Výsledky vyhľadávania - "Euler inversion algorithm"

Pricing double-barrier options under a flexible jump diffusion model

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

Zdroj: Operations Research Letters. 37:163-167

Predmety: 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

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.

Autori: G. Petrella

Zdroj: Operations Research Letters. 32:380-389

Predmety: 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 súboru: application/xml

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