Pages that link to "Item:Q2940021"

The following pages link to An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps (Q2940021):

Displaying 41 items.

• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
• Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• A fourth-order implicit-explicit scheme for the space fractional nonlinear Schrödinger equations (Q526716) (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Kinetic simulation of collisional magnetized plasmas with semi-implicit time integration (Q1632197) (← links)
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← links)
• Radial basis function generated finite differences for option pricing problems (Q1732412) (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
• Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (Q1999691) (← 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)
• Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (Q2115062) (← links)
• Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models (Q2118964) (← links)
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model (Q2221460) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function (Q2226775) (← links)
• Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• BENCHOP – The BENCHmarking project in option pricing (Q2804496) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• Pricing American options under multi-state regime switching with an efficient<i>L</i>- stable method (Q2804504) (← links)
• A Flexible Galerkin Scheme for Option Pricing in Lévy Models (Q4553796) (← links)
• FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
• LSV models with stochastic interest rates and correlated jumps (Q4976326) (← links)
• Pricing American options under jump-diffusion models using local weak form meshless techniques (Q4976348) (← links)
• High-order time stepping scheme for pricing American option under Bates model (Q5031791) (← links)
• An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance (Q5057699) (← links)
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) (← links)
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287) (← links)
• An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models (Q5380920) (← links)
• On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model (Q5745130) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)
• Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing (Q6200827) (← links)
• Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps (Q6494191) (← links)
• Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods (Q6664909) (← links)
• High order ADI splitting scheme for stochastic volatility model with jump (Q6665171) (← links)