位置：成果数据库 > 期刊 > 期刊详情页
Pricing model forconvertible bonds: A mixed fractional Brownian motion with jumps
  • ISSN号：2079-7362
  • 期刊名称：East Asian Journal on Applied Mathematics
  • 时间：2015
  • 页码：222-237
  • 相关项目：随机最优控制的数值方法理论及其应用研究
作者： Jie Miao|Xu Yang|
同期刊论文项目
随机最优控制的数值方法理论及其应用研究
期刊论文 28
同项目期刊论文
Convergence analysis of high-order compact alternating direction implicit schemes for the two-dimaen
A numerical method and its error estimates for the decoupled forward backward stochastic differentia
Second-order Schemes for Solving Decoupled Forward Backward Stochastic differnetial Equations
A multistep schemefor decoupled forward-backward stochastic differential equations
Strong convergenceanalysis of split-step theta-scheme for nonlinear stochastic differentialequations
A high-order compact exponential scheme for the fractional convection-diffusion equation
Mathematical Pricing Model with Dilution Effect and Firm-value Process Volatility for Bond with Atta
A component-based Eulerian-Lagrangian formulation for multicomponent multiphase compositional flow a
Compact alternating direction implicit method for two-dimensional time fractional diffusion equation
A firstorder semi-discrete algorithm for backward doubly stochastic differentialequations
Solutions to BSDEsdriven by multidimensional fractional Brownian motions
Compact exponential schemefor the time fractional convection-diffusion reaction equation with variab
Convergence analysisfor a class of multistep scheme for forward-backward stochastic differentialequa
Fast high-ordercompact exponential time differencing Runge-Kutta methods for second-order semilinear
Probabilistic HighOrder Numerical Schemes for Fully Nonlinear Parabolic PDEs
正倒向随机微分方程组的数值解法
Numerical Simulationsof the G-Brownian motion
Schwarz methods for quasi stationary distributions of Markov chains
A generalized theta-scheme for solving backward stochastic differential equations
Covolume-upwind finite volume approximations for linear elliptic partial differential equations
A sparse-grid method for multi-dimensional backward stochastic differential equations
SECOND-ORDER NUMERICAL SCHEMES FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS
Numerical simulations for G-Brownian motion