Výsledky vyhledávání - "Euler inversion algorithm"

A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and its Financial Applications

Autoři: Cai, Ning IELM Shi, Chao

Zdroj: Stochastic Systems, Vol 4, Iss 2, Pp 404-448 (2015)
Stoch. Syst. 4, no. 2 (2014), 404-448

Témata: T57-57.97, two-sided Laplace transforms, Applied mathematics. Quantitative methods, Truncation errors, Option pricing, 91G60, Euler inversion, 91G20, 01 natural sciences, QA273-280, Computable error bounds, truncation errors, Two-dimensional Laplace inversion, discretization errors, 44A10, Discretization errors, Exotic options, computable error bounds, 0101 mathematics, Two-sided Laplace transforms, option pricing, Probabilities. Mathematical statistics, exotic options

Popis souboru: application/pdf

Přístupová URL adresa: https://pubsonline.informs.org/doi/pdf/10.1287/12-SSY094
https://doaj.org/article/cca00db3367c4c34affd6f1e96f4f631
http://repository.ust.hk/ir/Record/1783.1-69620
https://projecteuclid.org/download/pdfview_1/euclid.ssy/1427462421
https://pubsonline.informs.org/doi/abs/10.1287/12-SSY094
https://projecteuclid.org/journals/stochastic-systems/volume-4/issue-2/A-two-dimensional-two-sided-Euler-inversion-algorithm-with-computable/10.1214/12-SSY094.full
http://www.i-journals.org/ssy/include/getdoc.php?id=1568&article=94&mode=pdf
http://projecteuclid.org/euclid.ssy/1427462421

A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications

Autoři: Ning Cai Chao Shi

Zdroj: Stochastic Systems, Vol 4, Iss 2, Pp 404-448 (2015)

Témata: Two-dimensional Laplace inversion, two-sided Laplace transforms, Euler inversion, computable error bounds, discretization errors, truncation errors, option pricing, exotic options, Probabilities. Mathematical statistics, QA273-280, Applied mathematics. Quantitative methods, T57-57.97

Popis souboru: electronic resource

Relation: http://www.i-journals.org/ssy/viewarticle.php?id=94&layout=abstract; https://doaj.org/toc/1946-5238

Přístupová URL adresa: https://doaj.org/article/cca00db3367c4c34affd6f1e96f4f631

An extension of the Euler Laplace transform inversion algorithm with applications in option pricing: An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.

Autoři: G. Petrella

Zdroj: Operations Research Letters. 32:380-389

Témata: Laplace transform, Numerical methods (including Monte Carlo methods), 0211 other engineering and technologies, 02 engineering and technology, 0101 mathematics, option pricing, 01 natural sciences, Numerical methods for integral transforms, Euler inversion algorithm

Popis souboru: application/xml

Přístupová URL adresa: https://zbmath.org/2125897
https://doi.org/10.1016/j.orl.2003.06.004

Pricing double-barrier options under a flexible jump diffusion model

Autoři: Cai, Ning IELM Chen, Nan Wan, Xiangwei

Zdroj: Operations Research Letters. 37:163-167

Témata: 0502 economics and business, 05 social sciences, Double-barrier options, Jump diffusion, 0101 mathematics, 01 natural sciences, First passage times, Hyper-exponential distribution, Euler inversion algorithm

Three-directional analytic signal analysis and interpretation of magnetic gradient tensor.

Autoři: Guo, Can-wen Xing, Zhe Wang, Lin-fei a další

Zdroj: Applied Geophysics: Bulletin of Chinese Geophysical Society; Jun2020, Vol. 17 Issue 2, p285-296, 12p

Témata: MAGNETIC anomalies, EULER characteristic, MAGNETIC testing, ALGORITHMS, SHALLOW-water equations, INFORMATION resources

Euler inversion: locating sources of potential-field data through inversion of Euler's homogeneity equation.

Autoři: Uieda, Leonardo Souza-Junior, Gelson Ferreira Uppal, India a další

Zdroj: Geophysical Journal International; Jun2025, Vol. 241 Issue 3, p1536-1552, 17p

Témata: EULER equations (Rigid dynamics), INVERSE problems, EULER method, MAGNETIC anomalies, GRAVITY anomalies

Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion.

Autoři: Guo, Fenglong

Zdroj: Journal of Futures Markets; Jan2025, Vol. 45 Issue 1, p47-76, 30p

Témata: EULER method, PRICES, JUMP processes

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model.

Autoři: Ning Cai Kou, Steven

Zdroj: Operations Research; Jan2012, Vol. 60 Issue 1, p64-77, 14p, 6 Charts

Témata: LAPLACE transformation, DIFFUSION processes, BESSEL functions, TRANSCENDENTAL functions, PROBABILITY theory, EULER characteristic

Option Pricing Under a Mixed-Exponential Jump Diffusion Model.

Autoři: Cai, Ning Kou, S.G.

Zdroj: Management Science; Nov2011, Vol. 57 Issue 11, p2067-2081, 15p, 6 Charts, 4 Graphs

Témata: OPTIONS (Finance), LAPLACE transformation, SENSITIVITY analysis, EULER equations (Rigid dynamics), EXPONENTIAL functions, DISTRIBUTION (Probability theory), MATURITY (Finance), MERTON Model, POISSON processes, BROWNIAN motion, MONTE Carlo method, CONFIDENCE intervals

Valuing equity-linked annuities under high-water mark fee structure.

