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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
作者:  Wenfei Wang;  Xu Chen;  Deng Ding;  Siu-Long Lei
收藏  |  浏览/下载:12/0  |  提交时间:2019/05/22
Barrier Options Pricing  Circulant Preconditioner  Fractional Diffusion Equations  Krylov Subspace Methods  Lévy Process  
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  
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  
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
作者:  DING Deng;  HUANG Ning-ying;  ZHAO Jing-ya
收藏  |  浏览/下载:7/0  |  提交时间:2019/05/22
American Barrier Option  Bermudan Option  Fourier Transform  Fourier-cosine Expansion