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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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Supply option contracts with spot market and demand information updating
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 卷号: 266, 期号: 3, 页码: 1062-1071
Authors:
Zhao, Yingxue
;
Choi, Tsan-Ming
;
Cheng, T. C. E.
;
Wang, Shouyang
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View/Download:22/0
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Submit date:2018/07/30
Supply chain management
Supply chain contract
Option contract
Spot market
Demand information updating
Estimation of market prices of risks in the GARCH diffusion model
期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15-36
Authors:
Wu, Xinyu
;
Zhou, Hailin
;
Wang, Shouyang
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Submit date:2018/07/30
Market prices of risks
GARCH diffusion model
option pricing
efficient importance sampling
maximum likelihood
particle filter
Model-based pricing for financial derivatives
期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 187, 期号: 2, 页码: 447-457
Authors:
Zhu, Ke
;
Ling, Shiqing
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Submit date:2018/07/30
NGARCH
EGARCH and GJR models
Non-normal innovation
Option valuation
Risk neutralized measure
Volatility skew
Vector financial rogue waves
期刊论文
PHYSICS LETTERS A, 2011, 卷号: 375, 期号: 48, 页码: 4274-4279
Authors:
Yan, Zhenya
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Submit date:2018/07/30
Black-Scholes option pricing model
The coupled nonlinear volatility and option pricing model
Adaptive nonlinear Schrodinger equation
Controlled stochastic volatility
Financial markets
Vector financial rogue waves (rogons)
Financial Rogue Waves
期刊论文
COMMUNICATIONS IN THEORETICAL PHYSICS, 2010, 卷号: 54, 期号: 5, 页码: 947-949
Authors:
Yan Zhen-Ya
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Submit date:2018/07/30
NLS equation
nonlinear option pricing model
financial rogue waves
On convergence of a semi-analytical method for American option pricing
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2006, 卷号: 313, 期号: 1, 页码: 353-365
Authors:
Deng, XT
;
Gu, YG
;
Wang, SY
;
Zhang, SM
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Submit date:2018/07/30
American option
free boundary
prior estimate
semi-analytic method
convergence
A new numerical method on American option pricing
期刊论文
SCIENCE IN CHINA SERIES F, 2002, 卷号: 45, 期号: 3, 页码: 181-188
Authors:
Gu, YG
;
Shu, JW
;
Deng, XT
;
Zheng, WM
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Submit date:2018/07/30
American options
free boundary
analytic method of line
finite difference method
Black-Scholes equation