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Revisiting the Merton Problem: from HARA to CARA Utility.
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- Computational Economics, 2022, v. 59, n. 2, p. 651, doi. 10.1007/s10614-021-10102-z
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- Article
Pricing double-barrier Parisian options.
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- IMA Journal of Management Mathematics, 2023, v. 34, n. 4, p. 633, doi. 10.1093/imaman/dpab045
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- Article
A new algorithm for calibrating local regime-switching models.
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- IMA Journal of Management Mathematics, 2021, v. 32, n. 2, p. 237, doi. 10.1093/imaman/dpaa012
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- Article
Pricing resettable convertible bonds using an integral equation approach.
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- IMA Journal of Management Mathematics, 2020, v. 31, n. 4, p. 417, doi. 10.1093/imaman/dpz015
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- Article
An accurate approximation formula for pricing European options with discrete dividend payments.
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- IMA Journal of Management Mathematics, 2018, v. 29, n. 2, p. 175, doi. 10.1093/imaman/dpw020
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- Article
An analytic formula for pricing American-style convertible bonds in a regime switching model.
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- IMA Journal of Management Mathematics, 2015, v. 26, n. 4, p. 403, doi. 10.1093/imaman/dpu005
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- Article
On the Asymptotic Behavior of the Optimal Exercise Price Near Expiry of an American Put Option under Stochastic Volatility.
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- Journal of Risk & Financial Management, 2022, v. 15, n. 5, p. 189, doi. 10.3390/jrfm15050189
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- Article
An Analytic Approach for Pricing American Options with Regime Switching.
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- Journal of Risk & Financial Management, 2021, v. 14, n. 5, p. 1, doi. 10.3390/jrfm14050188
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- Article
A closed-form pricing formula for European options in an illiquid asset market.
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- Financial Innovation, 2022, v. 8, n. 1, p. 1, doi. 10.1186/s40854-022-00337-6
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- Article
A closed-form pricing formula for European options in an illiquid asset market.
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- Financial Innovation, 2022, v. 8, n. 1, p. 1, doi. 10.1186/s40854-022-00337-6
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- Article
ON THE CONVERGENCE OF HE AND ZHU'S NEW SERIES SOLUTION FOR PRICING OPTIONS WITH THE HESTON MODEL.
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- Acta Mathematica Universitatis Comenianae, 2017, v. 86, n. 2, p. 321
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- Article
Modelling the Shear Behaviour of Rock Joints with Asperity Damage Under Constant Normal Stiffness.
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- Rock Mechanics & Rock Engineering, 2015, v. 48, n. 1, p. 179, doi. 10.1007/s00603-014-0556-2
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- Article
A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY.
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- Mathematical Finance, 2011, v. 21, n. 2, p. 233, doi. 10.1111/j.1467-9965.2010.00436.x
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- Article
An alternative form to calibrate the correlated Stein–Stein option pricing model.
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- Computational & Applied Mathematics, 2019, v. 38, n. 2, p. N.PAG, doi. 10.1007/s40314-019-0832-6
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- Article
A hybrid computational approach for option pricing.
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- International Journal of Financial Engineering, 2018, v. 5, n. 3, p. N.PAG, doi. 10.1142/S2424786318500214
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- Article
An analytical solution for the HJB equation arising from the Merton problem.
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- International Journal of Financial Engineering, 2018, v. 5, n. 1, p. -1, doi. 10.1142/S2424786318500081
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- Article
VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING.
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- International Journal of Theoretical & Applied Finance, 2019, v. 22, n. 4, p. N.PAG, doi. 10.1142/S0219024919500092
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- Article
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 8, p. 1279, doi. 10.1142/S0219024911006851
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- Article
CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA.
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- International Journal of Theoretical & Applied Finance, 2007, v. 10, n. 7, p. 1203, doi. 10.1142/S0219024907004615
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- Article
A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS.
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- International Journal of Theoretical & Applied Finance, 2006, v. 9, n. 7, p. 1141, doi. 10.1142/S0219024906003962
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- Article
APPLICATION OF CFD IN SHIP ENGINEERING DESIGN PRACTICE AND SHIP HYDRODYNAMICS
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- Journal of Hydrodynamics, 2006, v. 18, n. 3, p. 315, doi. 10.1016/S1001-6058(06)60072-3
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- Article
Application of CFD in ship engineering design practice and ship hydrodynamics.
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- Journal of Hydrodynamics, 2006, v. 18, n. 1, p. 308, doi. 10.1007/BF03400465
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- Article
A Note on Callability of Convertible Bonds.
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- New Mathematics & Natural Computation, 2024, v. 20, n. 3, p. 621, doi. 10.1142/S1793005724500340
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- Article
On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures.
