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Numerical Methods for American Option Pricing with Nonlinear Volatility
Options are a fundamental and important type of financial derivatives with stocks as the underlying asset. Investors frequently trade options, making option pricing an important research area in both finance and applied ...
Portfolio Optimization on Jump Diffusion
Portfolio optimization problem is an important research topic in financial applications. In this research, we focus on a consumption process and a terminal wealth problem. A portfolio including a riskless asset, a zero ...