Putri, Endah R. M.; Shahab, Muhammad L.; Iqbal, Mohammad; Mukhlash, Imam; Hakam, Amirul; Mardianto, Lutfi; Susanto, Hadi A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations. (English) Zbl 07784353 Comput. Math. Appl. 154, 120-127 (2024). MSC: 91G60 65M75 68W50 68T07 91G20 PDFBibTeX XMLCite \textit{E. R. M. Putri} et al., Comput. Math. Appl. 154, 120--127 (2024; Zbl 07784353) Full Text: DOI arXiv
Shi, Zhengguang; Lyu, Pin; Ma, Jingtang High-order methods for the option pricing under multivariate rough volatility models. (English) Zbl 07692023 Comput. Math. Appl. 139, 173-183 (2023). MSC: 91G20 60G22 91B70 PDFBibTeX XMLCite \textit{Z. Shi} et al., Comput. Math. Appl. 139, 173--183 (2023; Zbl 07692023) Full Text: DOI
Yoshioka, Hidekazu; Tsujimura, Motoh; Tanaka, Tomohiro; Yoshioka, Yumi; Hashiguchi, Ayumi Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge. (English) Zbl 1524.92129 Comput. Math. Appl. 126, 115-148 (2022). MSC: 92D40 76B10 93E20 49N10 60J70 60G10 PDFBibTeX XMLCite \textit{H. Yoshioka} et al., Comput. Math. Appl. 126, 115--148 (2022; Zbl 1524.92129) Full Text: DOI arXiv
Ghosh, Abhijit; Mishra, Chittaranjan High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU. (English) Zbl 1524.91139 Comput. Math. Appl. 105, 29-40 (2022). MSC: 91G60 65M06 65R20 91G20 60G40 PDFBibTeX XMLCite \textit{A. Ghosh} and \textit{C. Mishra}, Comput. Math. Appl. 105, 29--40 (2022; Zbl 1524.91139) Full Text: DOI
Liu, Li-Min; Cui, Ying-Ying; Xu, Jie; Li, Chao; Gao, Qing-Hui The non-markovian property of \(q\)-Gaussian process. (English) Zbl 1443.82012 Comput. Math. Appl. 79, No. 6, 1802-1812 (2020). MSC: 82C31 PDFBibTeX XMLCite \textit{L.-M. Liu} et al., Comput. Math. Appl. 79, No. 6, 1802--1812 (2020; Zbl 1443.82012) Full Text: DOI
Thakoor, Nawdha Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems. (English) Zbl 1443.65011 Comput. Math. Appl. 78, No. 12, 3770-3789 (2019). MSC: 65D05 91G20 91G60 PDFBibTeX XMLCite \textit{N. Thakoor}, Comput. Math. Appl. 78, No. 12, 3770--3789 (2019; Zbl 1443.65011) Full Text: DOI
Soleymani, Fazlollah; Saray, Behzad Nemati Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM. (English) Zbl 1442.91105 Comput. Math. Appl. 77, No. 4, 1107-1123 (2019). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{F. Soleymani} and \textit{B. N. Saray}, Comput. Math. Appl. 77, No. 4, 1107--1123 (2019; Zbl 1442.91105) Full Text: DOI
He, Xin-Jiang; Zhu, Song-Ping A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate. (English) Zbl 1442.91102 Comput. Math. Appl. 76, No. 9, 2223-2234 (2018). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{S.-P. Zhu}, Comput. Math. Appl. 76, No. 9, 2223--2234 (2018; Zbl 1442.91102) Full Text: DOI Link
He, Xin-Jiang; Chen, Wenting A Monte-Carlo based approach for pricing credit default swaps with regime switching. (English) Zbl 1431.91435 Comput. Math. Appl. 76, No. 7, 1758-1766 (2018). MSC: 91G60 65C05 91G40 91G20 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{W. Chen}, Comput. Math. Appl. 76, No. 7, 1758--1766 (2018; Zbl 1431.91435) Full Text: DOI
Guo, Xu; Li, Yutian; Wang, Hong Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process. (English) Zbl 1431.91395 Comput. Math. Appl. 76, No. 6, 1500-1514 (2018). MSC: 91G20 60G40 60G51 35Q91 35R11 PDFBibTeX XMLCite \textit{X. Guo} et al., Comput. Math. Appl. 76, No. 6, 1500--1514 (2018; Zbl 1431.91395) Full Text: DOI
