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Analytical and numerical solution for the time fractional black‑scholes model under jump‑diffusion
Mohapatra, Jugal; Santra, Sudarshan; Ramos, Higinio - In: Computational economics 63 (2024) 5, pp. 1853-1878
Persistent link: https://www.econbiz.de/10014549463
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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Pricing a specific equity index annuity in a regime-switching Lévy model with jump
Wang, Yayun - In: Computational economics 61 (2023) 3, pp. 1115-1135
Persistent link: https://www.econbiz.de/10014252150
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Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad - In: Computational economics 54 (2019) 2, pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
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A dynamic mechanism design for controllable and ergodic Markov games
Clempner, Julio B. - In: Computational economics 61 (2023) 3, pp. 1151-1171
Persistent link: https://www.econbiz.de/10014252165