Similar Search Results

A nonparametric kernel regression approach for pricing options on stock market index

Kung, James J. - In: Applied economics 48 (2016) 10/12, pp. 902-913

Persistent link: https://www.econbiz.de/10011432797

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

Fast pricing of American options under variance gamma

Fu, Weilong; Hirsa, Ali - In: The journal of computational finance 25 (2021) 1, pp. 29-49

Persistent link: https://www.econbiz.de/10012672301

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

Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323

Persistent link: https://www.econbiz.de/10012608649

Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression

Dong, Chaohua; Gao, Jiti - In: Econometric reviews 38 (2019) 2, pp. 125-150

Persistent link: https://www.econbiz.de/10012180710

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Derivatives pricing via machine learning

Ye, Tingting; Zhang, Liangliang - In: Journal of mathematical finance 9 (2019) 3, pp. 561-589

Persistent link: https://www.econbiz.de/10012210443

A path-integral approximation for non-linear diffusions

Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36

Persistent link: https://www.econbiz.de/10012194852