Keywords: Finance; Parallel computing; Option pricing; Asian option; Stochastic volatility; 91G20; 91G60; 65Y05;
مقالات ISI (ترجمه نشده)
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Keywords: European options; Discrete dividends; Jump-diffusion dynamics; Mellin transform; Black-Scholes kernel; 91G20; 91B25; 91G80; 35A22;
Keywords: 91G20; 91G80; 60G22; Mixed fractional Brownian motion; Geometric Asian option; Power option; Time changed process;
Keywords: European vulnerable option; Funding spreads; Collateral; Local volatility; Backward stochastic differential equations; 91G20; 91G40; 91G60; G13; D81;
Keywords: 60G07; 91G20; Option pricing; Jump-to-default risk; Threshold effect; Laplace transform; Green's function; First hitting time;
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: Recombined tree; Options pricing; Markov chain approximation; Stochastic volatility model; 91G60; 91G20; 65C20;
Keywords: 91G20; 91G60; 65M20; 65M15; 41A05; Black-Scholes; Radial basis functions method; Convergence; American option; Probability distribution;
Keywords: Derivative pricing; Trading constraints; Equal risk price; Short-selling ban; 91G10; 91G20;
Multivariate elliptical truncated moments
Keywords: 62E15; 62E10; 62E17; 62N01; 62N05; 9108; 91B30; 91G20; Elliptical functions; Elliptical truncation; Multivariate truncated moments; Parametric distributions; Quadratic forms; Tail moments;
Keywords: 60G40; 62L15; 91G20; 91G80; C41; D53; G13; Optimal multiple stopping; Storage cost; Agricultural futures; Mean reversion; Non-convergence; Basis;
Keywords: G10; C02; C88; 65-02; 91G20; 91G60; Implied volatility; Quantitative methods; Numerical calculus;
Keywords: Generalized Fourier transform; Heston–CIR hybrid model; Realized variance; Stochastic interest rate; Stochastic volatility; Variance swap1G30; 91G20; 91B70
Keywords: 65M06; 65M12; 91G20; 91G60; 91G80Asian option pricing; Regime switching; Moving mesh methods; Convergence rates
Keywords: 91B16; 91G20; 93E20; 60J75(Re-)Insurance; Catastrophe derivatives; Jump process; Random thinning; Utility indifference price
Keywords: 46L53; 91B25; 91B80; 91G20; noncommutative probability; involutive algebras; stock markets; trading strategies; hedging contingent claims; asset pricing;
Keywords: 91G20; 62P05; Employee stock options; Method of Images; Life and multiple decrement tables; Partial-time barrier options; Exercise multiple; Financial reporting standards;
Keywords: C02; D89; G11; 91G10; 91G20; 91B42; Utility maximization; Optimal insurance design; Choquet integral; Distorted probabilities; Monotone Likelihood Ratio;
Keywords: primary; 91G20; 60G51; 33C45; secondary; 91G60; 60G10; 33F05; Stochastic volatility models; Explicit methods for contingent claim valuation; Lévy processes; Processes of Ornstein-Uhlenbeck type;
A multiquadric quasi-interpolations method for CEV option pricing model
Keywords: 91G20; 91G60; 65M20; 65M15; 41A05; Multiquadric quasi-interpolations; Option pricing; CEV model; Greek letters;
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
Keywords: Localized radial basis functions; Multiquadrics; Stochastic volatility; Constant elasticity of variance; American options; 91G20; 65M70; 62P05;
Hedging in fractional Black-Scholes model with transaction costs
Keywords: 91G20; 91G80; 91G22; Delta-hedging; Fractional Black-Scholes model; Transaction costs; Option pricing;
Tightness and duality of martingale transport on the Skorokhod space
Keywords: 65B05; 60B10; 60G44; 91G20; S-topology; Dynamic programming principle; Robust superhedging;
The pricing of Quanto options under dynamic correlation
Keywords: 39A50; 91B24; 91B25; 91G20; 91G60; 97M30Quanto options; Dynamic correlation; Hyperbolic tangent; Black–Scholes equation; Correlation risk
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
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
Keywords: 60G40; 60G51; 91G20; American options; Optimal stopping; Canadisation; Lévy processes; Meromorphic;
Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
Keywords: 91G20; 91G60; 11K45; 65C05Bermudan option; Low discrepancy mesh method; Lévy process; Quasi-Monte Carlo
A lattice method for option pricing with two underlying assets in the regime-switching model
Keywords: 91G60; 91G20; 65C20Lattice method; Regime-switching model; Option pricing with two assets; Weak convergence
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
Keywords: 60G51; 60F99; 91G20; 91G60; Stochastic volatility models with jumps; Short-time asymptotic expansions; Transition distributions; Transition density; Option pricing; Implied volatility;
Sample path Large Deviations and optimal importance sampling for stochastic volatility models
Keywords: 60F10; 91G20; 91G60; 91B25; 65C05; 91B28Importance sampling; Large Deviations; Monte Carlo methods; Stochastic volatility; Variance reduction