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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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An expanded Local Variance Gamma model
Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
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A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Computational economics 39 (2012) 4, pp. 429-447
Persistent link: https://www.econbiz.de/10009841941
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A numerical method for solving stochastic optimal control problems with linear control
Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Computational economics 39 (2012) 4, pp. 429-446
Persistent link: https://www.econbiz.de/10009540913
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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-105
Persistent link: https://www.econbiz.de/10009977724