133 results in 91Gxx
A COMPREHENSIVE STUDY OF OPTION PRICING WITH TRANSACTION COSTS
- Part of
-
- Journal:
- Bulletin of the Australian Mathematical Society / Volume 106 / Issue 3 / December 2022
- Published online by Cambridge University Press:
- 22 August 2022, pp. 522-524
- Print publication:
- December 2022
-
- Article
-
- You have access
- HTML
- Export citation
AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 64 / Issue 2 / April 2022
- Published online by Cambridge University Press:
- 20 June 2022, pp. 135-148
-
- Article
- Export citation
Extended reduced-form framework for non-life insurance
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 54 / Issue 3 / September 2022
- Published online by Cambridge University Press:
- 14 June 2022, pp. 945-973
- Print publication:
- September 2022
-
- Article
- Export citation
Moment-constrained optimal dividends: precommitment and consistent planning
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
- Published online by Cambridge University Press:
- 06 June 2022, pp. 404-432
- Print publication:
- June 2022
-
- Article
- Export citation
Optimal entry and consumption under habit formation
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
- Published online by Cambridge University Press:
- 10 March 2022, pp. 433-459
- Print publication:
- June 2022
-
- Article
- Export citation
On the forward algorithm for stopping problems on continuous-time Markov chains
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 58 / Issue 4 / December 2021
- Published online by Cambridge University Press:
- 22 November 2021, pp. 1043-1063
- Print publication:
- December 2021
-
- Article
- Export citation
AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 02 September 2021, pp. 143-162
-
- Article
- Export citation
Pathwise large deviations for the rough Bergomi model: Corrigendum
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 58 / Issue 3 / September 2021
- Published online by Cambridge University Press:
- 16 September 2021, pp. 849-850
- Print publication:
- September 2021
-
- Article
-
- You have access
- HTML
- Export citation
AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 23 August 2021, pp. 178-202
-
- Article
- Export citation
PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 23 August 2021, pp. 249-267
-
- Article
- Export citation
FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 19 August 2021, pp. 163-177
-
- Article
- Export citation
LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 19 August 2021, pp. 203-227
-
- Article
- Export citation
OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 2 / April 2021
- Published online by Cambridge University Press:
- 13 August 2021, pp. 123-142
-
- Article
- Export citation
OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS
- Part of
-
- Journal:
- The ANZIAM Journal / Volume 63 / Issue 3 / July 2021
- Published online by Cambridge University Press:
- 21 July 2021, pp. 308-332
-
- Article
- Export citation
A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 53 / Issue 2 / June 2021
- Published online by Cambridge University Press:
- 01 July 2021, pp. 400-424
- Print publication:
- June 2021
-
- Article
- Export citation
Solving high-dimensional optimal stopping problems using deep learning
- Part of
-
- Journal:
- European Journal of Applied Mathematics / Volume 32 / Issue 3 / June 2021
- Published online by Cambridge University Press:
- 27 April 2021, pp. 470-514
-
- Article
-
- You have access
- Open access
- Export citation
Model-independent pricing with insider information: a skorokhod embedding approach
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 53 / Issue 1 / March 2021
- Published online by Cambridge University Press:
- 17 March 2021, pp. 30-56
- Print publication:
- March 2021
-
- Article
- Export citation
Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 53 / Issue 1 / March 2021
- Published online by Cambridge University Press:
- 17 March 2021, pp. 220-250
- Print publication:
- March 2021
-
- Article
- Export citation
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 58 / Issue 1 / March 2021
- Published online by Cambridge University Press:
- 25 February 2021, pp. 197-216
- Print publication:
- March 2021
-
- Article
- Export citation
Zipf’s law for atlas models
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 57 / Issue 4 / December 2020
- Published online by Cambridge University Press:
- 23 November 2020, pp. 1276-1297
- Print publication:
- December 2020
-
- Article
- Export citation