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内部出版物
CNKI学位论文(38)
知网期刊论文(8)
在“
SpringerLink电子期刊
”中,
命中:
74
条,耗时:0.0389749 秒
在所有数据库中总计命中:
46
条
1.
Pricing
and hedging of Asian
option
s: quasi-explicit solutions via Malliavin calculus
作者:
1. School of Finance and Statistics
;
Hunan University
;
410079 Changsha
;
China2. School of Mathematics and Statistics
;
University of Sydney
;
Sydney
;
NSW 2006
;
Australia3. School of Mathematical Sciences
;
Dublin City University
;
Collins Avenue
;
Glasnevin
;
Dublin 9
;
Ireland
关键词:
Asian
option
s
8211
;
Option
pricing
8211
;
Hedging
8211
;
Malliavin calculus
刊名:Mathematical Methods of Operations Research (ZOR)
出版年:2011
2.
Factor Models for
Option
Pricing
作者:
Peter Carr (1) pcarr@nyc.rr.com
Dilip B. Madan (2) dbm@rhsmith.umd.edu
关键词:
Variance gamma
8211
;
Characteristic functions
8211
;
Index
option
s
刊名:Asia-Pacific Financial Markets
出版年:2012
3.
Using Richardson extrapolation techniques to price American
option
s with alternative stochastic processes
作者:
Chuang-Chang Chang (1)
Jun-Biao Lin (2)
Wei-Che Tsai (3)
Yaw-Huei Wang (3) yhwang@management.ntu.edu.tw
关键词:
American
option
s
8211
;
Richardson extrapolation
8211
;
Repeated Richardson extrapolation
8211
;
Stochastic process
刊名:Review of Quantitative Finance and Accounting
出版年:2012
4.
Pricing
American
option
s with uncertain volatility through stochastic linear complementarity models
作者:
Kenji Hamatani (1)
Masao Fukushima (1) fuku@amp.i.kyoto-u.ac.jp
关键词:
Option
pricing
8211
;
American
option
8211
;
Uncertain volatility
8211
;
Stochastic linear complementarity problem
刊名:Computational Optimization and Applications
出版年:2011
5.
Tractable stochastic analysis in high dimensions via robust optimization
作者:
Chaithanya Bandi (1) cbandi@mit.edu
Dimitris Bertsimas (1) dbertsim@mit.edu
关键词:
Stochastic analysis
8211
;
Robust optimization
8211
;
Queueing
8211
;
Mechanism design
8211
;
Option
pricing
刊名:Mathematical Programming
出版年:2012
6.
Analytical bounds for Treasury bond futures prices
作者:
Ren-Raw Chen (1) rchen@fordham.edu
Shih-Kuo Yeh (2) seiko@nchu.edu.tw
关键词:
Treasury bond futures
8211
;
Delivery
option
s
8211
;
Cox
;
Ingersoll
;
Ross model
8211
;
Bounds
刊名:Review of Quantitative Finance and Accounting
出版年:2012
7.
Parallel Binomial Valuation of American
Option
s with Proportional Transaction Costs
作者:
Nan Zhang (1) nan.zhang@xjtlu.edu.cn
Alet Roux (2) alet.roux@york.ac.uk
Tomasz Zastawniak (2) tomasz.zastawniak@york.ac.uk
关键词:
Parallel computing
8211
;
multi
;
core processing
8211
;
option
pricing
8211
;
binomial process
8211
;
transaction costs
刊名:Lecture Notes in Computer Science
出版年:2011
8.
Using real-time electricity data to estimate response to time-of-use and flat rates: an application to emissions
作者:
James E. Cochell (1)
Peter M. Schwarz (2) pschwarz@uncc.edu
Thomas N. Taylor (3)
关键词:
Real
;
time
pricing
8211
;
Time
;
of
;
use
pricing
8211
;
Flat rates
8211
;
Electricity
8211
;
Emissions
刊名:Journal of Regulatory Economics
出版年:2012
9.
Accounting for risk aversion in derivatives purchase timing
作者:
Tim Leung (1) leung@ieor.columbia.edu
Mike Ludkovski (2) ludkovski@pstat.ucsb.edu
关键词:
Sequential purchase timing
8211
;
Indifference
pricing
8211
;
Risk aversion
8211
;
Stochastic control with optimal stopping
刊名:Mathematics and Financial Economics
出版年:2012
10.
Convergence of the Approximation Scheme to American
Option
Pricing
via the Discrete Morse Semiflow
作者:
Katsuyuki Ishii (1) ishii@maritime.kobe-u.ac.jp
Seiro Omata (2) omata@kenroku.kanazawa-u.ac.jp
关键词:
American
option
8211
;
Discrete Morse semiflow
8211
;
Variational inequalities
8211
;
Viscosity solutions
刊名:Applied Mathematics and Optimization
出版年:2011
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