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Search: subject:"finite difference"
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Option pricing theory
34
Optionspreistheorie
34
Finite difference method
33
Stochastischer Prozess
21
Stochastic process
20
finite difference method
20
Finite difference
16
Theorie
16
Black-Scholes model
15
Black-Scholes-Modell
15
Theory
13
finite difference
13
Volatility
11
Volatilität
11
Analysis
10
Method of Lines
10
Option trading
10
Optionsgeschäft
10
American Option
9
Early Exercise
9
Finite Difference Approach
9
Integral Transform Approach
9
Mathematical analysis
9
Numerical Methods
9
Finite difference schemes
8
Mathematical programming
8
Mathematische Optimierung
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Estimation theory
7
Finite difference methods
7
Schätztheorie
7
option pricing
7
American option pricing
6
Transaktionskosten
6
finite difference approximation
6
stochastic differential equations
6
stochastic volatility
6
American options
5
Derivat
5
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Undetermined
151
Free
34
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Article
180
Book / Working Paper
27
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Article in journal
60
Aufsatz in Zeitschrift
60
Working Paper
6
Article
5
Arbeitspapier
2
Graue Literatur
2
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2
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125
English
80
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2
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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
Lamura, A.
3
Lee, Hyun Geun
3
Lempa, Jukka
3
Martín Caraballo, Ana M.
3
Tenorio Villalón, Ángel F.
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
Grecksch, W.
2
Guo, Guangbao
2
Gupta, Rakesh
2
Haddad, Sama
2
Heyde, F.
2
Ismail, M.S.
2
Kalantari, R.
2
Kaushik, S.C.
2
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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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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
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
Quantitative Finance
2
The European Journal of Finance
2
Annals of Finance
1
Annals of finance
1
Applied Energy
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
Computational Optimization and Applications
1
Computational Statistics & Data Analysis
1
Computational management science
1
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Source
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RePEc
134
ECONIS (ZBW)
62
EconStor
9
BASE
2
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1
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207
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Date (oldest first)
1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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 : JRFM
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/10012888211
Saved in:
5
Cloud droplets scavenging of gaseous pollutant from the atmosphere : nonlinear modelling and analyses
Yinusa, A.A.
;
Sobamowo, M.G.
;
Ojolo, S.J.
;
Usman, M.A.
- In:
Decision analytics journal
4
(
2022
),
pp. 1-9
transform method (MSDTM). The obtained solutions are verified via a numerical
finite
difference
method (FDM). These methods …
Persistent link: https://www.econbiz.de/10013448240
Saved in:
6
Effect of stop-loss reinsurance on primary insurer solvency
Constantinescu, Corina
;
Dias, Alexandra
;
Li, Bo
;
Siska, …
- In:
Risks : open access journal
10
(
2022
)
10
,
pp. 1-15
probability when no reinsurance is bought. We develop a
finite-difference
method for solving the (partial integro …
Persistent link: https://www.econbiz.de/10013556669
Saved in:
7
Method of lines for valuation and sensitivities of Bermudan options
Banerjee, Purba
;
Murthy, Vasudeva
;
Jain, Shashi
- In:
Computational economics
63
(
2024
)
1
,
pp. 245-270
Persistent link: https://www.econbiz.de/10014472099
Saved in:
8
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
on the option price. We also propose a
finite
difference
numerical discretization scheme with some computational examples. …
Persistent link: https://www.econbiz.de/10013201083
Saved in:
9
Enhancing
finite
difference
approximations for double barrier options : mesh optimization and repeated Richardson extrapolation
Ballestra, Luca Vincenzo
- In:
Computational management science
18
(
2021
)
2
,
pp. 239-263
Persistent link: https://www.econbiz.de/10012543403
Saved in:
10
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
on the option price. We also propose a
finite
difference
numerical discretization scheme with some computational examples. …
Persistent link: https://www.econbiz.de/10012627673
Saved in:
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