Optionpricing相关论文
Option pricing problem is one of the central issue in the theory of modern finance.Un-certain currency model has been pu......
假定股票价格服从分数跳-扩散过程,无风险利率、股票红利率都为时间的函数,股票波动率为常数,利用分数跳-扩散过程随机分析理论,得......
In this paper,we utilize the Laguerre series expansion to value equity-linked annuity contracts with Guaranteed Minimum ......
High-order compact splitting scheme for pricing options under stochastic volatility models with jump
In this paper,we consider high-order scheme together with time splitting scheme for solving stochastic volatility mo......
This paper develops and analyses a novel numerical scheme to price European options under regime switching model which i......
Abstract. We obtain a Black-Scholes formula for the arbitrage-free pricing of Eu-ropean Call options with constant coeff......
