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  • Search: subject:"finite difference"
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Year of publication
Subject
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Option pricing theory 46 Optionspreistheorie 46 Finite difference method 35 Stochastischer Prozess 28 Stochastic process 27 finite difference method 21 Option trading 18 Optionsgeschäft 18 Theorie 18 Black-Scholes model 16 Black-Scholes-Modell 16 Finite difference 16 finite difference 16 Theory 15 Derivat 14 Derivative 14 Monte Carlo simulation 13 Monte-Carlo-Simulation 13 Volatility 13 Volatilität 13 Mathematical programming 11 Mathematische Optimierung 11 Method of Lines 10 Numerical Methods 10 American Option 9 Analysis 9 Early Exercise 9 Estimation theory 9 Finite Difference Approach 9 Integral Transform Approach 9 Schätztheorie 9 Finite difference schemes 8 Mathematical analysis 8 Finite difference methods 7 option pricing 7 American option pricing 6 CAPM 6 Finanzmathematik 6 Markov chain 6 Markov-Kette 6
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Online availability
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Undetermined 161 Free 35 CC license 5
Type of publication
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Article 189 Book / Working Paper 29
Type of publication (narrower categories)
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Article in journal 67 Aufsatz in Zeitschrift 67 Working Paper 6 Article 5 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Thesis 2 Aufsatz im Buch 1 Book section 1 research-article 1
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Language
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Undetermined 125 English 91 Spanish 2
Author
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Chiarella, Carl 9 Kang, Boda 9 Meyer, Gunter H. 8 Kim, Junseok 5 Mickens, Ronald E. 5 Itkin, Andrey 4 Lux, Thomas 4 Tourin, Agnès 4 Ševčovič, Daniel 4 Astic, Fabian 3 Dehghan, Mehdi 3 Dimitrov, Dobromir T. 3 Düring, Bertram 3 Eriksson, Marcus 3 Fournié, Michel 3 Gonnella, G. 3 Jeong, Darae 3 Jüngel, Ansgar 3 Kojouharov, Hristo V. 3 Lam, Henry 3 Lamura, A. 3 Lee, Hyun Geun 3 Lempa, Jukka 3 Martín Caraballo, Ana M. 3 Tenorio Villalón, Ángel F. 3 Zanette, Antonino 3 Bayraktar, Erhan 2 Blessing, Jonas 2 Briani, Maya 2 Caramellino, Lucia 2 Cardona, Fabio 2 Choi, Jeong-Whan 2 Ciulla, Giuseppina 2 Contreras Rubio, I. 2 Dai, Weizhong 2 Grecksch, W. 2 Guo, Guangbao 2 Gupta, Rakesh 2 Haddad, Sama 2 Heyde, F. 2
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Institution
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Society for Computational Economics - SCE 4 Department of Economics and Related Studies, University of York 2 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, University of Waterloo 1 EconWPA 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 HAL 1 Institut für Weltwirtschaft (IfW) 1 Institute of Business and Economic Research (IBER), Walter A. Haas School of Business 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 School of Economics and Finance, Business School 1 Swiss Finance Institute 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 World Scientific Publishing Co. Pte. Ltd. 1 Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften 1
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Published in...
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Mathematics and Computers in Simulation (MATCOM) 40 Physica A: Statistical Mechanics and its Applications 13 The journal of computational finance 10 Computational economics 9 The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 8 International journal of theoretical and applied finance 7 International Journal of Theoretical and Applied Finance (IJTAF) 5 Natural Hazards 5 Renewable Energy 4 Applied mathematical finance 3 Computational Statistics 3 Mathematical Methods of Operations Research 3 Quantitative finance 3 Annals of the Institute of Statistical Mathematics 2 Applied Mathematical Finance 2 Asia-Pacific Financial Markets 2 CoFE Discussion Paper 2 Discussion Papers / Department of Economics and Related Studies, University of York 2 Energies 2 International Journal of Global Energy Issues 2 International journal of financial engineering 2 Journal of Global Optimization 2 Journal of Risk and Financial Management 2 Journal of financial engineering 2 Journal of mathematical finance 2 Journal of risk and financial management : JRFM 2 Management Science 2 Operations research 2 Quantitative Finance 2 The European Journal of Finance 2 Annals of Finance 1 Annals of finance 1 Applied Energy 1 Asia Pacific financial markets 1 Bulletin of the Czech Econometric Society 1 Center for Mathematical Economics Working Papers 1 CoFE discussion papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Computational Economics 1
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Source
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RePEc 134 ECONIS (ZBW) 71 EconStor 10 BASE 2 Other ZBW resources 1
Showing 1 - 10 of 218
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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
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Convergence of infinitesimal generators and stability of convex monotone semigroups
Blessing, Jonas; Kupper, Michael; Nendel, Max - 2023
finite-difference schemes for convex HJB equations, Freidlin-Wentzell-type results and Markov chain approximations for a …
Persistent link: https://www.econbiz.de/10014374628
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Convergence of infinitesimal generators and stability of convex monotone semigroups
Blessing, Jonas; Kupper, Michael; Nendel, Max - 2023
schemes and Yosida-type approximations for upper envelopes of families of linear semigroups, stability results and finite-difference …
Persistent link: https://www.econbiz.de/10014284976
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A general machine learning framework of real-time evaluation for financial derivatives portfolios
Zhang, Liangliang; Tian, Ruyan; Yang, Qing; Ye, Tingting - In: Review of derivatives research 28 (2025) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10015440643
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Heterogeneous-agent models in asset pricing : the dynamic programming approach and finite difference method
Gil, Hamilton Galindo - In: The B.E. journal of theoretical economics 25 (2025) 1, pp. 213-253
Persistent link: https://www.econbiz.de/10015433300
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Enhancing valuation of variable annuities in Lévy models with stochastic interest rate
Goudenege, Ludovic; Molent, Andrea; Wei, Xiao; Zanette, … - In: Scandinavian actuarial journal 2025 (2025) 2, pp. 213-235
Persistent link: https://www.econbiz.de/10015534477
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Callable Mortgage Bonds : Numerical Methods and Valuation Models for Pricing and Risk Analysis
Rom, Niels - 2025
Estimation -- Chapter 5. Stochastic Interest Rate Model -- Chapter 6. Simulation -- Chapter 7. Finite Difference -- Chapter 8 … been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the …
Persistent link: https://www.econbiz.de/10015401840
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Comparison of numerical solutions of option pricing under two mixed Black–Scholes models
Fard, Hossein Sahebi; Dastranj, Elham - In: International journal of financial engineering 12 (2025) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10015550806
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Distributionally constrained black-box stochastic gradient estimation and optimization
Lam, Henry; Zhang, Junhui - In: Operations research 73 (2025) 5, pp. 2680-2694
Persistent link: https://www.econbiz.de/10015550459
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Statistical analysis Dow Jones Stock Index: Cumulative return gap and finite difference method
Yan, Kejia; Gupta, Rakesh; Haddad, Sama - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-44
, we also lead the finite difference (FD) method into the autoregressive (AR) model and autoregressive distributed lag …
Persistent link: https://www.econbiz.de/10013201392
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