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An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2015,Volume: 2,Issue: 2
作者:  Deng DING;  Wang, WF
收藏  |  浏览/下载:1/0  |  提交时间:2019/07/22
Accumulator  Fourier Cosine Expansions  Monte Carlo Simulation  Discrete Barrier Option  OptiOn On Forward  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Journal of Computational Finance, 2014,Volume: 17,Issue: 3,Page: 3-30
作者:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
收藏  |  浏览/下载:11/0  |  提交时间:2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets  
An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing Journal article
Intelligent Information Management, 2012,Volume: 4,Issue: 3,Page: 89-93
作者:  Deng Ding;  Zuoqiu Weng;  Jingya Zhao
收藏  |  浏览/下载:1/0  |  提交时间:2019/07/23
Fast Fourier Transform (Fft)  Bermudan Barrier Option  Conv Method  
Boundary value methods with the Crank-Nicolson preconditioner for pricing options in the jump-diffusion model Journal article
International Journal of Computer Mathematics, 2011,Volume: 88,Issue: 8,Page: 1730-1748
作者:  Shu-Ling Yang;  Spike T. Lee;  Hai-Wei Sun
收藏  |  浏览/下载:4/0  |  提交时间:2019/02/13
Boundary Value Method  Crank-nicolson Time-marching Scheme  Fourth-order Compact Scheme  Jump-diffusion  Preconditioner  Toeplitz Matrix