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Subject
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Option pricing theory 7 Optionspreistheorie 7 Option trading 6 Optionsgeschäft 6 tree methods 6 Stochastic process 5 Stochastischer Prozess 5 European and American options 3 Tree methods 3 Volatility 3 Volatilität 3 Yield curve 3 Zinsstruktur 3 stochastic interest rate 3 American options 2 Black-Scholes model 2 Black-Scholes-Modell 2 Derivat 2 Derivative 2 EU countries 2 EU-Staaten 2 Interest rate 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Option pricing 2 Singular points 2 Zins 2 finite difference 2 Actuarial mathematics 1 Algorithm 1 Algorithmus 1 American Put options 1 Artificial intelligence 1 Barrier options 1 Binary tree methods 1 Binomial methods 1 CAPM 1 Cliquet options 1 Combinatorial formulas 1 Cox-Ingersoll-Ross model 1
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Undetermined 10 CC license 1 Free 1
Type of publication
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Article 11
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8
Language
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English 8 Undetermined 3
Author
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Zanette, Antonino 8 Caramellino, Lucia 4 Briani, Maya 3 Gaudenzi, Marcellino 3 Appolloni, Elisa 1 Cho, Yung-Jan 1 Goudenege, Ludovic 1 Horsky, Roman 1 Huang, Guei-Hua 1 Jourdain, Benjamin 1 Koppe, Jonas 1 Molent, Andrea 1 Terenzi, Giulia 1 Wei, Xiao 1 Wolf, Mark-Oliver 1 Zanette, Antonio 1
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Published in...
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Decisions in Economics and Finance 2 IMA journal of management mathematics 2 Computational Management Science 1 Computational Management Science : CMS 1 International journal of theoretical and applied finance 1 Journal of destination marketing & management : JDMM 1 Risks : open access journal 1 Scandinavian actuarial journal 1 The journal of computational finance 1
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Source
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ECONIS (ZBW) 8 RePEc 3
Showing 1 - 10 of 11
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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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Does cultural distance matter? : a decision tree machine-learning exploration on international travellers' destination choices
Huang, Guei-Hua; Cho, Yung-Jan - In: Journal of destination marketing & management : JDMM 38 (2025), pp. 1-14
Persistent link: https://www.econbiz.de/10015584562
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A quantum algorithm for pricing Asian options on valuation trees
Wolf, Mark-Oliver; Horsky, Roman; Koppe, Jonas - In: Risks : open access journal 10 (2022) 12, pp. 1-14
We develop a novel quantum algorithm for approximating the price of a discrete floating-strike Asian option based on an underlying valuation tree. The paths of the tree are encoded in bit-representation into a qubit register, where quantum state preparation is used to load the corresponding...
Persistent link: https://www.econbiz.de/10014230820
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
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A hybrid approach for the implementation of the Heston model
Briani, Maya; Caramellino, Lucia; Zanette, Antonio - In: IMA journal of management mathematics 28 (2017) 4, pp. 467-500
Persistent link: https://www.econbiz.de/10011845242
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Fast binomial procedures for pricing Parisian/ParAsian options
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science : CMS 14 (2017) 3, pp. 313-331
Persistent link: https://www.econbiz.de/10011710827
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A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino - In: IMA journal of management mathematics 26 (2015) 4, pp. 377-401
Persistent link: https://www.econbiz.de/10011515669
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Pricing cliquet options by tree methods
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science 8 (2011) 1, pp. 125-135
Persistent link: https://www.econbiz.de/10008925144
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Pricing American barrier options with discrete dividends by binomial trees
Gaudenzi, Marcellino; Zanette, Antonino - In: Decisions in Economics and Finance 32 (2009) 2, pp. 129-148
Persistent link: https://www.econbiz.de/10005015140
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