Zobrazeno 1 - 8
of 8
pro vyhledávání: '"NAT CHUN-HO LEUNG"'
Publikováno v:
SIAM Journal on Scientific Computing. 40:B1-B31
In this paper, we study a partial differential equation (PDE) framework for option pricing where the underlying factors exhibit stochastic correlation, with an emphasis on computation. We derive a multi-dimensional time-dependent PDE for the correspo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34aebf99dc47f3c374cf49265a120398
https://doi.org/10.1137/16m1099017
https://doi.org/10.1137/16m1099017
Publikováno v:
SIAM Journal on Numerical Analysis. 56:1731-1757
In this paper, we study the error of a second order finite difference scheme for the one-dimensional convection-diffusion equation. We consider non-smooth initial conditions commonly encountered in financial pricing applications. For these initial co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a567856929c01a87afdf8e5eac76a398
https://doi.org/10.1137/17m1139655
https://doi.org/10.1137/17m1139655
Publikováno v:
SSRN Electronic Journal.
Modelling correlation between financial quantities is important in the accurate pricing of financial derivatives. In this paper, we introduce some stochasticity in correlation, by considering a regime-switching correlation model, in which the transit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::46830d0f8f67ab1929a9397128b2e7ce
https://doi.org/10.2139/ssrn.3729042
https://doi.org/10.2139/ssrn.3729042
Publikováno v:
SIAM Journal on Numerical Analysis; 2018, Vol. 56 Issue 3, p1731-1757, 27p
Publikováno v:
SSRN Electronic Journal.
In this paper, we develop a robust numerical method in pricing options, when the underlying asset follows a jump diffusion model. We demonstrate that, with the quadratic spline collocation method, the integral approximation in the pricing PIDE is int
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eef7d66da2e5a8f405bb89036f48af46
https://doi.org/10.2139/ssrn.3729049
https://doi.org/10.2139/ssrn.3729049
Autor:
Nat Chun-Ho Leung, Justin W. L. Wan
Publikováno v:
EMBC
Fluorescent microscopy is one of the several types of imaging techniques used by biologists to study cell activities. One challenge of tracking cells from fluorescence microscopy is that cells in fluorescent images frequently disappear and reappear.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d0671e4a7cc54e2748125d4652abe947
https://pubmed.ncbi.nlm.nih.gov/23367131
https://pubmed.ncbi.nlm.nih.gov/23367131
Autor:
Spiro Karigiannis, Nat Chun-Ho Leung
We extend the "bundle constructions" of calibrated submanifolds, due to Harvey--Lawson in the special Lagrangian case, and to Ionel--Karigiannis--Min-Oo in the cases of exceptional calibrations, by "twisting" the bundles by a special (harmonic, holom
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::54fc129f29bd104ba31836fb77d3b5e6
Autor:
Karigiannis, Spiro, Leung, Nat
Publikováno v:
Annals of Global Analysis & Geometry; Oct2012, Vol. 42 Issue 3, p371-389, 19p