Keywords: European options; Discrete dividends; Jump-diffusion dynamics; Mellin transform; Black-Scholes kernel; 91G20; 91B25; 91G80; 35A22;
مقالات ISI (ترجمه نشده)
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Keywords: 91G20; 91G80; 60G22; Mixed fractional Brownian motion; Geometric Asian option; Power option; Time changed process;
Keywords: 60G40; 60J75; 91G80; American options; Optimal stopping; Lévy processes; Periodic exercise opportunities;
Keywords: Linear-quadratic problem; Stochastic differential game; Forward-backward stochastic differential equation; Partial information; g-expectation; 91A23; 60H10; 93E11; 91G80;
Keywords: primary; 60k37; 60G17; 60J70; secondary; 93C30; 35B65; 91G80; Regime-switching; Markov-modulated; Time-change; Coupling; American option; Initial-boundary value problem;
Keywords: primary; 93E20; secondary; 35Q93; 91G80; Stochastic optimal control; Portfolio liquidation; Singular terminal value;
Keywords: 35R45; 35R35; 49J40; 49K20; 91G80; Parabolic obstacle problems; Hole-filling method; Free boundary regularity;
Keywords: 65M99; 91G20; 91G80; Radial basis functions; Repeated integrals of complementary error function; American options as free boundary problems; Artificial boundary conditions; Bernstein functions; Completely monotone functions;
Keywords: 91G80; 68W25; 90C90; 90-04; 90B99; Quote inconsistency; Data filtering; Risk-free bonds; Linear inequality system; Approximate algorithm;
Keywords: 60G40; 62L15; 91G20; 91G80; C41; D53; G13; Optimal multiple stopping; Storage cost; Agricultural futures; Mean reversion; Non-convergence; Basis;
Keywords: 46B42; 91B30; 91G80; Model free risk assessment; Extension of risk measures; Continuity properties of risk measures; Subgradients; Implied reference models;
Keywords: 35R15; 49L25; 60H15; 91G80; Viscosity solution; Kolmogorov equation; Stochastic differential equation; Delay problem; Hedging problem;
Keywords: 60B10; 91G80; Default risk; Hazard process; Weak convergence;
Keywords: 60H20; 60H10; 91G80; Forward stochastic Volterra integral equations; Backward stochastic Volterra integral equation; Comparison theorem; Duality principle;
Keywords: 26A33; 34A07; 34A08; 91G80; Caputo-type fuzzy fractional derivative; Euler-Lagrange equations; Isoperimetric problem;
Keywords: 60G15; 60G22; 91G80; Canonical representation; Enlargement of filtration; Fractional Brownian motion; Gaussian process; Gaussian bridge; Hitsuda representation; Insider trading; Orthogonal representation; Prediction-invertible process; Volterra process;
Keywords: 91G80; 53C25; 53C17Heston model; Grushin plane; Limiting cumulant generating function; Legendre–Fenchel transform
Keywords: 91G80; 97M30; 93E20; 60H30; Investment; Consumption; Reinsurance; Model uncertainty; Stochastic maximum principle; Malliavin calculus;
Keywords: 91G10; 91G50; 91G80; Liquidity management; Risk exposure; Singular stochastic control; Stochastic impulse control;
Pricing European options under uncertainty with application of Levy processes and the minimal Lq equivalent martingale measure
Keywords: 91G80; 60G51; 60H30; 03E72; Option pricing; Stochastic processes; Fuzzy set theory; Decision-making;
DG framework for pricing European options under one-factor stochastic volatility models
Keywords: 65M60; 35Q91; 91G60; 91G80; Option pricing problem; Black-Scholes model; Stochastic volatility; Discontinuous Galerkin framework; Crank-Nicolson scheme;
On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
Keywords: Endogenous stochastic equity volatility model; Nonlinear partial differential equations; Radial basis functions; Multiquadric method; Multilevel newton iteration; 91G80; 65N35;
Hedging in fractional Black-Scholes model with transaction costs
Keywords: 91G20; 91G80; 91G22; Delta-hedging; Fractional Black-Scholes model; Transaction costs; Option pricing;
A new method for evaluating options based on multiquadric RBF-FD method
Keywords: Local meshless method; Radial basis function; Black-Scholes model; Unconditional stability; 97N50; 91G80;
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Keywords: American options; Barrier options; Stochastic volatility; Regime switching; Jump diffusion; Frame projection; 91G80; 93E11; 93E20;
Affine realizations with affine state processes for stochastic partial differential equations
Keywords: 60H15; 91G80; Stochastic partial differential equation; Affine realization; Affine state process; Set of initial points;
A Remark on the Heat Equation with a Point Perturbation, the Feynman–Kac Formula with Local Time and Derivative Pricing
Keywords: point interactions; heat equation; heat kernel; Feynman–Kac formula; Brownian motion; local time; option pricing; Black–Scholes equation35K05; 35K08; 35Q79; 35R06; 47D06; 47D07; 47D08; 47N30; 80A20; 91G20; 91G80
Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model
Keywords: 91G80; 91G30; 60G40; 49J40; 35R15American Put options on a Bond; HJM model; Forward interest rates; Musiela’s parametrization; Optimal stopping; Infinite-dimensional stochastic analysis
Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
Keywords: 60H07; 91G80; 93D15; Malliavin calculus; Volatility feedback effect; Leverage effect; Fourier method;
Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation
Keywords: 60H15; 60H30; 35R60; 91G80; Stochastic Burgers equation; Random coefficients; Generalized Cole-Hopf transformation; Stochastic heat equation; Stochastic Feynman-Kac formulas; Controllability; Contingent claim pricing;
Portfolio separation properties of the skew-elliptical distributions, with generalizations
Keywords: 91G10; 91G80; 60E05; 49K45Portfolio separation; Mutual fund theorem; Stochastic dominance; Skew-elliptical distributions