Pages that link to "Item:Q1775609"

The following pages link to Numerical valuation of options with jumps in the underlying (Q1775609):

Displaying 50 items.

• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
• Second order convex splitting schemes for periodic nonlocal Cahn-Hilliard and Allen-Cahn equations (Q349589) (← links)
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (Q375333) (← links)
• A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437) (← links)
• Contour integral method for European options with jumps (Q391441) (← links)
• A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
• Tri-diagonal preconditioner for pricing options (Q442720) (← links)
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• An efficient numerical method for pricing option under jump diffusion model (Q531075) (← links)
• An iterative method for pricing American options under jump-diffusion models (Q534258) (← links)
• Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
• Pricing European and American options by radial basis point interpolation (Q903013) (← links)
• Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) (← links)
• Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
• Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129) (← links)
• Exponential time integration for fast finite element solutions of some financial engineering problems (Q1002209) (← links)
• Numerical analysis of strategic contingent claims models (Q1386850) (← links)
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← links)
• A high-order finite difference method for option valuation (Q1705003) (← links)
• Valuation on an outside-reset option with multiple resettable levels and dates (Q1722684) (← links)
• Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) (← links)
• Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation (Q1734297) (← links)
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) (← links)
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
• Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (Q1999691) (← links)
• Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
• FFT-network for bivariate Lévy option pricing (Q2024616) (← links)
• Stability and error estimates for the variable step-size BDF2 method for linear and semilinear parabolic equations (Q2026109) (← links)
• Multigrid method for pricing European options under the CGMY process (Q2126958) (← links)
• A spectral element method for option pricing under regime-switching with jumps (Q2189667) (← 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)
• DG method for pricing European options under Merton jump-diffusion model. (Q2280454) (← links)
• Pricing pension plans under jump-diffusion models for the salary (Q2400705) (← links)
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
• Circulant preconditioners for pricing options (Q2431151) (← links)