Search Results - subject:"eigenfunction"

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

Decomposing anomalies

Boubaker, Sabri; Li, Bo; Liu, Zhenya; Zhang, Yifan - In: Economics letters 202 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012607210

A statistical toolbox for mining and modeling spatial data

d' Aubigny, Gérard - In: Comparative Economic Research. Central and Eastern Europe 19 (2016) 5, pp. 5-24

Most data mining projects in spatial economics start with an evaluation of a set of attribute variables on a sample of spatial entities, looking for the existence and strength of spatial autocorrelation, based on the Moran's and the Geary's coefficients, the adequacy of which is rarely...

Persistent link: https://www.econbiz.de/10011922430

A statistical toolbox for mining and modeling spatial data

Aubigny, Gérard d' - In: Comparative economic research : Central and Eastern Europe 19 (2016) 5, pp. 5-24

Most data mining projects in spatial economics start with an evaluation of a set of attribute variables on a sample of spatial entities, looking for the existence and strength of spatial autocorrelation, based on the Moran’s and the Geary's coefficients, the adequacy of which is rarely...

Persistent link: https://www.econbiz.de/10011869753

The signal and the noise volatilities

Chaker, Selma - In: Research in international business and finance 50 (2019), pp. 79-105

Persistent link: https://www.econbiz.de/10012177017

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

New entropy restrictions and the quest for better-specified asset-pricing models

Bakshi, Gurdip S.; Chabi-Yo, Fousseni - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 6, pp. 2517-2541

Persistent link: https://www.econbiz.de/10012165919

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