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On some functionals of the first passage times in models with switching stochastic volatility

Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011845962

Explicit Heston solutions and stochastic approximation for path-dependent option pricing

Kouritzin, Michael A. - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011846484

Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique

Benk, Janos; Pflüger, Dirk - In: The journal of computational finance 21 (2017/2018) 3, pp. 75-104

Persistent link: https://www.econbiz.de/10011848349

Volatility risk structure for options depending on extrema

Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122

Persistent link: https://www.econbiz.de/10011848359

A new nonlinear partial differential equation in finance and a method of its solution

Itkin, Andrey - In: The journal of computational finance 21 (2017/2018) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011848371

Fractional Black-Scholes equation

Aghili, A. - In: International journal of financial engineering 4 (2017) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10011673108

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346

Persistent link: https://www.econbiz.de/10011874006

Uncertain partial differential equation with application to heat conduction

Yang, Xiangfeng; Yao, Kai - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 3, pp. 379-403

Persistent link: https://www.econbiz.de/10011805645

A BSDE-based approach for the optimal reinsurance problem under partial information

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012419211

Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing

Liang, Jian - 2020

We propose a new forward-backward stochastic differential equation solver for highdimensional derivative pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo method for the valuation of American options. Our...

Persistent link: https://www.econbiz.de/10012849376