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SpringerLink电子期刊(19)
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Elsevier电子期刊(39)
ACS电子期刊(1)
在“
Elsevier电子期刊
”中,
命中:
39
条,耗时:小于0.01 秒
在所有数据库中总计命中:
66
条
1.
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-
Scholes
equation
作者:
Junkee Jeon
;
hollman@snu.ac.kr" class="auth_mail" title="E-mail the corresponding author
;
Heejae Han
;
Myungjoo Kang
关键词:
Free boundary problem
;
Integral equation
;
American floating strike lookback option
;
Perpetual American floating strike lookback option
;
Neumann problem
;
Mellin transform
刊名:Journal of Computational and Applied Mathematics
出版年:2017
2.
A superconvergent partial differential equation approach to price variance swaps under regime switching models
作者:
Mehzabeen Jumanah Dilloo
;
Dé
;
siré
;
Yannick Tangman
;
y.tangman@uom.ac.mu
关键词:
35G61
;
91B25
;
65M06
刊名:Journal of Computational and Applied Mathematics
出版年:2017
3.
Stabilization of the multi-asset Black-
Scholes
PDE
using differential flatness theory
作者:
Gerasimos Rigatos
*
;
grigat@ieee.org" class="auth_mail" title="E-mail the corresponding author
;
Pierluigi Siano
**
;
psiano@unisa.it" class="auth_mail" title="E-mail the corresponding author
关键词:
multi-asset Black-
Scholes
PDE
;
differential flatnss theory
;
control of distributed parameters systems
;
nonlinear feedback control
刊名:IFAC-PapersOnLine
出版年:2016
4.
A comparative analysis of local meshless formulation for multi-asset option models
作者:
Siraj-ul-Islam
;
Imtiaz Ahmad
siraj.islam@gmail.com" class="auth_mail" title="E-mail the corresponding author
关键词:
Radial basis functions
;
Option pricing
;
Black&ndash
;
Scholes
PDE
s model
;
European put option
;
American put option
;
Butterfly call option
;
Digital call option
;
Operator splitting technique
刊名:Engineering Analysis with Boundary Elements
出版年:2016
5.
A self-exciting threshold jump-diffusion model for option valuation
作者:
Tak Kuen Siu
Ken.Siu@mq.edu.au" class="auth_mail" title="E-mail the corresponding author
ktksiu2005@gmail.com" class="auth_mail" title="E-mail the corresponding author
关键词:
G13
刊名:Insurance: Mathematics and Economics
出版年:2016
6.
Stock loan valuation under a stochastic interest rate model
作者:
Wenting Chen
;
wtchen@uow.edu.au" class="auth_mail" title="E-mail the corresponding author
;
Liangbin Xu
;
Song-Ping Zhu
关键词:
Stock loans
;
Stochastic interest rate
;
The ADI method
刊名:Computers & Mathematics with Applications
出版年:2015
7.
Laplace Transform and finite difference methods for the Black-
Scholes
equation
作者:
Aldo Tagliani
;
Mariyan Milev
关键词:
Black&ndash
;
Scholes
equation
;
Completely monotonic function
;
Finite difference scheme
;
Laplace Transform
;
M-Matrix
;
Positivity-preserving
;
Post&ndash
;
Widder formula
刊名:Applied Mathematics and Computation
出版年:2013
8.
On pricing barrier options with regime switching
作者:
Robert J. Elliott
;
Tak Kuen Siu
;
Leunglung Chan
关键词:
Barrier option
;
Regime switching model
;
Fundamental matrix solution
;
Integral representation
;
Free boundary problem
刊名:Journal of Computational and Applied Mathematics
出版年:2014
9.
Nonhypoellipticity and comparison principle for partial differential equations of Black–
Scholes
type
作者:
R. Agliardi
a
;
rossella.agliardi@unibo.it
;
P. Popivanov
b
;
popivano@math.bas.bg
;
A. Slavova
b
;
slavova@math.bas.bg
关键词:
Parabolic
PDE
;
Black–
;
Scholes
model
;
Nonlinear
PDE
s
刊名:Nonlinear Analysis: Real World Applications
出版年:2011
10.
Numerical solution of a
PDE
model for a ratchet-cap pricing with BGM interest rate dynamics
作者:
M. Suá
;
rez-Taboada
mariasuarez@udc.es
;
C. Vá
;
zquez
;
carlosv@udc.es
关键词:
Interest rate derivative
;
LIBOR market model
;
Black&ndash
;
Scholes
equations
;
Characteristics-Crank&ndash
;
Nicolson
;
Finite elements
刊名:Applied Mathematics and Computation
出版年:2012
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