Similar Search Results

Multigrid for American option pricing with stochastic volatility

Clarke, Nigel; Parrott, Kevin - In: Applied mathematical finance 6 (1999) 3, pp. 177-195

Persistent link: https://www.econbiz.de/10001490689

Comparing competition and collusion : a numerical approach

Bajari, Patrick L. - In: Economic theory : official journal of the Society for … 18 (2001) 1, pp. 187-205

Persistent link: https://www.econbiz.de/10001592831

Dynamic labor contracts with temporary layoffs and permanent separations

Sleet, Christopher; Yeltekin, Şevin - In: Economic theory : official journal of the Society for … 18 (2001) 1, pp. 207-235

Persistent link: https://www.econbiz.de/10001592849

Numerical solution of dynamic oligopoly games with capital investment

Vedenov, Dmitry V.; Miranda, Mario J. - In: Economic theory : official journal of the Society for … 18 (2001) 1, pp. 237-261

Persistent link: https://www.econbiz.de/10001592864

First-order schemes in the numerical quantization method

Bally, V.; Pagès, G.; Printems, J. - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10001765624

Small dimension PDE for discrete Asian options

Benhamou, Eric; Duguet, Alexandre - In: Journal of economic dynamics & control 27 (2003) 11/12, pp. 2095-2114

Persistent link: https://www.econbiz.de/10001768895

Numerically stable computation of CreditRisk+

Haaf, Hermann; Reiß, Oliver; Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2003

The CreditRisk+ model launched by CSFB in 1997 is widely used by practitioners in the banking sector as a simple means for the quantification of credit risk, primarily of the loan book. We present an alternative numerical recursion scheme for CreditRisk+, equivalent to an algorithm recently...

Persistent link: https://www.econbiz.de/10001802380

A numerical PDE approach for pricing callable bonds

D'Halluin, Y. (contributor) - In: Applied mathematical finance 8 (2001) 1, pp. 49-77

Persistent link: https://www.econbiz.de/10001625721

Accuracy of numerical solutions using the Euler equation residuals

Santos, Manuel - 1998

Persistent link: https://www.econbiz.de/10000168407

Handbook of numerical analysis

Ciarlet, Philippe G.; Du, Qiang; Glowinski, Roland; … - 1990

Persistent link: https://www.econbiz.de/10000100907