Search results for "Black-Scholes"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
29	Marianito R. Rodrigo, Rogemar S. Mamon	Recovery of Time-Dependent Parameters of a Black-Scholes-Type Equation: An Inverse Stieltjes Moment Approach.	J. Appl. Math.	2007	DBLP DOI BibTeX RDF
29	Lutz Angermann, Song Wang 0004	Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American Option pricing.	Numerische Mathematik	2007	DBLP DOI BibTeX RDF
29	Rafael Company, Lucas Jódar, Gregorio Rubio, Rafael-Jacinto Villanueva	Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function.	Math. Comput. Model.	2007	DBLP DOI BibTeX RDF
29	Wei Zhou, Meiying Yang, Liyan Han	Black-Scholes versus Artificial Neural Networks in Pricing Call Warrants: the Case of China Market.	ICNC (1)	2007	DBLP DOI BibTeX RDF
29	Miklavz Mastinsek	Discrete-time delta hedging and the Black-Scholes model with transaction costs.	Math. Methods Oper. Res.	2006	DBLP DOI BibTeX RDF
29	Marianito R. Rodrigo, Rogemar S. Mamon	An alternative approach to solving the Black-Scholes equation with time-varying parameters.	Appl. Math. Lett.	2006	DBLP DOI BibTeX RDF
29	Rafael Company, A. L. González, Lucas Jódar	Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend.	Math. Comput. Model.	2006	DBLP DOI BibTeX RDF
29	Luciano Stefanini, Laerte Sorini, Maria Letizia Guerra	A Parameterization of Fuzzy Numbers for Fuzzy Calculus and Application to the Fuzzy Black-Scholes Option Pricing.	FUZZ-IEEE	2006	DBLP DOI BibTeX RDF
29	Cheng-Few Lee, Gwo-Hshiung Tzeng, Shin-Yun Wang	A new application of fuzzy set theory to the Black-Scholes option pricing model.	Expert Syst. Appl.	2005	DBLP DOI BibTeX RDF
29	J. C. Cortés, Lucas Jódar, R. Sala, P. Sevilla-Peris	Exact and numerical solution of Black-Scholes matrix equation.	Appl. Math. Comput.	2005	DBLP DOI BibTeX RDF
29	Chung-Ki Cho, Taekkeun Kim, YongHoon Kwon	Estimation of local volatilities in a generalized Black-Scholes model.	Appl. Math. Comput.	2005	DBLP DOI BibTeX RDF
29	Lucas Jódar, P. Sevilla-Peris, J. C. Cortés, R. Sala	A new direct method for solving the Black-Scholes equation.	Appl. Math. Lett.	2005	DBLP DOI BibTeX RDF
29	Tomas Björk, Henrik Hult	A note on Wick products and the fractional Black-Scholes model.	Finance Stochastics	2005	DBLP DOI BibTeX RDF
29	Julia A. Bennell, Charles Sutcliffe	Black-Scholes versus artificial neural networks in pricing FTSE 100 options.	Intell. Syst. Account. Finance Manag.	2004	DBLP DOI BibTeX RDF
29	M. M. Chawla, David J. Evans 0001	Numerical volatility in option valuation from Black-Scholes equation by finite differences.	Int. J. Comput. Math.	2004	DBLP DOI BibTeX RDF
29	Hsien-Chung Wu	Pricing European options based on the fuzzy pattern of Black-Scholes formula.	Comput. Oper. Res.	2004	DBLP DOI BibTeX RDF
29	Desmond J. Higham	Black-Scholes for scientific computing students.	Comput. Sci. Eng.	2004	DBLP DOI BibTeX RDF
29	Christian Bender, Robert J. Elliott	Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market.	Math. Oper. Res.	2004	DBLP DOI BibTeX RDF
29	M. M. Chawla, Mansour Al-Zanaidi, David J. Evans 0001	Generalized trapezoidal formulas for the black-scholes equation of option pricing.	Int. J. Comput. Math.	2003	DBLP DOI BibTeX RDF
