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Pricing fade-in options under garch-jump processes
Wang, Xingchun; Zhang, Han - In: Computational economics 64 (2024) 4, pp. 2563-2584
Persistent link: https://www.econbiz.de/10015144032
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Testing the closed-form spread option pricing formula based on Gauss-hermite quadrature for a jump-diffusion model
Lin, Xenos Chang-Shuo; Miao, Daniel Wei-Chung; Chang, … - In: Computational economics 64 (2024) 5, pp. 2879-2908
Persistent link: https://www.econbiz.de/10015144084
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Option pricing and local volatility surface by physics-informed neural network
Bae, Hyeong-Ohk; Kang, Seunggu; Lee, Muhyun - In: Computational economics 64 (2024) 5, pp. 3143-3159
Persistent link: https://www.econbiz.de/10015144116
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Kelly-based options trading strategies on settlement date via supervised learning algorithms
Wu, Mu-En; Syu, Jia-Hao; Chen, Chien-Ming - In: Computational economics 59 (2022) 4, pp. 1627-1644
Persistent link: https://www.econbiz.de/10013262110
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Utility-based pricing, timing and hedging of an American call option under an incomplete market with partial information
Song, Dandan; Yang, Zhaojun - In: Computational economics 44 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010396234
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A robust nNumerical scheme for pricing American options under regime switching based on penalty method
Zhang, K.; Teo, Kok Lay; Swartz, M. - In: Computational economics 43 (2014) 4, pp. 463-483
Persistent link: https://www.econbiz.de/10010396243
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Two-State volatility transition pricing and hedging of TXO options
Su, Ender; Lin, Feng-jeng - In: Computational economics 39 (2012) 3, pp. 259-287
Persistent link: https://www.econbiz.de/10009513153
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A modified least-squares simulation approach to value American barrier options
Zhang, Lihua; Zhang, Weiguo; Xu, Weijun; Shi, Xiang - In: Computational economics 44 (2014) 4, pp. 489-506
Persistent link: https://www.econbiz.de/10010489859
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Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba; Malek, Alaeddin - In: Computational economics 45 (2015) 1, pp. 31-47
Persistent link: https://www.econbiz.de/10010511343
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A highly accurate finite element method to price discrete double barrier options
Golbabai, A.; Ballestra, L. V.; Ahmadian, D. - In: Computational economics 44 (2014) 2, pp. 153-173
Persistent link: https://www.econbiz.de/10010438023