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内部出版物
CNKI学位论文(96)
知网期刊论文(28)
在“
Elsevier电子期刊
”中,
命中:
23
条,耗时:小于0.01 秒
在所有数据库中总计命中:
124
条
1.
Efficient pricing of discrete
arithmetic
Asian
options
under mean reversion and jumps based on Fourier-cosine expansions
作者:
Chun-Sung Huang
a
;
e
;
Chun-Sung.Huang@uct.ac.za" class="auth_mail" title="E-mail the corresponding author
;
John G. O&rsquo
;
Hara
b
;
d
;
Sure Mataramvura
c
;
e
关键词:
Arithmetic
Asian
options
;
Fourier-cosine expansions
;
Fast Fourier transform
;
Mean reverting process
;
Jump&ndash
;
diffusion
刊名:Journal of Computational and Applied Mathematics
出版年:2017
2.
Pricing
Asian
options
in a stochastic volatility model with jumps
作者:
Qiuhong Shi
;
Xiaoping Yang
关键词:
Arithmetic
Asian
option
;
Stochastic volatility
;
Lé
;
vy processes
;
Barndorff-Nielsen and Shephard model
;
Partial integro-differential equation
刊名:Applied Mathematics and Computation
出版年:1 February, 2014
3.
Pricing of early-exercise
Asian
options
under L茅vy processes based on Fourier cosine expansions
作者:
B. Zhang
;
C.W. Oosterlee
关键词:
Early-exercise
Asian
option
;
Arithmetic
average
;
Fourier cosine expansion
;
Clenshaw&ndash
;
Curtis quadrature
;
Exponential convergence
;
Graphics Processing Unit (GPU) computation
刊名:Applied Numerical Mathematics
出版年:April, 2014
4.
Analytical pricing of discrete
arithmetic
Asian
options
with mean reversion and jumps
作者:
Shing Fung Chung
edmondchungsf@gmail.com" class="auth_mail
;
Hoi Ying Wong
;
hywong@cuhk.edu.hk" class="auth_mail
关键词:
G12
;
G13
刊名:Journal of Banking and Finance
出版年:July 2014
5.
A reliable numerical method to price
arithmetic
Asian
options
作者:
W. Mudzimbabwe
;
K.C. Patidar
;
P.J. Witbooi
关键词:
Asian
options
;
Partial differential equations
;
Finite difference methods
;
Monte Carlo method
;
Stability analysis
刊名:Applied Mathematics and Computation
出版年:2012
6.
FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex
options
作者:
Diego Sanchez-Roman
d.sanchez@uam.es
Author Vitae
;
Victor Moreno
;
victor.moreno@uam.es
Author Vitae
;
Sergio Lopez-Buedo
sergio.lopez-buedo@uam.es
Author Vitae
;
Gustavo Sutter
gustavo.sutter@uam.es
Author Vitae
;
Ivan Gonzalez
ivan.gonzalez@uam.es
Author Vitae
;
Francisco J. Gomez-Arribas
francisco.gomez@uam.es
Author Vitae
;
Javier Aracil
javier.aracil@uam.es
Author Vitae
关键词:
High level language synthesis
;
Field programmable gate arrays
;
Financial data processing
;
Parallel machines
;
Floating-point
arithmetic
刊名:Journal of Systems Architecture
出版年:2013
7.
Pricing bounds for discrete
arithmetic
Asian
options
under Lévy models
作者:
D. Lemmens
;
L.Z.J. Liang
;
J. Tempere
;
A. De Schepper
关键词:
Asian
options
;
Analytical bounds
;
Lé
;
vy models
刊名:Physica A
出版年:2010
8.
Pricing Rainbow
Asian
Options
作者:
Bin PENG
;
Fei PENG
关键词:
rainbow geometric average
Asian
option
;
rainbow
arithmetic
average
Asian
option
;
Monte Carlo simulation
刊名:Systems Engineering - Theory Practice
出版年:2009
9.
Pricing discretely monitored
Asian
options
under Lévy processes
作者:
Gianluca Fusai
;
Attilio Meucci
关键词:
Asian
options
;
Discrete monitoring
;
Quadrature
;
Lé
;
vy processes
;
Stable processes
;
Model risk
刊名:Journal of Banking and Finance
出版年:2008
10.
On the qualitative effect of volatility and duration on prices of
Asian
options
作者:
Peter Carr
;
Christian-Oliver Ewald
;
Yajun Xiao
关键词:
Asian
options
;
Volatility
;
Vega
;
Duration
;
Qualitative risk-management
刊名:Finance Research Letters
出版年:2008
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