29	Houde Han, Xiaonan Wu	A Fast Numerical Method for the Black-Scholes Equation of American Options.	SIAM J. Numer. Anal.	2003	DBLP DOI BibTeX RDF
29	Stéphane Crépey	Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization.	SIAM J. Math. Anal.	2003	DBLP DOI BibTeX RDF
29	Ricardo Fernández Pascual, María Dolores Ruiz-Medina, José Miguel Angulo	Multiscale estimation of processes related to the fractional Black-Scholes equation.	Comput. Stat.	2003	DBLP DOI BibTeX RDF
29	Raul Kangro, Roy A. Nicolaides	Far Field Boundary Conditions for Black-Scholes Equations.	SIAM J. Numer. Anal.	2000	DBLP DOI BibTeX RDF
29	Michael J. Stutzer	Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model.	Entropy	2000	DBLP DOI BibTeX RDF
29	Silvia Romagnoli, Tiziano Vargiolu	Robustness of the Black-Scholes approach in the case of options on several assets.	Finance Stochastics	2000	DBLP DOI BibTeX RDF
29	Guy Barles, Halil Mete Soner	Option pricing with transaction costs and a nonlinear Black-Scholes equation.	Finance Stochastics	1998	DBLP DOI BibTeX RDF
23	Bowen Zhang 0008, Cornelis W. Oosterlee	Option pricing with COS method on graphics processing units.	IPDPS	2009	DBLP DOI BibTeX RDF
23	Jorge Nocedal	Fast and parallel algorithms for pricing American options: keynote.	SC-WHPCF	2009	DBLP DOI BibTeX RDF
23	James J. Buckley, Esfandiar Eslami	Pricing Options, Forwards and Futures Using Fuzzy Set Theory.	Fuzzy Engineering Economics with Applications	2008	DBLP DOI BibTeX RDF
23	Jose H. Blanchet, Sandeep Juneja 0001, Leonardo Rojas-Nandayapa	Efficient tail estimation for sums of correlated lognormals.	WSC	2008	DBLP DOI BibTeX RDF
23	Guangwu Liu, L. Jeff Hong	Revisit of stochastic mesh method for pricing American options.	WSC	2008	DBLP DOI BibTeX RDF
23	Liquan Mei, Peipei Cheng	Multivariate Option Pricing Using Quasi-interpolation Based on Radial Basis Functions.	ICIC (1)	2008	DBLP DOI BibTeX RDF	Classification AMS(2000) 90A09, 65M12
23	Yukio Ogura	On Stochastic Differential Equations with Fuzzy Set Coefficients.	SMPS	2008	DBLP DOI BibTeX RDF	Set coefficients, Fuzzy set coefficients, Random fuzzy sets, Stochastic differential equation, Random sets
23	Ruairí de Fréin, Konstantinos Drakakis, Scott T. Rickard	Portfolio diversification using subspace factorizations.	CISS	2008	DBLP DOI BibTeX RDF
23	Ming-Cheng Wu, Simon H. Yen, Kuo-Ren Lou	Pricing real abandonment options on several R&D investment projects.	Soft Comput.	2007	DBLP DOI BibTeX RDF	Real abandonment options, Managerial flexibility, Capital budgeting, Research and development
23	Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi	Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.	J. Sci. Comput.	2007	DBLP DOI BibTeX RDF	Penalty method, Finite element method, Option pricing, Variational inequality
23	Ramazan Gencay, Rajna Gibson	Model Risk for European-Style Stock Index Options.	IEEE Trans. Neural Networks	2007	DBLP DOI BibTeX RDF
23	Kui Hu, Zhi Tang 0001, Xun Liang 0001	The valuation of china venture capital guiding fund policy based on options model.	SMC	2007	DBLP DOI BibTeX RDF
23	Zefu Lin, Jianyue Ji	The Portfolio Selection Model of Oil/Gas Projects Based on Real Option Theory.	International Conference on Computational Science (3)	2007	DBLP DOI BibTeX RDF	Oil/gas projects, Real options theory, Portfolio selection