Liu, Limin; Zhang, Lin; Fan, Shiqi Optimal investment problem under non-extensive statistical mechanics. (English) Zbl 1417.91465 Comput. Math. Appl. 75, No. 10, 3549-3557 (2018). MSC: 91G10 91G80 93E20 91B16 PDFBibTeX XMLCite \textit{L. Liu} et al., Comput. Math. Appl. 75, No. 10, 3549--3557 (2018; Zbl 1417.91465) Full Text: DOI
Yue, Jia; Huang, Nan-jing Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications. (English) Zbl 1415.60040 Comput. Math. Appl. 75, No. 8, 2955-2977 (2018). MSC: 60G22 60B20 91G80 PDFBibTeX XMLCite \textit{J. Yue} and \textit{N.-j. Huang}, Comput. Math. Appl. 75, No. 8, 2955--2977 (2018; Zbl 1415.60040) Full Text: DOI arXiv
Zhu, Song-Ping; Lin, Sha; Lu, Xiaoping Pricing puttable convertible bonds with integral equation approaches. (English) Zbl 1415.91297 Comput. Math. Appl. 75, No. 8, 2757-2781 (2018). MSC: 91G20 65R20 45G15 PDFBibTeX XMLCite \textit{S.-P. Zhu} et al., Comput. Math. Appl. 75, No. 8, 2757--2781 (2018; Zbl 1415.91297) Full Text: DOI Link
Zhu, Song-Ping; He, Xin-Jiang A modified Black-Scholes pricing formula for European options with bounded underlying prices. (English) Zbl 1409.91253 Comput. Math. Appl. 75, No. 5, 1635-1647 (2018). MSC: 91G20 PDFBibTeX XMLCite \textit{S.-P. Zhu} and \textit{X.-J. He}, Comput. Math. Appl. 75, No. 5, 1635--1647 (2018; Zbl 1409.91253) Full Text: DOI
Chen, Xu; Wang, Wenfei; Ding, Deng; Lei, Siu-Long A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation. (English) Zbl 1372.91115 Comput. Math. Appl. 73, No. 9, 1932-1944 (2017). MSC: 91G60 65M06 65M12 91G20 60G40 PDFBibTeX XMLCite \textit{X. Chen} et al., Comput. Math. Appl. 73, No. 9, 1932--1944 (2017; Zbl 1372.91115) Full Text: DOI
Farnoosh, Rahman; Sobhani, Amirhossein; Beheshti, Mohammad Hossein Efficient and fast numerical method for pricing discrete double barrier option by projection method. (English) Zbl 1414.91410 Comput. Math. Appl. 73, No. 7, 1539-1545 (2017). MSC: 91G60 65M70 91G20 42C10 PDFBibTeX XMLCite \textit{R. Farnoosh} et al., Comput. Math. Appl. 73, No. 7, 1539--1545 (2017; Zbl 1414.91410) Full Text: DOI
Lok, U Hou; Lyuu, Yuh-Dauh The waterline tree for separable local-volatility models. (English) Zbl 1405.91639 Comput. Math. Appl. 73, No. 4, 537-559 (2017). MSC: 91G20 37C25 05C05 PDFBibTeX XMLCite \textit{U H. Lok} and \textit{Y.-D. Lyuu}, Comput. Math. Appl. 73, No. 4, 537--559 (2017; Zbl 1405.91639) Full Text: DOI
He, Xin-Jiang; Zhu, Song-Ping An alternative form used to calibrate the Heston option pricing model. (English) Zbl 1443.91292 Comput. Math. Appl. 71, No. 9, 1831-1842 (2016). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{X.-J. He} and \textit{S.-P. Zhu}, Comput. Math. Appl. 71, No. 9, 1831--1842 (2016; Zbl 1443.91292) Full Text: DOI
Zhang, H.; Liu, F.; Turner, I.; Yang, Q. Numerical solution of the time fractional Black-Scholes model governing European options. (English) Zbl 1443.91335 Comput. Math. Appl. 71, No. 9, 1772-1783 (2016). MSC: 91G60 65M06 35R11 91G20 PDFBibTeX XMLCite \textit{H. Zhang} et al., Comput. Math. Appl. 71, No. 9, 1772--1783 (2016; Zbl 1443.91335) Full Text: DOI
