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Circulant preconditioning technique for barrier options pricing under fractional diffusion models Journal article
International Journal of Computer Mathematics, 2015,Volume: 92,Issue: 12,Page: 2596-2614
Authors:  Wenfei Wang;  Xu Chen;  Deng Ding;  Siu-Long Lei
Favorite  |  View/Download:16/0  |  Submit date:2019/05/22
Barrier Options Pricing  Circulant Preconditioner  Fractional Diffusion Equations  Krylov Subspace Methods  Lévy Process  
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
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite  |  View/Download:16/0  |  Submit date: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
Authors:  Deng Ding;  Zuoqiu Weng;  Jingya Zhao
Favorite  |  View/Download:3/0  |  Submit date:2019/07/23
Fast Fourier Transform (Fft)  Bermudan Barrier Option  Conv Method  
An efficient algorithm for Bermudan barrier option pricing Journal article
Applied Mathematics-A Journal of Chinese Universities, 2012,Volume: 27,Issue: 1,Page: 49-58
Authors:  DING Deng;  HUANG Ning-ying;  ZHAO Jing-ya
Favorite  |  View/Download:11/0  |  Submit date:2019/05/22
American Barrier Option  Bermudan Option  Fourier Transform  Fourier-cosine Expansion  
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
Authors:  Shu-Ling Yang;  Spike T. Lee;  Hai-Wei Sun
Favorite  |  View/Download:6/0  |  Submit date:2019/02/13
Boundary Value Method  Crank-nicolson Time-marching Scheme  Fourth-order Compact Scheme  Jump-diffusion  Preconditioner  Toeplitz Matrix  
Sale before Completion of Development: Pricing and Strategy Journal article
REAL ESTATE ECONOMICS, 2004,Volume: 32,Issue: 2,Page: 329-357
Authors:  Rose Neng Lai;  Ko Wang;  Yuqing Zhou
Favorite  |  View/Download:2/0  |  Submit date:2019/10/21
Sale before completion of development: Pricing and strategy Conference paper
REAL ESTATE ECONOMICS, Isl Skye, SCOTLAND, AUG, 2003
Authors:  Lai, R.N.;  Wang, K.;  Zhou, Y.
Favorite  |  View/Download:3/0  |  Submit date:2020/07/10
Compound Options  Redevelopment  Risk  Land Prices  Real Assets  Valuation