23	Gordana Dmitrasinovic-Vidovic, Antony Ware	Asymptotic behaviour of mean-quantile efficient portfolios.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	JEL Classification G11, C61
23	Shian-Chang Huang, Tung-Kuang Wu	A Hybrid Unscented Kalman Filter and Support Vector Machine Model in Option Price Forecasting.	ICNC (1)	2006	DBLP DOI BibTeX RDF
23	Shian-Chang Huang, Tung-Kuang Wu	Combining Monte Carlo Filters with Support Vector Machines for Option Price Forecasting.	RSCTC	2006	DBLP DOI BibTeX RDF
23	Jöns Åkerlund, Krister Åhlander, Kjell Orsborn	Computational Database Technology Applied to Option Pricing Via Finite Differences.	ADBIS	2006	DBLP DOI BibTeX RDF
23	Karl Kunisch, Jörn Sass	Trading Regions Under Proportional Transaction Costs.	OR	2006	DBLP DOI BibTeX RDF
23	Whye Loon Tung, Chai Quek	GenSo-OPATS: a brain-inspired dynamically evolving option pricing model and arbitrage trading system.	Congress on Evolutionary Computation	2005	DBLP DOI BibTeX RDF
23	Ashish Jain	Convergence of strikes in variance and volatility swaps.	WSC	2005	DBLP BibTeX RDF
23	Magdalena Broszkiewicz, Aleksander Janicki	Exotic Option Prices Simulated by Monte Carlo Method on Market Driven by Diffusion with Poisson Jumps and Stochastic Volatility.	International Conference on Computational Science (3)	2005	DBLP DOI BibTeX RDF
23	Matthew F. Dixon, Chih Jeng Kenneth Tan	Using Distributed Computers to Deterministically Approximate Higher Dimensional Convection Diffusion Equations.	J. Supercomput.	2004	DBLP DOI BibTeX RDF	high-order compact, distributed algorithms, iterative methods, option pricing, multidimensional
23	Michael Maio Pires, Tshilidzi Marwala	American option pricing using multi-layer perceptron and support vector machine.	SMC (2)	2004	DBLP DOI BibTeX RDF
23	Aleksander Janicki, Jakub Zwierz	Construction of Quasi Optimal Portfolio for Stochastic Models of Financial Market.	International Conference on Computational Science	2004	DBLP DOI BibTeX RDF
23	Chung-Ki Cho, Sunbu Kang, Taekkeun Kim, YongHoon Kwon	A New Approach for Numerical Identification of Optimal Exercise Curve.	ICCSA (3)	2004	DBLP DOI BibTeX RDF
23	N. K. Chidambaran	New simulation methodology for risk analysis: genetic programming with monte carlo simulation for option pricing.	WSC	2003	DBLP DOI BibTeX RDF
23	Ali Lari-Lavassani, Xun Li	Dynamic Mean Semi-variance Portfolio Selection.	International Conference on Computational Science	2003	DBLP DOI BibTeX RDF
23	Minas D. Koulisianis, Theodore S. Papatheodorou	Valuation of American Options Using Direct, Linear Complementarity-Based Methods.	ICCSA (3)	2003	DBLP DOI BibTeX RDF
23	Panayiotis Ch. Andreou, Chris Charalambous, Spiros H. Martzoukos	Critical Assessment of Option Pricing Methods Using Artificial Neural Networks.	ICANN	2002	DBLP DOI BibTeX RDF
23	André Jaun, Johan Hedin, Thomas Johnson, Michael Christie, Lars-Erik Jonsson, Mikael Persson, Laurent Villard	Learning Computational Methods for Partial Differential Equations from the Web.	International Conference on Computational Science (1)	2001	DBLP DOI BibTeX RDF
23	M. A. H. Dempster, A. Eswaran, D. G. Richards	Wavelet Methods in PDE Valuation of Financial Derivatives.	IDEAL	2000	DBLP DOI BibTeX RDF
23	Barry Bogart	OPERA: options price evaluation and risk analysis system.	APL	1987	DBLP DOI BibTeX RDF	APL