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Search: subject:"method of lines"
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Method of lines
14
Method of Lines
12
American Option
9
Early Exercise
9
Finite Difference Approach
9
Integral Transform Approach
9
Numerical Methods
9
method of lines
9
Option pricing theory
7
Optionspreistheorie
7
stochastic volatility
7
American options
6
Stochastic process
6
Stochastischer Prozess
6
free boundary problem
6
Volatility
5
Option trading
4
Optionsgeschäft
4
Volatilität
4
Method-of-lines
3
Volterra integral equations
3
jump-diffusion processes
3
stochastic interest rate
3
Altersvorsorge
2
Black model
2
Black-Karasinski model
2
Canadization
2
Carr's randomization
2
Einkommensteuer
2
Income tax
2
Interest rate
2
Kou's model
2
Lebensversicherung
2
Life insurance
2
Lévy process
2
Monte Carlo simulation
2
Option pricing
2
Partial differential equations
2
Private Altersvorsorge
2
Private retirement provision
2
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7
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32
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8
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8
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2
Graue Literatur
2
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2
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32
English
10
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Chiarella, Carl
14
Kang, Boda
14
Meyer, Gunter H.
10
Ziogas, Andrew
3
Ziveyi, Jonathan
3
Alonso-García, Jennifer
2
Cheang, Gerald H. L.
2
Realdon, Marco
2
Sherris, Michael
2
Thirurajah, Samuel
2
Ahmadian, D.
1
BOYARCHENKO, MITYA
1
BOYARCHENKO, SVETLANA
1
Banerjee, Purba
1
Bojarčenko, Svetlana I.
1
Boyarchenko, Mitya
1
Bozzini, Benedetto
1
CHIARELLA, CARL
1
Carr, Peter
1
Cheang, Gerald
1
Dehghan, Mehdi
1
Dumont, Yves
1
Fahs, M.
1
Feistauer, Miloslav
1
Garces, Len Patrick Dominic M.
1
Hanke, Michael
1
Huggenberger, P.
1
Jain, Shashi
1
KANG, BODA
1
Kalantari, R.
1
Konz, M.
1
Korn, Granino A.
1
Lacitignola, Deborah
1
MEYER, GUNTER H.
1
Marquardt, W
1
McDonald, Stuart
1
Meyer, Gunter
1
Meyer, Gunter H
1
Mishra, C.
1
Mohebbi, Akbar
1
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Finance Discipline Group, Business School
4
EconWPA
1
Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics
1
Society for Computational Economics - SCE
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
World Scientific Publishing Co. Pte. Ltd.
1
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Mathematics and Computers in Simulation (MATCOM)
14
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches
8
Research Paper Series / Finance Discipline Group, Business School
4
Computational economics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Quantitative finance
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Computing in Economics and Finance 2006
1
Finance
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
Journal of international financial markets, institutions & money
1
MPRA Paper
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Working paper
1
World Scientific Books
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RePEc
32
ECONIS (ZBW)
10
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1
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:
2
Taxation and policyholder behavior : the case of guaranteed minimum accumulation benefits
Alonso-García, Jennifer
;
Sherris, Michael
;
Thirurajah, …
- In:
ASTIN bulletin : the journal of the International …
54
(
2024
)
1
,
pp. 185-212
Persistent link: https://www.econbiz.de/10014485606
Saved in:
3
Taxation and policyholder behaviour : the case of guaranteed minimum accumulation benefits
Alonso-García, Jennifer
;
Sherris, Michael
;
Thirurajah, …
-
2020
Persistent link: https://www.econbiz.de/10012582575
Saved in:
4
Pricing American options with jumps in asset and volatility
Taruvinga, Blessing
;
Kang, Boda
;
Nikitopoulos, …
-
2019
-
Updated January 2019
Persistent link: https://www.econbiz.de/10013255767
Saved in:
5
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
Garces, Len Patrick Dominic M.
;
Cheang, Gerald H. L.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2025-2054
Persistent link: https://www.econbiz.de/10012696809
Saved in:
6
Non-linear Gaussian sovereign CDS pricing models
Realdon, Marco
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 191-210
Persistent link: https://www.econbiz.de/10012194648
Saved in:
7
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
Kang, Boda
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 43-56
Persistent link: https://www.econbiz.de/10011825347
Saved in:
8
Tests of non linear Gaussian term structure models
Realdon, Marco
- In:
Journal of international financial markets, …
44
(
2016
),
pp. 128-147
Persistent link: https://www.econbiz.de/10011690399
Saved in:
9
The stability analysis of predictor-corrector method in solving American option pricing model
Kalantari, R.
;
Shahmorad, S.
;
Ahmadian, D.
- In:
Computational economics
47
(
2016
)
2
,
pp. 255-274
Persistent link: https://www.econbiz.de/10011712341
Saved in:
10
The Evaluation Of Barrier Option Prices Under Stochastic Volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
Finance Discipline Group, Business School
-
2010
are driven by stochastic volatility following the square root process of Heston (1993). We develop a
method
of
lines
…
Persistent link: https://www.econbiz.de/10008487694
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