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Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach 期刊论文
JOURNAL OF FUTURES MARKETS, 2022, 页码: 25
作者:  Ding, Kailin;  Cui, Zhenyu;  Yang, Xiaoguang
收藏  |  浏览/下载：60/0  |  提交时间：2023/02/07
American Asian options  Asian option  diffusion operator integral  series expansion  
Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity 期刊论文
COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2022, 页码: 25
作者:  Duan, Pingtao;  Liu, Yuting;  Ma, Zhiming
收藏  |  浏览/下载：56/0  |  提交时间：2023/02/07
Option pricing  Discrete barrier options  Jump-diffusion model  Stochastic volatility  Stochastic intensity  
Pricing strategies for blockchain payment service under customer heterogeneity 期刊论文
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 2021, 卷号: 242, 页码: 14
作者:  Li, Yuze;  Jiang, Shangrong;  Shi, Jianming;  Wei, Yunjie
收藏  |  浏览/下载：117/0  |  提交时间：2022/04/02
Blockchain  Supply chain management  Pricing strategy  Game theory  
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
作者:  Zhao, Yingxue;  Choi, Tsan-Ming;  Cheng, T. C. E.;  Wang, Shouyang
收藏  |  浏览/下载：177/0  |  提交时间：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
作者:  Wu, Xinyu;  Zhou, Hailin;  Wang, Shouyang
收藏  |  浏览/下载：157/0  |  提交时间：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
作者:  Zhu, Ke;  Ling, Shiqing
收藏  |  浏览/下载：139/0  |  提交时间：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
作者:  Yan, Zhenya
收藏  |  浏览/下载：104/0  |  提交时间：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
作者:  Yan Zhen-Ya
收藏  |  浏览/下载：80/0  |  提交时间：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
作者:  Deng, XT;  Gu, YG;  Wang, SY;  Zhang, SM
收藏  |  浏览/下载：104/0  |  提交时间：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
作者:  Gu, YG;  Shu, JW;  Deng, XT;  Zheng, WM
收藏  |  浏览/下载：96/0  |  提交时间：2018/07/30
American options  free boundary  analytic method of line  finite difference method  Black-Scholes equation