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  • Search: subject:"nonlinear integral equation"
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Year of publication
Subject
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nonlinear integral equation 8 Search theory 5 Suchtheorie 5 arbitrage-free price 5 local time-space calculus 5 optimal stopping 5 Option pricing theory 4 Optionspreistheorie 4 Stochastic process 4 Stochastischer Prozess 4 Nonlinear integral equation 3 free-boundary problem 3 geometric Brownian motion 3 liquid/illiquid market 3 Analysis 2 British barrier put-call symmetry 2 British option 2 Comparative Statics 2 Decision under uncertainty 2 Entscheidung unter Unsicherheit 2 European/American barrier option 2 Großbritannien 2 Investitionsentscheidung 2 Investment decision 2 Irreversible Investment 2 Mathematical analysis 2 Nonlinear Integral Equation 2 Optimal Stopping 2 Option trading 2 Optionsgeschäft 2 Real Options 2 Real options analysis 2 Realoptionsansatz 2 Risiko 2 Risk 2 United Kingdom 2 debt ceiling 2 debt-to-GDP ratio 2 free-boundary 2 inflation rate 2
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Online availability
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Free 7 Undetermined 6 CC license 1
Type of publication
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Article 7 Book / Working Paper 7
Type of publication (narrower categories)
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Working Paper 5 Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 10 Undetermined 4
Author
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Ferrari, Giorgio 5 Dammann, Felix 3 Horowitz, Joel 2 Peskir, Goran 2 AL-FAGIH, LULUWAH 1 Al-Fagih, Luluwah 1 Glover, Kristoffer 1 Jeon, Junkee 1 Kitapbayev, Yerkin 1 Kwak, Minsuk 1 Lee, Sokbae 1 Park, Kyunghyun 1 Samee, Farman 1 Sokbae 'Simon' Lee 1 Tsuboi, Zengo 1
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Institution
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Centre for Microdata Methods and Practice (CEMMAP) 1 Finance Discipline Group, Business School 1
Published in...
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Center for Mathematical Economics Working Papers 2 Quantitative finance 2 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 2 Applied mathematical finance 1 CeMMAP working papers 1 Finance and Stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Physica A: Statistical Mechanics and its Applications 1 Research Paper Series / Finance Discipline Group, Business School 1 cemmap working paper 1
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Source
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ECONIS (ZBW) 6 RePEc 5 EconStor 3
Showing 1 - 10 of 14
Cover Image
On an irreversible investment problem with two-factor uncertainty
Dammann, Felix; Ferrari, Giorgio - 2021
as the unique continuous solution to a nonlinear integral equation. Furthermore, we provide analytical and numerical …
Persistent link: https://www.econbiz.de/10012606399
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Cover Image
On an irreversible investment problem with two-factor uncertainty
Dammann, Felix; Ferrari, Giorgio - 2021
as the unique continuous solution to a nonlinear integral equation. Furthermore, we provide analytical and numerical …
Persistent link: https://www.econbiz.de/10012488060
Saved in:
Cover Image
Horizon effect on optimal retirement decision
Jeon, Junkee; Kwak, Minsuk; Park, Kyunghyun - In: Quantitative finance 23 (2023) 1, pp. 123-148
Persistent link: https://www.econbiz.de/10013490961
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On an irreversible investment problem with two-factor uncertainty
Dammann, Felix; Ferrari, Giorgio - In: Quantitative finance 22 (2022) 5, pp. 907-921
Persistent link: https://www.econbiz.de/10013367870
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Cover Image
Controlling public debt without forgetting inflation
Ferrari, Giorgio - 2016
-dimensional optimal stopping problem, and it is shown to be the unique solution of a nonlinear integral equation. …
Persistent link: https://www.econbiz.de/10011582530
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Controlling public debt without forgetting inflation
Ferrari, Giorgio - 2016
-dimensional optimal stopping problem, and it is shown to be the unique solution of a nonlinear integral equation. …
Persistent link: https://www.econbiz.de/10011517467
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Cover Image
The British Asian Option
Glover, Kristoffer; Peskir, Goran; Samee, Farman - Finance Discipline Group, Business School - 2009
rational exercise boundary itself can be characterised as the unique solution to a nonlinear integral equation. Using these … itself can be characterised as the unique solution to a nonlinear integral equation. Using these results we perform a …, parabolic free- boundary problem, nonlinear integral equation, local time-space calculus. 1 introduced. Similarly to [7] and [8 …
Persistent link: https://www.econbiz.de/10004984481
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THE BRITISH KNOCK-OUT PUT OPTION
AL-FAGIH, LULUWAH - In: International Journal of Theoretical and Applied … 18 (2015) 02, pp. 1550008-1
characterized as the unique solution to a nonlinear integral equation. Using these results, we perform a financial analysis of the …
Persistent link: https://www.econbiz.de/10011279130
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The British lookback option with fixed strike
Kitapbayev, Yerkin - In: Applied mathematical finance 22 (2015) 3/4, pp. 238-260
Persistent link: https://www.econbiz.de/10011436202
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The British knock-out put option
Al-Fagih, Luluwah - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10011403188
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