Pages that link to "Item:Q1748427"

The following pages link to ADI schemes for valuing European options under the Bates model (Q1748427):

Displaying 16 items.

• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Numerical simulation of fractional-order dynamical systems in noisy environments (Q1715699) (← links)
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265) (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
• Jumping hedges on the strength of the Mellin transform (Q2143532) (← links)
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
• A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models (Q2204418) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
• A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE (Q4997346) (← links)
• A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646) (← links)
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) (← links)
• Computational scheme for solving nonlinear fractional stochastic differential equations with delay (Q5240640) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)
• A second-order ADI method for pricing options under fractional regime-switching models (Q6196447) (← links)