An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
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Publication:893128
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Cites work
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 2096574 (Why is no real title available?)
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- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
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- Evaluating callable and putable bonds: an eigenfunction expansion approach
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- Optimal stopping and early exercise: an eigenfunction expansion approach
- Optimal stopping in infinite horizon: an eigenfunction expansion approach
- Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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- Pricing interest-rate-derivative securities
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Cited in
(9)- Time discretization and quantization methods for optimal multiple switching problem
- Option pricing in some non-Lévy jump models
- Pure jump models for pricing and hedging VIX derivatives
- Optimal stopping and early exercise: an eigenfunction expansion approach
- Additive subordination and its applications in finance
- The valuation of options on foreign exchange rate in a target zone
- Swing option pricing by dynamic programming with b-spline density projection
- Optimal stopping in infinite horizon: an eigenfunction expansion approach
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
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