Takip et
Wen Chen
Wen Chen
csiro.au üzerinde doğrulanmış e-posta adresine sahip
Başlık
Alıntı yapanlar
Alıntı yapanlar
Yıl
A finite difference method for pricing European and American options under a geometric Lévy process
W Chen, S Wang
Journal of Industrial & Management Optimization 11 (1), 241-264, 2015
302015
A penalty method for a fractional order parabolic variational inequality governing American put option valuation
W Chen, S Wang
Computers & Mathematics with Applications 67 (1), 77-90, 2014
272014
Accounting for tailings dam failures in the valuation of mining projects
M Armstrong, N Langrené, R Petter, W Chen, C Petter
Resources Policy 63, 101461, 2019
202019
New Regression Monte Carlo Methods for High-dimensional Real Options Problems in Minerals industry
Nicolas Langrené, Tanya Tarnopolskaya, Wen Chen, Zili Zhu, Mark Cooksey
21st International Congress on Modelling and Simulation, 2015
192015
A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing
W Chen, S Wang
Mathematics and Computers in Simulation, 2019
142019
Switching surfaces for optimal natural resource extraction under uncertainty
Wen Chen, Tanya Tarnopolskaya, Nicolas Langrené, Thomas Lo
21st International Congress on Modelling and Simulation, 2015
12*2015
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
W Chen, S Wang
Applied Mathematics and Computation 305, 174-187, 2017
102017
Natural resource extraction with production target: the real option value of variable extraction rate
W Chen, N Langrené, T Tarnopolskaya
ROC2016, 20th Real Option Conference, 2016
7*2016
Using a stochastic economic scenario generator to analyseuncertain superannuation and retirement outcomes
W Chen, B Koo, C Wang, C O'Hare, N Langrené, P Toscas, Z Zhu
Annals of Actuarial Science, 2019
62019
Switching boundaries for flexible management of natural resource investment under uncertainty
T TARNOPOLSKAYA, W CHEN, C BAO
62015
Markovian approximation of the rough Bergomi model for Monte Carlo option pricing
Q Zhu, G Loeper, W Chen, N Langrené
arXiv preprint arXiv:2007.02113, 2020
52020
A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation
W Chen, S Wang
International Conference on Numerical Analysis and Its Applications, 46-57, 2016
52016
Personalised drawdown strategies and partial annuitisation to mitigate longevity risk
W Chen, A Minney, P Toscas, B Koo, Z Zhu, AA Pantelous
Finance Research Letters, 101644, 2020
42020
Field exploration: when to start extracting?
ZZ Nicolas Langrené, Wen Chen
22nd International Congress on Modelling and Simulation, Hobart, Tasmania …, 2017
1*2017
Designing higher value roads to preserve species risk by optimally controlling traffic flow
N Davey12, N Langrené, W Chen, JR Rhodes, S Dunstall, S Halgamuge
2019
The effect of social licence on dynamic decisions making: a case study of a gold mine
ZZ Wen Chen, Nicolas Langrené
22nd International Congress on Modelling and Simulation, Hobart, Tasmania …, 2017
2017
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