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pro vyhledávání: '"Chan, Tat Lung"'
Autor:
Chan, Tat Lung, Hale, Nicholas
This paper applies an algorithm for the convolution of compactly supported Legendre series (the CONLeg method) (cf. Hale and Townsend 2014a), to pricing/hedging European-type, early-exercise and discrete-monitored barrier options under a Levy process
Externí odkaz:
http://arxiv.org/abs/1811.09257
Autor:
Chan, Tat Lung
We apply a new numerical method, the singular Fourier-Pad\'e (SFP) method invented by Driscoll and Fornberg (2001, 2011), to price European-type options in L\'evy and affine processes. The motivation behind this application is to reduce the inefficie
Externí odkaz:
http://arxiv.org/abs/1706.06709
Autor:
Hok, Julien, Chan, Tat Lung
Here we develop an option pricing method based on Legendre series expansion of the density function. The key insight, relying on the close relation of the characteristic function with the series coefficients, allows to recover the density function ra
Externí odkaz:
http://arxiv.org/abs/1610.03086
Autor:
Chan, Tat Lung (Ron)
Publikováno v:
In North American Journal of Economics and Finance November 2020 54
Autor:
Chan, Tat Lung (Ron)
Publikováno v:
In North American Journal of Economics and Finance November 2019 50
Autor:
Hok, Julien, Chan, Tat Lung (Ron)
Publikováno v:
In Journal of Computational and Applied Mathematics 1 October 2017 322:25-45
Autor:
Chan, Tat Lung (Ron)1 (AUTHOR) t.l.chan@uel.ac.uk, Hale, Nicholas2 (AUTHOR) t.l.chan@uel.ac.uk
Publikováno v:
Quantitative Finance. Aug2020, Vol. 20 Issue 8, p1307-1324. 18p.
Autor:
Chan, Tat Lung (Ron)1 (AUTHOR) t.l.chan@uel.ac.uk
Publikováno v:
Quantitative Finance. Aug2020, Vol. 20 Issue 8, p1325-1343. 19p.
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