Zobrazeno 1 - 10
of 200
pro vyhledávání: '"Yue-Kuen Kwok"'
Autor:
Yue Kuen Kwok
This introduction to complex variable methods begins by carefully defining complex numbers and analytic functions, and proceeds to give accounts of complex integration, Taylor series, singularities, residues and mappings. Both algebraic and geometric
Publikováno v:
Mathematical Finance.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf9b0be9ba3c3b7620e0f8fb6c12a746
https://doi.org/10.1111/mafi.12387
https://doi.org/10.1111/mafi.12387
Autor:
Chenglong Xu, Yue Kuen Kwok
Publikováno v:
Journal of Applied Mathematics, Vol 2005, Iss 2, Pp 117-125 (2005)
We derive an integral representation of the price formulas for European options whose terminal payoff involves path-dependent lookback variable. The intricacies in the derivation procedures using the partial differential equation techniques stem from
Externí odkaz:
https://doaj.org/article/c182748727a3494093ff843d5f55badc
Autor:
Yuantao Zhang, Yue Kuen Kwok
Publikováno v:
J Appl Stat
The saddlepoint approximation formulas provide versatile tools for analytic approximation of the tail expectation of a random variable by approximating the complex Laplace integral of the tail expectation expressed in terms of the cumulant generating
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::91d9bd20a3ad262688a72936565eed31
https://doi.org/10.1080/02664763.2019.1703915
https://doi.org/10.1080/02664763.2019.1703915