes model
3
Black-Scholes-Modell
3
Markov chain
3
Markov-Kette
3
Stochastic process
3
Stochastischer Prozess
3
regime switching
3
American options
2
Barrier options
2
Black-Scholes PDE
2
Financial Crisis
2
Homotopy Analysis Method
2
Lévy processes
2
Markov-modulated geometric Brownian motion
2
Optimal exercise boundary
2
Options
2
Theorie
2
Theory
2
Variance gamma model
2
free boundary problem
2
option pricing
2
Ambiguity
1
American put options
1
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1
Convertible bond
1
Derivat
1
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1
Fin efficiency
1
Financial analysis
1
Financial crisis
1
Finanzanalyse
1
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1
General utility function
1
Hamilton-Jacobi-Bellman (HJB) equation
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9
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7
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Zhu, Song-Ping
6
Chan, Leunglung
4
Cheng, Jun
2
Sakuma, Takayuki
2
Yamada, Yuji
2
Chen, Peimin
1
El-Khatib, Youssef
1
He, Yong
1
Inc, Mustafa
1
Kim, Jeong-Hoon
1
Ma, Guiyuan
1
Park, Sang-Hyeon
1
Parvaneh, Foroud
1
Raftari, Behrouz
1
Vajravelu, Kuppalapalle
1
Wang, Xiaoyang
1
Youssef, El-Khatib
1
Zhang, Jin
1
Zhang, Jin E.
1
Zhou, Xia
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Asia-Pacific Financial Markets
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Asia-Pacific financial markets
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1
IMA journal of management mathematics
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International journal of financial engineering
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Journal of Risk and Financial Management
1
Journal of risk and financial management : JRFM
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Mathematical economics letters
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Review of Derivatives Research
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Statistics & Probability Letters
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
8
RePEc
7
EconStor
1
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1
An analytic approach for pricing American options with regime switching
Chan, Leunglung
;
Zhu, Song-Ping
- In:
Journal of Risk and Financial Management
14
(
2021
)
5
,
pp. 1-20
homotopy
analysis
method
, an explicit formula for pricing two-state regime-switching American options is presented. …
Persistent link: https://www.econbiz.de/10012611745
Saved in:
2
An analytic approach for pricing American options with regime switching
Chan, Leunglung
;
Zhu, Song-Ping
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
5
,
pp. 1-20
homotopy
analysis
method
, an explicit formula for pricing two-state regime-switching American options is presented. …
Persistent link: https://www.econbiz.de/10012533592
Saved in:
3
An analytical solution for the robust investment-reinsurance strategy with general utilities
He, Yong
;
Zhou, Xia
;
Chen, Peimin
;
Wang, Xiaoyang
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014225734
Saved in:
4
An analytical solution for the HJB equation arising from the Merton problem
Zhu, Song-Ping
;
Ma, Guiyuan
- In:
International journal of financial engineering
5
(
2018
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011922966
Saved in:
5
An explicit analytic formula for pricing barrier options with regime switching
Chan, Leunglung
;
Zhu, Song-Ping
- In:
Mathematics and financial economics
9
(
2015
)
1
,
pp. 29-37
Persistent link: https://www.econbiz.de/10010500699
Saved in:
6
An analytic formula for pricing American-style convertible bonds in a regime switching model
Chan, Leunglung
;
Zhu, Song-Ping
- In:
IMA journal of management mathematics
26
(
2015
)
4
,
pp. 402-428
Persistent link: https://www.econbiz.de/10011515674
Saved in:
7
A
Homotopy
Analysis
Method
for the Option Pricing PDE in Post-Crash Markets
Youssef, El-Khatib
- In:
Mathematical Economics Letters
2
(
2014
)
3-4
,
pp. 6-6
solution for the pricing PDE of a European option during financial crisis using the
homotopy
analysis
method
. …
Persistent link: https://www.econbiz.de/10011084816
Saved in:
8
Application of
Homotopy
Analysis
Method
to Option Pricing Under Lévy Processes
Sakuma, Takayuki
;
Yamada, Yuji
- In:
Asia-Pacific Financial Markets
21
(
2014
)
1
,
pp. 1-14
apply the so-called
homotopy
analysis
method
(HAM) to solve the corresponding PIDE in a semi analytic form, being obtained …
Persistent link: https://www.econbiz.de/10010866368
Saved in:
9
Application of
homotopy
analysis
method
to option pricing under Lévy processes
Sakuma, Takayuki
;
Yamada, Yuji
- In:
Asia-Pacific financial markets
21
(
2014
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010358467
Saved in:
10
A
homotopy
analysis
method
for the option pricing PDE in post-crash markets
El-Khatib, Youssef
- In:
Mathematical economics letters
2
(
2014
)
3/4
,
pp. 45-50
Persistent link: https://www.econbiz.de/10010496354
Saved in:
1
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