Fourier-cosine method for ruin probabilities-Reference-Cited by-同舟云学术

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Fourier-cosine method for ruin probabilities

Published:2015-06 Issue: Volume:281 Page:94-106
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Chau K.W.,Yam S.C.P.,Yang H.

Funder

HKUGC

The Hong Kong RGC GRF

Chinese University of Hong Kong

Research Grants Council of the Hong Kong Special Administration Region

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference26 articles.

1. A novel pricing method for European options based on Fourier-cosine series expansions;Fang;SIAM J. Sci. Comput.,2009

2. Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions;Fang;Numer. Math.,2009

3. A Fourier-based valuation method for Bermudan and barrier options under Heston’s model;Fang;SIAM J. Financial Math.,2011

4. Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions;Zhang;SIAM J. Financial Math.,2013

5. Ruin Probabilities;Asmussen,2010

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2. Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation;Japanese Journal of Statistics and Data Science;2024-03-26

3. On a time-changed Lévy risk model with capital injections and periodic observation;Mathematics and Computers in Simulation;2023-12

4. Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion;Mathematics;2023-04-23

5. Moment and polynomial bounds for ruin-related quantities in risk theory;European Journal of Operational Research;2022-11

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