Keywords: گزینه های آمریکایی; 60G40; 60J75; 91G80; American options; Optimal stopping; Lévy processes; Periodic exercise opportunities;
مقالات ISI گزینه های آمریکایی (ترجمه نشده)
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Keywords: گزینه های آمریکایی; American options; Early exercise premium; Hyper-exponential jump-diffusion model; Maturity randomization; Jump-diffusion disentanglement; G01; G12; G13; C51; C52; C61;
Keywords: گزینه های آمریکایی; American options; Foreclosure sale; Real options; Statutory redemption;
Keywords: گزینه های آمریکایی; American options; Optimal exercise price; Quasi-analytic method; Delta-hedging; LEAPS;
Keywords: گزینه های آمریکایی; American options; Parisian options; “Moving window” technique; Analytical solutions
Keywords: گزینه های آمریکایی; American options; Spectral element methods; Variational inequalities; Linear complementarity problems; 65M70; 58E35; 91G60;
Keywords: گزینه های آمریکایی; Finance; American options; Delaying exercise; Suboptimal exercise policy; Free boundary problem
Keywords: گزینه های آمریکایی; Fractional partial differential equation; Free boundary problem; Predictor–corrector; Spectral-collocation method; American options
Keywords: گزینه های آمریکایی; American options; Derivative contracts; Convex functions; Upper and lower bounds; Stochastic dynamic programming; Piecewise linear interpolations;
Keywords: گزینه های آمریکایی; Parallel iterative algorithms; Asynchronous iterations; Obstacle problem; Grid computing; American options; Projected relaxation method;
Keywords: گزینه های آمریکایی; Inverse finite elements; Convergence analysis; American options; Black-Scholes model; G130;
Keywords: گزینه های آمریکایی; Generalized mixed fractional Brownian motion; American options; Upwind scheme; Linear complementarity problem
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
Keywords: گزینه های آمریکایی; Localized radial basis functions; Multiquadrics; Stochastic volatility; Constant elasticity of variance; American options; 91G20; 65M70; 62P05;
Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
Keywords: گزینه های آمریکایی; Partial integral differential equations; L-stable methods; American options; Regime switching; Jump-diffusion;
An improved least squares Monte Carlo valuation method based on heteroscedasticity
Keywords: گزینه های آمریکایی; Finance; American options; Heteroscedasticity; Weighted least squares; Least squares Monte Carlo pricing method;
A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
Keywords: گزینه های آمریکایی; American options; Hamilton-Jacobi-Bellman equation; Tempered fractional derivative; Unconditional stability; Preconditioner;
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Keywords: گزینه های آمریکایی; American options; Barrier options; Stochastic volatility; Regime switching; Jump diffusion; Frame projection; 91G80; 93E11; 93E20;
A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
Keywords: گزینه های آمریکایی; 60G40; 60G51; 91G20; American options; Optimal stopping; Canadisation; Lévy processes; Meromorphic;
Chapman–Kolmogorov lattice method for derivatives pricing
Keywords: گزینه های آمریکایی; Derivatives pricing; Lattice methods; Chapman–Kolmogorov equation; American options; Interest rate derivatives; Path-dependent derivatives
Stabilized explicit Runge-Kutta methods for multi-asset American options
Keywords: گزینه های آمریکایی; Multi-asset options; Stabilized explicit Runge-Kutta methods; American options; Non-smooth payoffs;
Pricing and static hedging of American-style options under the jump to default extended CEV model
Keywords: گزینه های آمریکایی; G13; American options; Static hedging; CEV model; JDCEV model; Early exercise boundary;
High-order computational methods for option valuation under multifactor models
Keywords: گزینه های آمریکایی; Finance; American options; Galerkin discretization; Exponential time integration; Stochastic volatility model
CEV asymptotics of American options
Keywords: گزینه های آمریکایی; CEV model; American options; Partial differential equation; Perturbation technique
Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
Keywords: گزینه های آمریکایی; American options; Jump diffusion; Inexact arithmetic
American option pricing under two stochastic volatility processes
Keywords: گزینه های آمریکایی; American options; Fourier transform; Laplace transform; Method of characteristics