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- New Mathematics & Natural Computation, 2018, v. 14, n. 3, p. 383, doi. 10.1142/S1793005718500230
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- Article
ON VARIOUS QUANTITATIVE APPROACHES FOR PRICING AMERICAN OPTIONS.
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- New Mathematics & Natural Computation, 2011, v. 7, n. 2, p. 313, doi. 10.1142/S1793005711001950
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- Article
A closed-form pricing formula for catastrophe equity options.
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- Probability in the Engineering & Informational Sciences, 2022, v. 36, n. 4, p. 1103, doi. 10.1017/S0269964821000279
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- Article
Pricing callable–puttable convertible bonds with an integral equation approach.
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- Journal of Futures Markets, 2022, v. 42, n. 10, p. 1856, doi. 10.1002/fut.22363
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- Article
EDITORIAL: SPECIAL ISSUE ON FINANCIAL MATHEMATICS AND QUANTITATIVE FINANCE.
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- 2021
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- Publication type:
- Editorial
AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD.
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- ANZIAM Journal, 2018, v. 59, n. 3, p. 349, doi. 10.1017/S1446181117000438
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- Article
EDITORIAL: STOCHASTIC AND COMPUTATIONAL METHODS IN FINANCE.
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- ANZIAM Journal, 2016, v. 57, n. 3, p. 205, doi. 10.1017/S1446181115000462
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- Article
AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS.
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- ANZIAM Journal, 2016, v. 57, n. 3, p. 269, doi. 10.1017/S1446181115000267
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- Article
A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL.
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- ANZIAM Journal, 2014, v. 56, n. 1, p. 1, doi. 10.1017/S1446181114000236
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- Article
OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY.
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- ANZIAM Journal, 2009, v. 51, n. 2, p. 145, doi. 10.1017/S1446181110000052
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- Article
A comparative study of the direct boundary element method and the dual reciprocity boundary element method in solving the Helmholtz equation.
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- ANZIAM Journal, 2007, v. 49, n. 1, p. 131, doi. 10.1017/S1446181100012724
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- Article
A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield.
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- ANZIAM Journal, 2006, v. 47, n. 4, p. 477, doi. 10.1017/S1446181100010087
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- Article
The dual reciprocity boundary element method for magnetohydrodynamic channel flows.
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- ANZIAM Journal, 2002, v. 44, n. 2, p. 305, doi. 10.1017/S1446181100013961
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- Article
A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions.
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- Computational Economics, 2020, v. 55, n. 3, p. 957, doi. 10.1007/s10614-019-09923-w
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- Article
Robust Portfolio Optimization with Multi-Factor Stochastic Volatility.
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- Journal of Optimization Theory & Applications, 2020, v. 186, n. 1, p. 264, doi. 10.1007/s10957-020-01687-w
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- Article
Pricing variance swaps under the Hawkes jump‐diffusion process.
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- Journal of Futures Markets, 2019, v. 39, n. 6, p. 635, doi. 10.1002/fut.21997
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- Article
On full calibration of hybrid local volatility and regime‐switching models.
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- Journal of Futures Markets, 2018, v. 38, n. 5, p. 586, doi. 10.1002/fut.21901
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- Article
An analytical formula for VIX futures and its applications.
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- Journal of Futures Markets, 2012, v. 32, n. 2, p. 166, doi. 10.1002/fut.20512
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- Article
VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH.
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- International Journal of Theoretical & Applied Finance, 2022, v. 25, n. 4/5, p. 1, doi. 10.1142/S0219024922500224
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- Article
AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS.
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- International Journal of Theoretical & Applied Finance, 2022, v. 25, n. 3, p. 1, doi. 10.1142/S0219024922500121
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- Article
Pricing American call options under a hard-to-borrow stock model.
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- European Journal of Applied Mathematics, 2018, v. 29, n. 3, p. 494, doi. 10.1017/S0956792517000262
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- Article
Pricing American-style Parisian up-and-out call options.
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- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 1, doi. 10.1017/S0956792517000018
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- Article
Pricing European options with stochastic volatility under the minimal entropy martingale measure.
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- European Journal of Applied Mathematics, 2016, v. 27, n. 2, p. 233, doi. 10.1017/S0956792515000510
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- Article
An exact and explicit formula for pricing lookback options with regime switching.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 1, p. 723, doi. 10.3934/jimo.2021203
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- Article
A multiscale correction to the Black-Scholes formula.
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- Applied Stochastic Models in Business & Industry, 2014, v. 30, n. 6, p. 753, doi. 10.1002/asmb.2006
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- Article