Pages that link to "Item:Q1930421"

The following pages link to A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421):

Displaying 30 items.

• Contour integral method for European options with jumps (Q391441) (← links)
• A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
• Limitations and improvements of standard spectral methods for pricing standard options (Q531074) (← links)
• A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets (Q618451) (← links)
• A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463) (← links)
• A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
• Spectral approximation of infinite-dimensional Black-Scholes equations with memory (Q965863) (← links)
• Efficient space-time spectral methods for second-order problems on unbounded domains (Q1676920) (← links)
• Nonconforming least-squares spectral element method for European options (Q2007189) (← links)
• Error analysis of nonlinear time fractional mobile/immobile advection-diffusion equation with weakly singular solutions (Q2020230) (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← 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)
• Dynamical behavior of reaction-diffusion neural networks and their synchronization arising in modeling epileptic seizure: a numerical simulation study (Q2210614) (← links)
• A homotopy method with adaptive basis selection for computing multiple solutions of differential equations (Q2291939) (← links)
• Stability and error analysis of operator splitting methods for American options under the Black-Scholes model (Q2302378) (← links)
• A pricing option approach based on backward stochastic differential equation theory (Q2321651) (← links)
• Efficient and fast numerical method for pricing discrete double barrier option by projection method (Q2401999) (← links)
• Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options (Q2450049) (← links)
• Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model (Q2875711) (← links)
• Evaluation Finite Moment Log-Stable Option Pricing by a Spectral Method (Q5382407) (← links)
• Efficient Spectral-Galerkin Method for Pricing Asian Options (Q5882286) (← links)
• Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model (Q6144313) (← links)
• RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model (Q6540205) (← links)
• RBF–based IMEX finite difference schemes for pricing option under liquidity switching (Q6590589) (← links)
• Improved Laguerre spectral methods with less round-off errors and better stability (Q6639512) (← links)
• A Legendre-Galerkin spectral method for option pricing under regime switching models (Q6657384) (← links)
• An efficient high-order two-level explicit/implicit numerical scheme for two-dimensional time fractional mobile/immobile advection-dispersion model (Q6660580) (← links)
• Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods (Q6664909) (← links)