Pages that link to "Item:Q2223797"
From MaRDI portal
The following pages link to Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797):
Displaying 8 items.
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
- European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888) (← links)
- An operator splitting method for multi-asset options with the Feynman-Kac formula (Q2693555) (← links)
- Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps (Q4586441) (← links)
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) (← links)
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods (Q6664909) (← links)
