Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are more competitive than alternative ...
The valuation of European options under the Heston model (or any other stochastic volatility model where the characteristic function is analytically known) involves the computation of a Fourier ...
An important part of the marginal maximum likelihood method described previously is the computation of the integral over the random effects. The default method in PROC NLMIXED for computing this ...
Davidian and Giltinan (1995) and Vonesh and Chinchilli (1997) provide good overviews as well as general theoretical developments and examples of nonlinear mixed models. Pinheiro and Bates (1995) is a ...
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