Pages that link to "Item:Q841111"

The following pages link to Operator splitting methods for pricing American options under stochastic volatility (Q841111):

Displaying 50 items.

• A mixed derivative terms removing method in multi-asset option pricing problems (Q289274) (← links)
• The study of a fourth-order multistep ADI method applied to nonlinear delay reaction-diffusion equations (Q492930) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• An iterative method for pricing American options under jump-diffusion models (Q534258) (← links)
• Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q554616) (← links)
• Radial basis function partition of unity operator splitting method for pricing multi-asset American options (Q727900) (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811) (← links)
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
• Radial basis function generated finite differences for option pricing problems (Q1732412) (← links)
• Operator splitting methods for American option pricing. (Q1767129) (← links)
• Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Numerical simulation of reaction-diffusion neural dynamics models and their synchronization/desynchronization: application to epileptic seizures (Q2004428) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• A quick operator splitting method for option pricing (Q2074881) (← links)
• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
• A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities (Q2095644) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
• Downside risk measurement in regime switching stochastic volatility (Q2178387) (← links)
• Linearized ADI schemes for two-dimensional space-fractional nonlinear Ginzburg-Landau equation (Q2194834) (← links)
• A new operator splitting method for American options under fractional Black-Scholes models (Q2203918) (← links)
• Dynamical behavior of reaction-diffusion neural networks and their synchronization arising in modeling epileptic seizure: a numerical simulation study (Q2210614) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• A robust spectral method for solving Heston's model (Q2247922) (← links)
• Uniform convergence of compact and BDF methods for the space fractional semilinear delay reaction-diffusion equations (Q2279348) (← links)
• Stability and error analysis of operator splitting methods for American options under the Black-Scholes model (Q2302378) (← links)
• Analysis and application of a compact multistep ADI solver for a class of nonlinear viscous wave equations (Q2337530) (← links)
• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (Q2356102) (← links)
• An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
• The Heston stochastic volatility model has a boundary trace at zero volatility (Q2680218) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• Accuracy improvement of a multistep splitting method for nonlinear viscous wave equations (Q2935392) (← links)
• Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models (Q2941477) (← links)
• (Q3526616) (← links)
• From insurance risk to credit portfolio management: a new approach to pricing CDOs (Q4554223) (← links)
• Numerical Study of Splitting Methods for American Option Valuation (Q4626513) (← links)
• ADI Schemes for Pricing American Options under the Heston Model (Q4682480) (← links)
• AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS (Q4902545) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
• A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility (Q4903539) (← links)
• Multiscale methods for the valuation of American options with stochastic volatility (Q4903541) (← links)
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate (Q5030547) (← links)
• A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (Q5031851) (← links)
• An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model (Q5157093) (← links)