Keywords: Finance; Parallel computing; Option pricing; Asian option; Stochastic volatility; 91G20; 91G60; 65Y05;
مقالات ISI (ترجمه نشده)
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Keywords: Boundary Element Method; Fokker-Planck equation; Geometric Asian options; Barrier options; Greeks; 91G60; 65M38;
Keywords: European vulnerable option; Funding spreads; Collateral; Local volatility; Backward stochastic differential equations; 91G20; 91G40; 91G60; G13; D81;
Keywords: (T)VaR bounds; Model uncertainty; Hierarchical clustering; Risk aggregation; Operational Risk; Market Risk; 62P05 (primary); 91G60; 91B30 (secondary),;
Keywords: G13; G32; C63; 91G60; 62P05; 60E10; 65T60; Market risk; Liquidity risk; Stochastic liquidity horizon; Value-at-Risk; Expected shortfall; Shannon wavelets;
Keywords: 65M70; 91G60; Option pricing; Fokker-Planck equation; Radial basis function; Dirac delta function; Kolmogorov forward equation;
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: G10; C02; C88; 65-02; 91G20; 91G60; Implied volatility; Quantitative methods; Numerical calculus;
Keywords: 65M06; 65M12; 91G20; 91G60; 91G80Asian option pricing; Regime switching; Moving mesh methods; Convergence rates
Keywords: American options; Spectral element methods; Variational inequalities; Linear complementarity problems; 65M70; 58E35; 91G60;
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;
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;
Fast numerical valuation of options with jump under Merton's model
Keywords: 65M06; 65M55; 65L60; 91B25; 91G60; 65J10; European option pricing; American option pricing; Merton's jump-diffusion model; Finite difference methods; Discontinuous Galerkin finite element methods; Multigrid methods;
Asymptotic expansion of solutions to the Black–Scholes equation arising from American option pricing near the expiry
Keywords: 91G60; 34E05; 35R35; 65N15Black–Scholes equation; American call option; Free boundary value problem; Transparent boundary conditions; Repeated integral of the complementary error functions; Poincaré asymptotic expansion
Efficient numerical Fourier methods for coupled forward–backward SDEs
Keywords: 91G60; 60H35; 65C30; 65T50; 60E10; 65B05Fourier-cosine expansion method; Characteristic function; Coupled forward–backward stochastic differential equations; Richardson extrapolation; Second-order convergence; Cross-hedging
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
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
Model uncertainty and VaR aggregation
Keywords: 62P05; 91G60; 91B30; C6; Copula; Fréchet class; Model uncertainity; Operational Risk; Positive dependence; Rearrangement algorithm; Risk aggregation;
Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
Keywords: 91G60; 65M06; 47G20; 91B25Option pricing; Partial integro–differential equation; Linear complementarity problem; Finite difference method; Infinite activity model
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
Copula based hierarchical risk aggregation through sample reordering
Keywords: IM12; IM22; IM43; IE43; IE46; C51; C58; G32; C63; G22; 91B30; 62H20; 62H86; 91G60; Hierarchical risk aggregation; Copulas; High-dimensional dependence; Iman-Conover method;
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;
Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
Keywords: 65L04; 65L05; 65L20; 65M12; 65M20; 91G60; Initial-boundary value problems; Convection-diffusion equations; Method-of-lines; ADI splitting schemes; Von Neumann stability analysis;
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