Autoři: Yan, Kaixin Li, Shuanming Zhang, Aili

Zdroj: Scandinavian Actuarial Journal; Jun2024, Vol. 2024 Issue 5, p506-531, 26p

Témata: ANNUITIES, VALUATION of investments, ADMINISTRATIVE fees, INVESTMENT products, JUMP processes, RETIREMENT planning

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model

Autoři: Cai, Ning Kou, Steven G.

Témata: Asset pricing, Finance, Probability, Stochastic model applications, Article

URL: http://repository.ust.hk/ir/Record/1783.1-51743
http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=0030-364X&rft.volume=60&rft.issue=1&rft.date=2012&rft.spage=64&rft.aulast=Cai&rft.aufirst=Ning&rft.atitle=Pricing%20Asian%20Options%20Under%20a%20Hyper-Exponential%20Jump%20Diffusion%20Model&rft.title=Operations%20Research
http://www.scopus.com/record/display.url?eid=2-s2.0-84859579694&origin=inward
http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000302113900006

Automatic Interpretation of Potential Field Data Based on Euler Deconvolution with Linear Background.

Autoři: Liu, Qiang Shu, Qing Gao, Wei a další

Zdroj: Applied Sciences (2076-3417); May2023, Vol. 13 Issue 9, p5323, 18p

Témata: SIMILARITY transformations, FINITE difference method, EULER method, DATA distribution, DECONVOLUTION (Mathematics), TEST methods, DIFFERENTIAL evolution

PRICING AND HEDGING OF QUANTILE OPTIONS IN A FLEXIBLE JUMP DIFFUSION MODEL.

Autoři: NING CAI

Zdroj: Journal of Applied Probability; Sep2011, Vol. 48 Issue 3, p637-656, 20p

Témata: PRICING, HEDGING (Finance), OPTIONS (Finance), JUMP processes, MATHEMATICAL models, LAPLACE transformation, NUMERICAL calculations

Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility.

Autoři: He, Wan-Hua Wu, Chufang Gu, Jia-Wen a další

Zdroj: Journal of Industrial & Management Optimization; May2022, Vol. 18 Issue 3, p2077-2094, 18p

Témata: PARTIAL differential equations, VALUE (Economics), TRANSFER pricing, PROBLEM solving

Occupation times of Lévy processes.

Autoři: Wu, Lan Zhang, Xiao

Zdroj: International Journal of Financial Engineering; Sep2021, Vol. 8 Issue 3, p1-10, 10p

Témata: LEVY processes, LAPLACE transformation, DIFFERENTIAL equations, FINANCIAL management, FINANCIAL management software

A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes.

Autoři: Cai, Ning Yang, Xuewei

Zdroj: INFORMS Journal on Computing; Winter2021, Vol. 33 Issue 1, p216-229, 14p

Témata: DIFFUSION processes, JUMP processes, LAPLACE distribution, NUMERICAL solutions to integro-differential equations, LEVY processes, OPERATIONS research, CUMULATIVE distribution function, FINANCIAL engineering

Minimizing Profligacy of Searches with Reset

Autoři: Chakanal Sunil, John University of Edinburgh

Přispěvatelé: Chakanal Sunil, John University of Edinburgh

Témata: Landau expansion, inverse laplace transform, profligacy, optimization, resetting, search with resets, Physical Sciences

Popis souboru: application/mathematica; application/pdf; application/zip; text/plain

Relation: Chakanal Sunil, John. (2024). Minimizing Profligacy of Searches with Reset, [dataset]. University of Edinburgh. School of Physics and Astronomy. Institute for Condensed Matter and Complex Systems. https://doi.org/10.7488/ds/7711.; https://hdl.handle.net/10283/8754; https://doi.org/10.7488/ds/7711

Dostupnost: https://hdl.handle.net/10283/8754
https://doi.org/10.7488/ds/7711

Closed-Form Solution of Radial Transport of Tracers in Porous Media Influenced by Linear Drift.

Autoři: Akanji, Lateef T. Falade, Gabriel K.

Zdroj: Energies (19961073); Jan2019, Vol. 12 Issue 1, p29, 29p

Témata: ENHANCED oil recovery, LINEAR velocity, POROUS materials, MASS media influence, SCALAR field theory

INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL.

Autoři: Cai, Ning Yang, Xuewei

Zdroj: Mathematical Finance; Jan2018, Vol. 28 Issue 1, p409-446, 38p

Témata: FOREIGN exchange reserves, ECONOMIC shock, DIFFUSION processes, KURTOSIS, COST analysis

Exact Simulation of the SABR Model.

Autoři: Cai, Ning Song, Yingda Chen, Nan

Zdroj: Operations Research; Jul/Aug2017, Vol. 65 Issue 4, p931-951, 21p

Témata: PERFECT simulation (Statistics), STOCHASTIC models, FINANCIAL services industry, MARKET prices, MARKET volatility, PRICES