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The Stability Analysis of Predictor-Corrector Method in Solving American Option Pricing Model.
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- Computational Economics, 2016, v. 47, n. 2, p. 255, doi. 10.1007/s10614-015-9483-x
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Option Pricing and Distribution Characteristics.
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- Computational Economics, 2015, v. 45, n. 4, p. 579, doi. 10.1007/s10614-014-9441-z
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Efficient High-Order Numerical Methods for Pricing of Options.
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- Computational Economics, 2015, v. 45, n. 1, p. 31, doi. 10.1007/s10614-013-9405-8
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A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options.
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- Computational Economics, 2014, v. 44, n. 2, p. 153, doi. 10.1007/s10614-013-9388-5
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- Article
The Black-Scholes Equation with Impulses at Random Times Via Generalized Riemann Integral.
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- Proceedings of the Singapore National Academy of Science, 2021, v. 15, n. 1, p. 45, doi. 10.1142/S2591722621400068
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ANALYTICAL SOLUTION OF TIME FRACTIONAL BLACK-SCHOLES EQUATION WITH TWO ASSETS THROUGH NEW SUMUDU TRANSFORM ITERATIVE METHOD.
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- Gulf Journal of Mathematics, 2023, v. 15, n. 1, p. 42, doi. 10.56947/gjom.v15i1.1060
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A Comparative Analysis of Crank-Nicolson Scheme between Finite Volume Method and Finite Difference Method for Pricing European Option.
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- Ganit: Journal of Bangladesh Mathematical Society, 2022, v. 42, n. 2, p. 1, doi. 10.3329/ganit.v42i2.68017
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Numerical Approximations of a Nonlinear Volatility Model with European Options.
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- Ganit: Journal of Bangladesh Mathematical Society, 2022, v. 42, n. 1, p. 50, doi. 10.3329/ganit.v42i1.61000
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- Article
Pricing Exotic Options Using Some Lattice Procedures.
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- Ganit: Journal of Bangladesh Mathematical Society, 2021, v. 41, n. 1, p. 26, doi. 10.3329/ganit.v41i1.55024
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A Comparative Study between Implicit and Crank-Nicolson Finite Difference Method for Option Pricing.
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- Ganit: Journal of Bangladesh Mathematical Society, 2020, n. 40, p. 13, doi. 10.3329/ganit.v40i1.48192
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- Article
A COMPARATIVE ANALYSIS OF THE BLACK-SCHOLES-MERTON MODEL AND THE HESTON STOCHASTIC VOLATILITY MODEL.
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- Ganit: Journal of Bangladesh Mathematical Society, 2019, n. 39, p. 127, doi. 10.3329/ganit.v39i0.44168
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- Article
Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy.
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- Journal of Finance & Banking Review (JFBR), 2023, v. 7, n. 4, p. 16, doi. 10.35609/jfbr.2023.7.4(2)
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Option pricing and profitability: A comprehensive examination of machine learning, Black-Scholes, and Monte Carlo method.
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- Communications for Statistical Applications & Methods, 2024, v. 31, n. 5, p. 585, doi. 10.29220/CSAM.2024.31.5.585
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- Article
이기종 머신러닝기법을 활용한 KOSPI200 옵션변동성 예측.
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- Journal of the Korea Institute of Information & Communication Engineering, 2022, v. 26, n. 10, p. 1423, doi. 10.6109/jkiice.2022.26.10.1423
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Pricing European and American Options by SPH Method.
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- International Journal of Computational Methods, 2020, v. 17, n. 8, p. N.PAG, doi. 10.1142/S0219876219500439
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A combinatorial optimization model for enterprise patent transfer.
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- Information Technology & Management, 2015, v. 16, n. 4, p. 327, doi. 10.1007/s10799-014-0207-z
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Unlocking the black box: Non-parametric option pricing before and during COVID-19.
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- Annals of Operations Research, 2024, v. 334, n. 1-3, p. 59, doi. 10.1007/s10479-022-04578-7
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On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter.
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- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 119, doi. 10.1007/s10479-018-2770-x
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Using forward Monte-Carlo simulation for the valuation of American barrier options.
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- Annals of Operations Research, 2018, v. 264, n. 1/2, p. 339, doi. 10.1007/s10479-017-2639-4
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- Article
Finite Element Method for Pricing Swing Options under Stochastic Volatility.
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- Journal of Accounting & Finance (2158-3625), 2018, v. 18, n. 3, p. 26, doi. 10.33423/jaf.v18i3.410
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Pricing Accuracy of Put-Option Valuation Models: Directional Bias Due to Risk Free Interest Rates.
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- Journal of Accounting & Finance (2158-3625), 2017, v. 17, n. 5, p. 44
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Analytical solutions for the Black-Scholes equation.
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- Applications & Applied Mathematics, 2017, v. 12, n. 2, p. 843
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Adomian decomposition method for analytical solution of a continuous arithmetic Asian option pricing model.
