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A non-stationary model of dividend distribution in a stochastic interest-rate setting
Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg - In: Computational economics 47 (2016) 3, pp. 447-472
Persistent link: https://www.econbiz.de/10011712413
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Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
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Pricing European option under fuzzy mixed fractional Brownian motion model with jumps
Zhang, Wei-guo; Li, Zhe; Liu, Yong-Jun; Zhang, Yue - In: Computational economics 58 (2021) 2, pp. 483-515
Persistent link: https://www.econbiz.de/10012615049
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Using Chebyshev polynomials to approximate partial differential equations
Caporale, Guglielmo Maria; Cerrato, Mario - In: Computational economics 35 (2010) 3, pp. 235-244
Persistent link: https://www.econbiz.de/10003957719
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Using Chebyshev polynomials to approximate partial differential equations : a reply
Mosiño, Alejandro - In: Computational economics 39 (2012) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10009508051
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Singular stochastic differential equations for time evolution of stocks within non-white noise approach
Miranda, L. L. B.; Lima, L. S. - In: Computational economics 64 (2024) 5, pp. 2685-2694
Persistent link: https://www.econbiz.de/10015144061
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On the numerical option pricing methods : fractional black-scholes equations with CEV assets
Banihashemi, S.; Ghasemifard, A.; Babaei, A. - In: Computational economics 64 (2024) 3, pp. 1463-1488
Persistent link: https://www.econbiz.de/10015143934
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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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An efficient semi-analytical simulation for the Heston model
Sun, Xianming; Gan, Siqing - In: Computational economics 43 (2014) 4, pp. 433-445
Persistent link: https://www.econbiz.de/10010396258