scholarly journals An Optimized Stochastic Techniques related to Option Pricing

2021 ◽  
Author(s):  
Venelin Todorov ◽  
Ivan Dimov ◽  
Stefka Fidanova ◽  
Stoyan Apostolov
Keyword(s):  
Option Pricing ◽  
Stochastic Techniques

On empirical likelihood option pricing

2017 ◽  
Vol 19 (5) ◽  
pp. 41-53
Author(s):  
Xiaolong Zhong ◽  
Jie Cao ◽  
Yong Jin ◽  
Wei Zheng
Keyword(s):  
Option Pricing ◽  
Empirical Likelihood

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model

Efficient conservative second-order central-upwind schemes for option-pricing problems

2019 ◽  
Vol 22 (5) ◽  
pp. 71-101 ◽  
Author(s):  
Omishwary Bhatoo ◽  
Arshad Ahmud Iqbal Peer ◽  
Eitan Tadmor ◽  
Desire Yannick Tangman ◽  
Aslam Aly El Faidal Saib
Keyword(s):  
Option Pricing ◽  
Second Order ◽  
Upwind Schemes ◽  
Pricing Problems

Efficient variations of the Fourier transform in applications to option pricing

2014 ◽  
Vol 18 (2) ◽  
pp. 57-90 ◽  
Author(s):  
Svetlana Boyarchenko ◽  
Sergei Levendorski˘ı
Keyword(s):  
Fourier Transform ◽  
Option Pricing ◽  
The Fourier Transform

Fourier space time-stepping for option pricing with Lévy models

2008 ◽  
Vol 12 (2) ◽  
pp. 1-29 ◽  
Author(s):  
Kenneth Jackson ◽  
Sebastian Jaimungal ◽  
Vladimir Surkov
Keyword(s):  
Option Pricing ◽  
Space Time ◽  
Fourier Space ◽  
Time Stepping
Sign in / Sign up

Export Citation Format

Share Document