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Stochastic default risk estimation evidence from the South African financial market
Alfeus, Mesias; Fitzhenry, Kirsty; Lederer, Alessia - In: Computational economics 64 (2024) 3, pp. 1715-1756
Persistent link: https://www.econbiz.de/10015143953
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An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang; Lin, Sha - In: Computational economics 60 (2022) 4, pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
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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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A numerical solution of optimal portfolio selection problem with general utility functions
Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981
Persistent link: https://www.econbiz.de/10012223689
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Revisiting the Merton problem : from HARA to CARA utility
Ma, Guiyuan; Zhu, Song-Ping - In: Computational economics 59 (2022) 2, pp. 651-686
Persistent link: https://www.econbiz.de/10013169029