Dang, Duy-Minh; Nguyen, Duy; Sewell, Granville Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. (English) Zbl 1443.65199 Comput. Math. Appl. 71, No. 1, 443-458 (2016). MSC: 65M60 45K05 91G20 91G60 PDFBibTeX XMLCite \textit{D.-M. Dang} et al., Comput. Math. Appl. 71, No. 1, 443--458 (2016; Zbl 1443.65199) Full Text: DOI
Egorova, Vera N.; Company, Rafael; Jódar, Lucas A new efficient numerical method for solving American option under regime switching model. (English) Zbl 1443.91327 Comput. Math. Appl. 71, No. 1, 224-237 (2016). MSC: 91G60 65M06 65M12 65M22 91G20 60G40 PDFBibTeX XMLCite \textit{V. N. Egorova} et al., Comput. Math. Appl. 71, No. 1, 224--237 (2016; Zbl 1443.91327) Full Text: DOI
Company, Rafael; Egorova, Vera; Jódar, Lucas; Vázquez, Carlos Computing American option price under regime switching with rationality parameter. (English) Zbl 1410.91480 Comput. Math. Appl. 72, No. 3, 741-754 (2016). MSC: 91G60 91G20 65M06 60G40 PDFBibTeX XMLCite \textit{R. Company} et al., Comput. Math. Appl. 72, No. 3, 741--754 (2016; Zbl 1410.91480) Full Text: DOI
Chen, Wenting; Xu, Xiang; Zhu, Song-Ping Analytically pricing double barrier options based on a time-fractional Black-Scholes equation. (English) Zbl 1443.91285 Comput. Math. Appl. 69, No. 12, 1407-1419 (2015). MSC: 91G20 35K10 35R11 PDFBibTeX XMLCite \textit{W. Chen} et al., Comput. Math. Appl. 69, No. 12, 1407--1419 (2015; Zbl 1443.91285) Full Text: DOI
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea Pricing approximations and error estimates for local Lévy-type models with default. (English) Zbl 1443.91298 Comput. Math. Appl. 69, No. 10, 1189-1219 (2015). MSC: 91G20 60G51 91G60 PDFBibTeX XMLCite \textit{M. Lorig} et al., Comput. Math. Appl. 69, No. 10, 1189--1219 (2015; Zbl 1443.91298) Full Text: DOI arXiv
Lee, Younhee Financial options pricing with regime-switching jump-diffusions. (English) Zbl 1369.91192 Comput. Math. Appl. 68, No. 3, 392-404 (2014). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{Y. Lee}, Comput. Math. Appl. 68, No. 3, 392--404 (2014; Zbl 1369.91192) Full Text: DOI
Martín-Vaquero, J.; Khaliq, A. Q. M.; Kleefeld, B. Stabilized explicit Runge-Kutta methods for multi-asset American options. (English) Zbl 1386.91165 Comput. Math. Appl. 67, No. 6, 1293-1308 (2014). MSC: 91G60 65M20 65L06 91G20 60G40 PDFBibTeX XMLCite \textit{J. Martín-Vaquero} et al., Comput. Math. Appl. 67, No. 6, 1293--1308 (2014; Zbl 1386.91165) Full Text: DOI
Chiarella, Carl; Griebsch, Susanne; Kang, Boda A comparative study on time-efficient methods to price compound options in the Heston model. (English) Zbl 1386.91161 Comput. Math. Appl. 67, No. 6, 1254-1270 (2014). MSC: 91G60 65M06 91B70 91G20 65Y05 PDFBibTeX XMLCite \textit{C. Chiarella} et al., Comput. Math. Appl. 67, No. 6, 1254--1270 (2014; Zbl 1386.91161) Full Text: DOI
Banz, Lothar; Stephan, Ernst P. \(hp\)-adaptive IPDG/TDG-FEM for parabolic obstacle problems. (English) Zbl 1350.65064 Comput. Math. Appl. 67, No. 4, 712-731 (2014). MSC: 65K10 49J20 49M15 65K15 PDFBibTeX XMLCite \textit{L. Banz} and \textit{E. P. Stephan}, Comput. Math. Appl. 67, No. 4, 712--731 (2014; Zbl 1350.65064) Full Text: DOI
