Search Results - subject:"Integro-differential equations"

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

Fast and accurate computation of the regime-switching jump-diffusion option prices using laplace transform and compact difference with convergence guarantee

In: Computational economics 64 (2024) 1, pp. 57-80

Persistent link: https://www.econbiz.de/10015078003

Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model

Hout, Karel J. in 't; Lamotte, Pieter - In: The journal of computational finance 26 (2023) 4, pp. 101-137

Persistent link: https://www.econbiz.de/10014342075

The Gerber-Shiu discounted penalty function : a review from practical perspectives

He, Yue; Kawai, Reiichiro; Shimizu, Yasutaka; Yamazaki, … - In: Insurance / Mathematics & economics 109 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014282466

Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model

Hout, Karel J. in 't; Lamotte, Pieter - In: The journal of computational finance : JFC 26 (2023) 4, pp. 101-137

Persistent link: https://www.econbiz.de/10014486917

Neural variance reduction for stochastic differential equations

Hinds, P. D.; Tretyakov, M. V. - In: The journal of computational finance : JFC 27 (2023) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10014487028

A computational approach to first passage problems of reflected hyperexponential jump diffusion processes

Cai, Ning; Yang, Xuewei - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 216-229

Persistent link: https://www.econbiz.de/10012496376

A splitting strategy for the calibration of jump-diffusion models

Albani, Vinícius; Zubelli, Jorge P. - In: Finance and stochastics 24 (2020) 3, pp. 677-722

Persistent link: https://www.econbiz.de/10012518083

Dividends and dynamic solvency insurance in two-dimensional risk models

Gosio, Cristina; Lari, Ester C.; Ravera, Marina; … - In: Modern economy 9 (2018) 12, pp. 2104-2118

Persistent link: https://www.econbiz.de/10011997776

Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models

Patel, Kuldip Singh; Mehra, Mani - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011892590

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