Pages that link to "Item:Q2370586"

The following pages link to Compact finite difference method for American option pricing (Q2370586):

Displaying 43 items.

• Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (Q411091) (← links)
• A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
• Polynomial algebra for Birkhoff interpolants (Q633149) (← links)
• A HODIE finite difference scheme for pricing American options (Q667962) (← links)
• A numerical study of Asian option with high-order compact finite difference scheme (Q721576) (← links)
• Convergence of the compact finite difference method for second-order elliptic equations (Q858814) (← links)
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method (Q890161) (← links)
• Pricing European and American options by radial basis point interpolation (Q903013) (← links)
• Compact finite difference methods for high order integro-differential equations (Q905264) (← links)
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options (Q907677) (← links)
• A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
• On the numerical solution of nonlinear Black-Scholes equations (Q1004743) (← links)
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
• Algorithms of finite difference for pricing American options under fractional diffusion models (Q1718197) (← links)
• A new method for evaluating options based on multiquadric RBF-FD method (Q1738089) (← links)
• Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
• An efficient computational algorithm for pricing European, barrier and American options (Q1993476) (← links)
• A compact finite difference method for a general class of nonlinear singular boundary value problems with Neumann and Robin boundary conditions (Q2009260) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• Solving the Kolmogorov PDE by means of deep learning (Q2051092) (← links)
• A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data (Q2073958) (← links)
• An accurate solution for the generalized Black-Scholes equations governing option pricing (Q2132964) (← links)
• On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation (Q2135558) (← links)
• Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters (Q2141232) (← links)
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE (Q2175832) (← links)
• A robust spline collocation method for pricing American put options (Q2296452) (← links)
• A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option (Q2315945) (← links)
• Highly accurate compact mixed methods for two point boundary value problems (Q2372018) (← links)
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition (Q2415424) (← links)
• Numerical solution of generalized Black-Scholes model (Q2423065) (← links)
• Efficient pricing of Bermudan options using recombining quadratures (Q2517493) (← links)
• A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model (Q2656030) (← links)
• Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← links)
• Efficient Meshfree Method for Pricing European and American Put Options on a Non-dividend Paying Asset (Q2801932) (← links)
• The homotopy perturbation method for the Black–Scholes equation (Q3070613) (← links)
• Exercisability Randomization of the American Option (Q3518307) (← links)
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (Q3527432) (← links)
• JDOI variance reduction method and the pricing of American-style options (Q5079357) (← links)
• A new compact alternating direction implicit method for solving two dimensional time fractional diffusion equation with Caputo-Fabrizio derivative (Q5081251) (← links)
• COMPACT FINITE DIFFERENCES METHOD AND CAPUTO FRACTIONAL DERIVATIVE DEFINITION FOR LINEAR FRACTIONAL SCHRÖDINGER EQUATIONS (Q5204785) (← links)
• (Q5260516) (← links)
• Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options (Q6631815) (← links)