Zhu, Song-Ping; Badran, Alexander; Lu, Xiaoping A new exact solution for pricing European options in a two-state regime-switching economy. (English) Zbl 1268.91170 Comput. Math. Appl. 64, No. 8, 2744-2755 (2012). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{S.-P. Zhu} et al., Comput. Math. Appl. 64, No. 8, 2744--2755 (2012; Zbl 1268.91170) Full Text: DOI
Chiarella, Carl; Kang, Boda; Meyer, Gunter H. The evaluation of barrier option prices under stochastic volatility. (English) Zbl 1268.91175 Comput. Math. Appl. 64, No. 6, 2034-2048 (2012). MSC: 91G60 91G20 65M20 PDFBibTeX XMLCite \textit{C. Chiarella} et al., Comput. Math. Appl. 64, No. 6, 2034--2048 (2012; Zbl 1268.91175) Full Text: DOI
Chen, Fen-Ying Analytical VaR for international portfolios with common jumps. (English) Zbl 1232.91613 Comput. Math. Appl. 62, No. 8, 3066-3076 (2011). MSC: 91G10 PDFBibTeX XMLCite \textit{F.-Y. Chen}, Comput. Math. Appl. 62, No. 8, 3066--3076 (2011; Zbl 1232.91613) Full Text: DOI
Ciurlia, Pierangelo Valuation of European continuous-installment options. (English) Zbl 1231.91428 Comput. Math. Appl. 62, No. 6, 2518-2534 (2011). MSC: 91G20 91G60 65C05 PDFBibTeX XMLCite \textit{P. Ciurlia}, Comput. Math. Appl. 62, No. 6, 2518--2534 (2011; Zbl 1231.91428) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen An M-ary detection approach for asset allocation. (English) Zbl 1231.91401 Comput. Math. Appl. 62, No. 4, 2083-2094 (2011). MSC: 91G10 65C40 93E20 49L20 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Comput. Math. Appl. 62, No. 4, 2083--2094 (2011; Zbl 1231.91401) Full Text: DOI
Elliott, Robert J.; Liew, Chuin Ching; Siu, Tak Kuen Characteristic functions and option valuation in a Markov chain market. (English) Zbl 1228.91069 Comput. Math. Appl. 62, No. 1, 65-74 (2011). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., Comput. Math. Appl. 62, No. 1, 65--74 (2011; Zbl 1228.91069) Full Text: DOI
Zhu, Song-Ping; Chen, Wen-Ting A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility. (English) Zbl 1228.91077 Comput. Math. Appl. 62, No. 1, 1-26 (2011). MSC: 91G60 91G20 65M06 PDFBibTeX XMLCite \textit{S.-P. Zhu} and \textit{W.-T. Chen}, Comput. Math. Appl. 62, No. 1, 1--26 (2011; Zbl 1228.91077) Full Text: DOI
Lyuu, Yuh-Dauh; Wang, Chuan-Ju On the construction and complexity of the bivariate lattice with stochastic interest rate models. (English) Zbl 1217.91190 Comput. Math. Appl. 61, No. 4, 1107-1121 (2011). MSC: 91G30 60H30 PDFBibTeX XMLCite \textit{Y.-D. Lyuu} and \textit{C.-J. Wang}, Comput. Math. Appl. 61, No. 4, 1107--1121 (2011; Zbl 1217.91190) Full Text: DOI
Ballestra, Luca Vincenzo; Sgarra, Carlo The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach. (English) Zbl 1202.91313 Comput. Math. Appl. 60, No. 6, 1571-1590 (2010). MSC: 91G20 65M60 60G51 91G60 PDFBibTeX XMLCite \textit{L. V. Ballestra} and \textit{C. Sgarra}, Comput. Math. Appl. 60, No. 6, 1571--1590 (2010; Zbl 1202.91313) Full Text: DOI
Siu, T. K.; Ching, W. K.; Fung, E.; Ng, M.; Li, X. A high-order Markov-switching model for risk measurement. (English) Zbl 1189.91084 Comput. Math. Appl. 58, No. 1, 1-10 (2009). MSC: 91B30 PDFBibTeX XMLCite \textit{T. K. Siu} et al., Comput. Math. Appl. 58, No. 1, 1--10 (2009; Zbl 1189.91084) Full Text: DOI