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Publication search results
found 77 matches
- 2024
- Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu, Xavier Warin:
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids. CoRR abs/2401.03245 (2024) - 2023
- Yuecai Han, Nan Li:
A new deep neural network algorithm for multiple stopping with applications in options pricing. Commun. Nonlinear Sci. Numer. Simul. 117: 106881 (2023) - Xin-Jiang He, Sha Lin:
A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing. Expert Syst. Appl. 212: 118742 (2023) - Hajar Nafia, Imane Agmour, Youssef El Foutayeni, Naceur Achtaich:
Pricing American put options model with application to oil options. Int. J. Comput. Sci. Math. 17(1): 67-78 (2023) - Dawei Wang, Kirill Serkh, Christina C. Christara:
A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing. J. Comput. Appl. Math. 432: 115272 (2023) - Cheng-Yu Fang, Yue Liu, Zhi-Yan Shi, Cong Chen:
Closed-Form Expression of Geometric Brownian Motion with Regime-Switching and Its Applications to European Option Pricing. Symmetry 15(3): 575 (2023) - Xuwei Yang, Anastasis Kratsios, Florian Krach, Matheus R. Grasselli, Aurélien Lucchi:
Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing. CoRR abs/2309.04557 (2023) - 2022
- Kathrin Glau, Linus Wunderlich:
The deep parametric PDE method and applications to option pricing. Appl. Math. Comput. 432: 127355 (2022) - Siyu Lv, Zhen Wu, Qing Zhang:
The Dynkin game with regime switching and applications to pricing game options. Ann. Oper. Res. 313(2): 1159-1182 (2022) - Saba Javaid, Asim Aziz, Taha Aziz:
Algebraic solutions for pricing American put options under the constant elasticity of variance (CEV) model: Application of the Lie group approach. J. Comput. Sci. 62: 101680 (2022) - Wansheng Wang, Mengli Mao, Yi Huang:
A Posteriori Error Control and Adaptivity for the IMEX BDF2 Method for PIDEs with Application to Options Pricing Models. J. Sci. Comput. 93(2): 55 (2022) - Dawei Wang, Kirill Serkh, Christina C. Christara:
A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing. CoRR abs/2205.00617 (2022) - 2021
- Maria Cristina Recchioni, Giulia Iori, Gabriele Tedeschi, Michelle S. Ouellette:
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. Eur. J. Oper. Res. 293(1): 336-360 (2021) - Yang Qu, Ming-Xi Wang:
The Option Pricing Model Based on Time Values: An Application of the Universal Approximation Theory on Unbounded Domains. IJCNN 2021: 1-8 - Svetlana Boyarchenko, Sergei Levendorskii, Justin Lars Kirkby, Zhenyu Cui:
SINH-acceleration for B-spline projection with Option Pricing Applications. CoRR abs/2109.08738 (2021) - 2020
- Viktor Stojkoski, Trifce Sandev, Lasko Basnarkov, Ljupco Kocarev, Ralf Metzler:
Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing. Entropy 22(12): 1432 (2020) - 2019
- Nawdha Thakoor:
Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems. Comput. Math. Appl. 78(12): 3770-3789 (2019) - Dana Cerná:
Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model. Int. J. Wavelets Multiresolution Inf. Process. 17(1): 1850061:1-1850061:27 (2019) - Xiaoping Hu, Ying Xiu, Jie Cao:
Recombined multinomial tree based on saddle-point approximation and its application to Levy models options pricing. J. Comput. Appl. Math. 346: 432-439 (2019) - Piotr Nowak, Michal Pawlowski:
Pricing European options under uncertainty with application of Levy processes and the minimal Lq equivalent martingale measure. J. Comput. Appl. Math. 345: 416-433 (2019) - Yang Qu, Ming-Xi Wang:
The option pricing model based on time values: an application of the universal approximation theory on unbounded domains. CoRR abs/1910.01490 (2019) - 2018
- Lars Josef Höök, Gustav Ludvigsson, Lina von Sydow:
The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing. Comput. Math. Appl. 76(10): 2330-2344 (2018) - Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano:
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. Eur. J. Oper. Res. 271(1): 210-223 (2018) - Hua Li, Antony Ware, Lan Di, George Yuan, Anatoliy Swishchuk, Steven Yuan:
The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options. Fuzzy Sets Syst. 331: 14-25 (2018) - Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani:
On a new family of radial basis functions: Mathematical analysis and applications to option pricing. J. Comput. Appl. Math. 328: 75-100 (2018) - 2017
- Nat Chun-Ho Leung:
PDE Option Pricing: Analysis and Application to Stochastic Correlation. University of Toronto, Canada, 2017 - Fahed Mostafa, Tharam S. Dillon, Elizabeth Chang:
Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk. Studies in Computational Intelligence 697, Springer 2017, ISBN 978-3-319-51666-0, pp. 1-158 - Luca Anzilli, Gisella Facchinetti:
New definitions of mean value and variance of fuzzy numbers: An application to the pricing of life insurance policies and real options. Int. J. Approx. Reason. 91: 96-113 (2017) - Piotr Nowak, Michal Pawlowski:
Option Pricing With Application of Levy Processes and the Minimal Variance Equivalent Martingale Measure Under Uncertainty. IEEE Trans. Fuzzy Syst. 25(2): 402-416 (2017) - Zhou Fang, K. M. George:
Application of Machine Learning: An Analysis of Asian Options Pricing Using Neural Network. ICEBE 2017: 142-149
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