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A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models Journal article
Journal of Scientific Computing, 2017,Volume: 75,Issue: 3,Page: 1633-1655
Authors:  Siu-Long Lei;  Wenfei Wang;  Xu Chen;  Deng Ding
Favorite  |  View/Download:15/0  |  Submit date:2019/05/22
American Options  Fast Preconditioned Penalty Method  Linear Complementarity Problems  Nonlinear Tempered Fractional Partial Differential Equations  Regime-switching Lévy Process  Unconditional Stability  
Optimal nonlinear pricing by a monopolist with information ambiguity Journal article
International Journal of Industrial Organization, 2015,Volume: 40,Page: 60-66
Authors:  Zheng,Mingli;  Wang,Chong;  Li,Chaozheng
Favorite  |  View/Download:6/0  |  Submit date:2019/06/18
Ambiguity Aversion  Bunching  Maxmin Utility  Monopoly  Nonlinear Pricing  Optimal Control