Pages that link to "Item:Q1407712"
From MaRDI portal
The following pages link to On multigrid for linear complementarity problems with application to American-style options (Q1407712):
Displaying 35 items.
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
- A multigrid preconditioner for an adaptive Black-Scholes solver (Q533713) (← links)
- Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems (Q540550) (← links)
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
- Operator splitting methods for pricing American options under stochastic volatility (Q841111) (← links)
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
- A fast Fourier transform technique for pricing American options under stochastic volatility (Q965893) (← links)
- Pricing American options using a space-time adaptive finite difference method (Q982922) (← links)
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility (Q1030223) (← links)
- Operator splitting methods for American option pricing. (Q1767129) (← links)
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options'' (Q1780893) (← links)
- Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
- A quick operator splitting method for option pricing (Q2074881) (← links)
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
- A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities (Q2095644) (← links)
- Multigrid method for pricing European options under the CGMY process (Q2126958) (← links)
- An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
- A modulus-based multigrid method for nonlinear complementarity problems with application to free boundary problems with nonlinear source terms (Q2242646) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← links)
- Space-time adaptive finite difference method for European multi-asset options (Q2468901) (← links)
- Multilevel Preconditioning for Variational Problems (Q2790390) (← links)
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595) (← links)
- Steepest descent preconditioning for nonlinear GMRES optimization (Q2931517) (← links)
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching (Q4554242) (← links)
- High-order filtered schemes for time-dependent second order HJB equations (Q4579916) (← links)
- ADI Schemes for Pricing American Options under the Heston Model (Q4682480) (← links)
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
- A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
- An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model (Q5157093) (← links)
- A Componentwise Splitting Method for Pricing American Options Under the Bates Model (Q5189607) (← links)
