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检索条件"主题词=Lattice algorithm"
18 条 记 录,以下是1-10 订阅
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Enhancing LOCA Breach Size Diagnosis with Fundamental Deep Learning Models and Optimized Dataset Construction
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ENERGIES 2024年 第1期17卷 159-159页
作者: Xiao, Xingyu Qi, Ben Liang, Jingang Tong, Jiejuan Deng, Qing Chen, Peng Tsinghua Univ Inst Nucl & New Energy Technol Beijing 100084 Peoples R China Univ Sci & Technol Beijing Res Inst Macrosafety Sci Beijing 100083 Peoples R China Univ Chinese Acad Sci Sch Comp Sci & Technol Beijing 100049 Peoples R China
In nuclear power plants, the loss-of-coolant accident (LOCA) stands out as the most prevalent and consequential incident. Accurate breach size diagnosis is crucial for the mitigation of LOCAs, and identifying the caus... 详细信息
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A lattice approach for option pricing under a regime-switching GARCH-jump model
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PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES 2022年 第4期36卷 1138-1170页
作者: Guo, Zhiyu Bai, Yizhou Nankai Univ Sch Business Tianjin 300071 Peoples R China Civil Aviat Univ China Coll Sci Tianjin 300071 Peoples R China
In this study, we consider option pricing under a Markov regime-switching GARCH-jump (RS-GARCH-jump) model. More specifically, we derive the risk neutral dynamics and propose a lattice algorithm to price European and ... 详细信息
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Enhanced attribute based encryption technique for secured access in cloud storage for personal health records
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CONCURRENCY AND COMPUTATION-PRACTICE & EXPERIENCE 2022年 第11期34卷
作者: Saravanan, N. Umamakeswari, A. SASTRA Univ Sch Comp Thanjavur Tamil Nadu India
Recent development of medical information technology uses personal health record (PHR) system, which allows the patients to create, store and share their own health information with doctors, nurses, health insurance p... 详细信息
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Bstj 61: 1. January 1982: Fast Recursive Estimation Using the lattice Structure. (Shichor, E.)
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2016年
Bstj 61: 1. January 1982: Fast Recursive Estimation Using the lattice Structure. (Shichor, E.) by published by
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Stochastic lattice models for valuation of volatility options
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ECONOMIC MODELLING 2015年 47卷 93-104页
作者: Ma, Jingtang Li, Wenyuan Han, Xu Southwestern Univ Finance & Econ Sch Econ Math Chengdu 611130 Peoples R China Southwestern Univ Finance & Econ Collaborat Innovat Ctr Financial Secur Chengdu 611130 Peoples R China
In this paper an efficient stochastic lattice approach is developed to price the American-style volatility options on the general stochastic volatility models. The stochastic volatility diffusion models are first disc... 详细信息
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A lattice algorithm for pricing moving average barrier options
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JOURNAL OF ECONOMIC DYNAMICS & CONTROL 2010年 第3期34卷 542-554页
作者: Dai, Min Li, Peifan Zhang, Jin E. Natl Univ Singapore Dept Math Singapore 117548 Singapore Univ Hong Kong Sch Econ & Finance Hong Kong Hong Kong Peoples R China
This paper presents a lattice algorithm for pricing both European- and American-style moving average barrier options (MABOs). We develop a finite-dimensional partial differential equation (PDE) model for discretely mo... 详细信息
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lattice algorithms for Multivariate L∞ Approximation in the Worst-Case Setting
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CONSTRUCTIVE APPROXIMATION 2009年 第3期30卷 475-493页
作者: Kuo, Frances Y. Wasilkowski, Grzegorz W. Wozniakowski, Henryk Univ New S Wales Sch Math & Stat Sydney NSW 2052 Australia Univ Kentucky Dept Comp Sci Lexington KY 40506 USA Columbia Univ Dept Comp Sci New York NY 10027 USA Univ Warsaw Inst Appl Math PL-02097 Warsaw Poland
We approximate d-variate functions from weighted Korobov spaces with the error of approximation defined in the L (a) sense. We study lattice algorithms and consider the worst-case setting in which the error is defined... 详细信息
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The GARCH Option Pricing Model: A Modification of lattice Approach
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REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 2006年 第1期26卷 55-66页
作者: Wu, Chun-Chou Chung Yuan Christian Univ Dept Int Trade Chungli Taiwan
Ritchken and Trevor (1999) proposed a lattice approach for pricing American options under discrete time-varying volatility GARCH frameworks. Even though the lattice approach worked well for the pricing of the GARCH op... 详细信息
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Optimal risk transfer and investment policies based upon stochastic differential utilities
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ASIA-PACIFIC FINANCIAL MARKETS 2005年 第4期12卷 375-403页
作者: Nakamura, Nobuhiro Hitotsubashi Univ Natl Ctr Sci Grad Sch Int Corp Strategy Chiyoda Ku 2-1-2 Hitotsubashi Tokyo 1018439 Japan
This paper addresses the stochastic differential utility (SDU) version of the issue raised by Barrieu and El Karoui (Quantitative Finance, 2: 181-188, 2002a) in which optimal risk transfer from a bank to an investor, ... 详细信息
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Numerical approach to asset pricing models with stochastic differential utility
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Asia-Pacific Financial Markets 2004年 第3期11卷 267-300页
作者: Nakamura, Nobuhiro Hitotsubashi University Graduate School of International Corporate Strategy National Center of Sciences Chiyoda-ku Tokyo 101-8439 2-1-2 Hitotsubashi Japan
In this paper employing two heuristic numerical schemes, we study the asset pricing models with stochastic differential utility (SDU), which is formulated by either of backward stochastic differential equations (BSDEs... 详细信息
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