Suchergebnisse - "Euler inversion algorithm"

A Two-dimensional, Two-sided Euler Inversion Algorithm with Computable Error Bounds and its Financial Applications von Cai, Ning, Shi, Chao

“… In this paper we propose an inversion algorithm with computable error bounds for two-dimensional, two-sided Laplace transforms. The algorithm consists of two …”
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A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications von Ning Cai, Chao Shi

“… In this paper we propose an inversion algorithm with computable error bounds for two-dimensional, two-sided Laplace transforms. The algorithm consists of two …”
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Pricing double-barrier options under a flexible jump diffusion model von Cai, Ning, Chen, Nan, Wan, Xiangwei

“… In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion …”
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An extension of the Euler Laplace transform inversion algorithm with applications in option pricing von Petrella, G.

“… We show that the Euler algorithm for Laplace transform inversion can be extended to functions defined on the entire real line, if they have specific decay …”
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Option Pricing Under a Mixed-Exponential Jump Diffusion Model von Cai, Ning, Kou, S. G.

“… This paper aims to extend the analytical tractability of the Black-Scholes model to alternative models with arbitrary jump size distributions. More precisely, …”
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Three-directional analytic signal analysis and interpretation of magnetic gradient tensor von Guo, Can-wen, Xing, Zhe, Wang, Lin-fei, Ma, Yong, Huan, Heng-fei

“… Compared to conventional magnetic data, magnetic gradient tensor data contain more high-frequency signal components, which can better describe the features of …”
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Sensitivity estimates for Lévy-driven models in finance von Liu, Zongjian

“… Lévy-driven models have become increasingly popular in financial engineering in recent years, due to their capabilities of interpreting the observed features …”
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Option pricing via Laplace transforms von Petrella, Giovanni

“… This thesis is a collection of essays focused on the pricing of plain-vanilla and path-dependent options using Laplace transforms. In the first essay we derive …”
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