Pages that link to "Item:Q5862255"

The following pages link to ADI finite difference schemes for option pricing in the Heston model with correlation (Q5862255):

Displaying 50 items.

• Langevin diffusions on the torus: estimation and applications (Q122538) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
• A regime-switching model with the volatility smile for two-asset European options (Q462338) (← links)
• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications (Q499268) (← links)
• Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q554616) (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q898943) (← links)
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
• Structural default model with mutual obligations (Q1621641) (← links)
• A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (Q1631428) (← links)
• Fourth order compact schemes for variable coefficient parabolic problems with mixed derivatives (Q1646981) (← links)
• A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator (Q1713627) (← links)
• Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations (Q1723695) (← links)
• Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (Q1731613) (← links)
• Radial basis function generated finite differences for option pricing problems (Q1732412) (← 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)
• Regula falsi based automatic regularization method for PDE constrained optimization (Q1757343) (← links)
• Pseudospectral roaming contour integral methods for convection-diffusion equations (Q1983173) (← links)
• Asian and Australian options: a common perspective (Q1994236) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Removing the correlation term in option pricing Heston model: numerical analysis and computing (Q2015262) (← links)
• On a high-order Gaussian radial basis function generated Hermite finite difference method and its application (Q2059722) (← links)
• A second order numerical method for the time-fractional Black-Scholes European option pricing model (Q2088801) (← links)
• Pricing real estate index options under stochastic interest rates (Q2145575) (← links)
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
• The calibration of stochastic local-volatility models: an inverse problem perspective (Q2204027) (← links)
• A high order method for pricing of financial derivatives using radial basis function generated finite differences (Q2221552) (← links)
• AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model (Q2223823) (← links)
• Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
• Compact higher order discretization of 3D generalized convection diffusion equation with variable coefficients in nonuniform grids (Q2246502) (← links)
• A robust spectral method for solving Heston's model (Q2247922) (← links)
• Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
• High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance (Q2406636) (← links)
• Computational technique for simulating variable-order fractional Heston model with application in US stock market (Q2418460) (← links)
• High-order full discretization for anisotropic wave equations (Q2423114) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• Lagged diffusivity method for the solution of nonlinear diffusion convection problems with finite differences (Q2447994) (← links)
• Diamond-cell finite volume scheme for the Heston model (Q2515716) (← links)
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
• An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
• On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430) (← links)
• Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models (Q2941477) (← links)
• Uncertain Volatility Models with Stochastic Bounds (Q3122062) (← links)
• A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
• Efficient exposure computation by risk factor decomposition (Q4619510) (← links)
• The survival probability of the SABR model: asymptotics and application (Q4619520) (← links)
• Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509) (← links)
• Numerical Study of Splitting Methods for American Option Valuation (Q4626513) (← links)