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Mathematical programming
American options
215
Optionspreistheorie
124
Option pricing theory
122
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95
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stochastic volatility
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Mathematische Optimierung
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american options
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option pricing
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free boundary problem
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Applied mathematical finance
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Digital finance : smart data analytics, investment innovation, and financial technology
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Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2
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International journal of financial markets and derivatives
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Internet finance and digital economy : advances in digital economy and data analysis technology : the 2nd International Conference on Internet Finance and Digital Economy, Kuala Lumpur, Malaysia, 19 - 21 August 2022
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Apply deep reinforcement learning with quantum computing on the pricing of American options
Yang, Junzheng
- In:
Internet finance and digital economy : advances in …
,
(pp. 675-694)
.
2024
Persistent link: https://www.econbiz.de/10014534615
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2
Infinite horizon stochastic impulse control with delay and random coefficients
Djehiche, Boualem
;
Hamadène, Said
;
Hdhiri, Ibtissem
; …
- In:
Mathematics of operations research
47
(
2022
)
1
,
pp. 665-689
Persistent link: https://www.econbiz.de/10013364931
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3
Risk-averse stochastic programming : time consistency and optimal stopping
Pichler, Alois
;
Liu, Rui Peng
;
Shapiro, Alexander
- In:
Operations research
70
(
2022
)
4
,
pp. 2439-2455
Persistent link: https://www.econbiz.de/10013366477
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4
Optimal dividend payout under stochastic discounting
Bandini, Elena
;
De Angelis, Tiziano
;
Ferrari, Giorgio
; …
- In:
Mathematical finance : an international journal of …
32
(
2022
)
2
,
pp. 627-677
Persistent link: https://www.econbiz.de/10013164565
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5
A method for pricing American options using semi-infinite linear programming
Christensen, Sören
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 156-172
Persistent link: https://www.econbiz.de/10010256174
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6
Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem
;
Frutos, Javier de
;
Fakhfakh, Tarek
; …
- In:
Economic modelling
34
(
2013
),
pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
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7
An efficient grid lattice algorithm for pricing American-style options
Liu, Zhongkai
;
Pang, Tao
- In:
International journal of financial markets and derivatives
5
(
2016
)
1
,
pp. 36-55
Persistent link: https://www.econbiz.de/10011589162
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8
Optimal accelerated share repurchases
Jaimungal, S.
;
Kinzebulatov, D.
;
Rubisov, D. H.
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 216-245
Persistent link: https://www.econbiz.de/10011815227
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9
Representable options
Lenga, Matthias
-
2017
Persistent link: https://www.econbiz.de/10012613284
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10
Operator splitting method to solve the linear complementarity problem for pricing American option : an approximation of error
Yadav, Deepak Kumar
;
Bhardwaj, Akanksha
;
Kumar, Alpesh
-
2024
Persistent link: https://www.econbiz.de/10015144238
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