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- Telkomnika, 2019, v. 17, n. 2, p. 866, doi. 10.12928/TELKOMNIKA.v17i2.9179
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Distribution of Return Transition for Bohm-Vigier Stochastic Mechanics in Stock Market.
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- Symmetry (20738994), 2023, v. 15, n. 7, p. 1431, doi. 10.3390/sym15071431
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Uncertain Stochastic Optimal Control with Jump and Its Application in a Portfolio Game.
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- Symmetry (20738994), 2022, v. 14, n. 9, p. 1885, doi. 10.3390/sym14091885
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An Iteration Algorithm for American Options Pricing Based on Reinforcement Learning.
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- Symmetry (20738994), 2022, v. 14, n. 7, p. N.PAG, doi. 10.3390/sym14071324
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A Nonstandard Finite Difference Method for a Generalized Black–Scholes Equation.
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- Symmetry (20738994), 2022, v. 14, n. 1, p. 141, doi. 10.3390/sym14010141
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Invariant Solutions of Black–Scholes Equation with Ornstein–Uhlenbeck Process.
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- Symmetry (20738994), 2021, v. 13, n. 5, p. 847, doi. 10.3390/sym13050847
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Pricing Various Types of Power Options under Stochastic Volatility.
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- Symmetry (20738994), 2020, v. 12, n. 11, p. 1911, doi. 10.3390/sym12111911
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Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods.
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- Symmetry (20738994), 2020, v. 12, n. 6, p. 959, doi. 10.3390/sym12060959
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PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS.
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- Astin Bulletin, 2015, v. 45, n. 1, p. 207, doi. 10.1017/asb.2014.22
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Discrete Delta-hedging : Indian Market.
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- SCMS Journal of Indian Management, 2014, v. 11, n. 4, p. 5
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SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL.
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- ANZIAM Journal, 2021, v. 63, n. 2, p. 228, doi. 10.1017/S1446181121000286
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AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING.
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- ANZIAM Journal, 2021, v. 63, n. 2, p. 143, doi. 10.1017/S1446181121000274
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PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY.
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- ANZIAM Journal, 2019, v. 61, n. 4, p. 382, doi. 10.1017/S1446181119000142
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ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK.
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- ANZIAM Journal, 2017, v. 58, n. 3/4, p. 386, doi. 10.1017/S1446181117000220
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- Article
PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS.
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- Fractals, 2022, v. 30, n. 5, p. 1, doi. 10.1142/S0218348X22401661
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Haar wavelet transform and variational iteration method for fractional option pricing models.
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- Mathematical Methods in the Applied Sciences, 2023, v. 46, n. 7, p. 8408, doi. 10.1002/mma.8343
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Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market.
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- Mathematical Methods in the Applied Sciences, 2023, v. 46, n. 6, p. 6558, doi. 10.1002/mma.8924
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A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes.
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- Mathematical Methods in the Applied Sciences, 2023, v. 46, n. 5, p. 6042, doi. 10.1002/mma.8888
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Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing.
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- Mathematical Methods in the Applied Sciences, 2022, v. 45, n. 9, p. 5592, doi. 10.1002/mma.8130
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- Article
Solving fractional Black–Scholes equation by using Boubaker functions.
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- Mathematical Methods in the Applied Sciences, 2021, v. 44, n. 11, p. 8505, doi. 10.1002/mma.7270
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Existence and uniqueness of analytical solution of time‐fractional Black‐Scholes type equation involving hyper‐Bessel operator.
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- Mathematical Methods in the Applied Sciences, 2021, v. 44, n. 7, p. 6164, doi. 10.1002/mma.7177
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- Article
Numerical solution of fractional Black‐Scholes model of American put option pricing via a nonstandard finite difference method: Stability and convergent analysis.
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- Mathematical Methods in the Applied Sciences, 2021, v. 44, n. 4, p. 2790, doi. 10.1002/mma.5913
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Option Pricing Based on Alternative Jump Size Distributions.
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- Frontiers of Economics in China, 2016, v. 11, n. 3, p. 439, doi. 10.3868/s060-005-016-0024-0
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An Analysis of Path-Dependent Options.
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- Journal of Optimization Theory & Applications, 2015, v. 167, n. 3, p. 874, doi. 10.1007/s10957-013-0405-6
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Cogs and Monsters: What Economics Is and What It Should Be.
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- International Studies / Međunarodne Studije, 2022, v. 22, n. 1, p. 117
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- Article
A Hybrid Finite Difference Method for Pricing Two-Asset Double Barrier Options.
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- Mathematical Problems in Engineering, 2015, v. 2015, p. 1, doi. 10.1155/2015/692695
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Pricing Extendible Options Using the Fast Fourier Transform.
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- Mathematical Problems in Engineering, 2014, p. 1, doi. 10.1155/2014/831470
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Construction of Interval Shannon Wavelet and Its Application in Solving Nonlinear Black-Scholes Equation.
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- Mathematical Problems in Engineering, 2014, p. 1, doi. 10.1155/2014/541023
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