The following pages link to (Q4913890):
Displaying 10 items.
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- Structural default model with mutual obligations (Q1621641) (← links)
- A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives (Q1733474) (← links)
- ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (Q1930397) (← 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)
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (Q5373914) (← links)
