Found 24 Documents (Results 1–24)
Numerical method for KoBol fractional option pricing model. (Chinese. English summary) Zbl 1474.65301
Monte Carlo acceleration algorithm of pricing switch corridor variance swap. (Chinese. English summary) Zbl 1474.91247
Willow tree method for European and American option pricing under variance Gamma model. (Chinese. English summary) Zbl 1463.91178
Pricing of a perpetual convertible bond with credit rating migration based on structure framework. (Chinese. English summary) Zbl 1463.91155
MSC:
91G20
Pricing volatility index option in constant elasticity of variance model. (Chinese. English summary) Zbl 1449.91156
MSC:
91G20
Efficient willow tree algorithm for credit valuation adjustment of stock options. (Chinese. English summary) Zbl 1449.91179
Pricing accelerated simulation theory of generalized autoregressive conditional heteroskedasticity model. (Chinese. English summary) Zbl 1438.91156
Efficient willow tree method for Asian option pricing under Merton jump-diffusion model. (Chinese. English summary) Zbl 1463.91177
Conditional Monte Carlo hybrid acceleration method under stochastic interest rate model and its applications. (Chinese. English summary) Zbl 1438.91184
Pricing of interest rate swap derivatives for assuring credit rating migration. (Chinese. English summary) Zbl 1424.91169
Collateralized debt obligations’ pricing based on Laplace transform in multifactor models. (Chinese. English summary) Zbl 1413.91105
Calculation of options using stochastic volatility models based on exact simulation. (Chinese. English summary) Zbl 1399.91140
An implicit double discretization method for pricing options under Metron’s jump-diffusion model. (Chinese. English summary) Zbl 1389.91125
Finite volume methods for pricing jump-diffusion option model. (Chinese. English summary) Zbl 1389.91128
A liquidity analysis of financial derivative products based on structural models. (Chinese. English summary) Zbl 1324.91069
An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model. (Chinese. English summary) Zbl 1313.91188
A counterparty valuation adjustment calculation model of multi-counterparties credit default swap. (Chinese. English summary) Zbl 1313.91178
Monte Carlo acceleration methods for pricing Asian options in high performance computation. (Chinese. English summary) Zbl 1289.91186
Pricing European style credit spread options. (Chinese. English summary) Zbl 1240.91170
Pricing of credit default swap based on credit rating. (Chinese. English summary) Zbl 1240.91180
Variance derivatives pricing and control variate Monte Carlo method. (Chinese. English summary) Zbl 1224.91182
Numerical computation on path dependent European option with fixed trade cost rate. (Chinese. English summary) Zbl 1212.91113
Pricing formula of perpetual Bermudan option. (Chinese. English summary) Zbl 1199.91215
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