Pricing of American options in discrete time using least squares estimates with complexity penalties
Keywords: گزینه های آمریکایی; American options; Neural networks; Nonparametric regression; Optimal stopping; Orthogonal series estimates; Rate of convergence; Regression based Monte Carlo methods; Smoothing splines; Splines
Regularity of the American Put option in the Black–Scholes model with general discrete dividends
Keywords: گزینه های آمریکایی; 60G40; 91A60; 91G20Optimal stopping; American options; Dividends; Early exercise boundary; Smooth contact property
An FFT-network for Lévy option pricing
Keywords: گزینه های آمریکایی; G12; G13; American options; FFT-network; Lévy processes; Exotic options;
American option pricing with discrete and continuous time models: An empirical comparison
Keywords: گزینه های آمریکایی; American options; Augmented GARCH; Least squares Monte Carlo; Stochastic volatilityC22; C53; G13
Exponential Rosenbrock integrators for option pricing
Keywords: گزینه های آمریکایی; Exponential integrators; Exponential Rosenbrock methods; American options
Efficient L-stable method for parabolic problems with application to pricing American options under stochastic volatility
Keywords: گزینه های آمریکایی; L-stable; Padé approximations; Parabolic problem; American options; Heston's stochastic volatility model;
Valuation of American options by the gradient projection method
Keywords: گزینه های آمریکایی; American options; Variational inequalities; Gradient projection;
Numerical pricing of options using high-order compact finite difference schemes
Keywords: گزینه های آمریکایی; 35A35; 35A40; 65N99European options; American options; High-order compact scheme; Grid stretching; Front fixing
Factorization of European and American option prices under complete and incomplete markets
Keywords: گزینه های آمریکایی; G12; G13; Option-pricing; Incomplete markets; Dynamic hedging; Option price factorization; Stochastic volatility; American options;
Adaptive θθ-methods for pricing American options
Keywords: گزینه های آمریکایی; 65L05; 65M05Black–Scholes PDE; American options; θθ-methods; Method of Lines; Locally one-dimensional exponential splitting; Adaptive time-stepping
Simulation-based pricing of convertible bonds
Keywords: گزینه های آمریکایی; Convertible bonds; Pricing; American options; Monte Carlo simulationG13; G15
A Monte Carlo approach for the American put under stochastic interest rates
Keywords: گزینه های آمریکایی; G12; G13; C15; C63; American options; Stochastic interest rates; Monte Carlo simulation; GJ-approach;
The method of fundamental solutions for solving options pricing models
Keywords: گزینه های آمریکایی; Black–Scholes equations; Method of fundamental solutions; American options; Artificial boundary conditions; Free boundary conditions
Implicit–explicit Runge–Kutta methods for financial derivatives pricing models
Keywords: گزینه های آمریکایی; Finance; American options; Implicit–explicit Runge–Kutta methods; Finite element method
A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach
Keywords: گزینه های آمریکایی; C63; G10; Black-Scholes equation; Method of lines; Predictor-corrector methods; American options; Penalty method;
American contingent claims under small proportional transaction costs
Keywords: گزینه های آمریکایی; American options; Transaction costs;
A semigroup approach to American options
Keywords: گزینه های آمریکایی; Semilinear parabolic problems; American options; Semigroups;
Optimal portfolio management with American capital guarantee
Keywords: گزینه های آمریکایی; C61; D81; G11; G13; Portfolio optimization; American options; Dynamic asset allocation;
Hedging using simulation: a least squares approach
Keywords: گزینه های آمریکایی; G13; Simulation methods; Least squares regression; American options; Hedging; Malliavin calculus;
Finite expiry Russian options
Keywords: گزینه های آمریکایی; 91B28; 35R35; 45G10; American options; Russian options; Optimal stopping problem; Stefan boundary problem; Local time-space;
Evaluation of American strangles
Keywords: گزینه های آمریکایی; C61; D11; American options; Coupled Volterra integral equation; Incomplete Fourier transform; Free-boundary problem;
Pricing American options when the underlying asset follows GARCH processes
Keywords: گزینه های آمریکایی; C22; C53; G13; Time-varying volatility; GARCH; American options; Least Squares Monte Carlo;