Pages that link to "Item:Q2874319"
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The following pages link to Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319):
Displaying 19 items.
- Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation (Q465088) (← links)
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- A note on the numerical resolution of Heston PDEs (Q829233) (← links)
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (Q1631428) (← links)
- Pricing real estate index options under stochastic interest rates (Q2145575) (← links)
- Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM (Q2203803) (← links)
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (Q2212455) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← links)
- Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms (Q2448368) (← links)
- HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs (Q2947344) (← links)
- Proper Orthogonal Decomposition in Option Pricing (Q4626517) (← links)
- ADI Schemes for Pricing American Options under the Heston Model (Q4682480) (← links)
- A robust nonstandard finite difference scheme for pricing real estate index options (Q4963880) (← links)
- A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE (Q4997346) (← links)
- Application of power series approximation techniques to valuation of European style options (Q5014193) (← links)
- An analytical approximation method for pricing barrier options under the double Heston model (Q5077926) (← links)
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (Q5234308) (← links)
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options (Q6049303) (← links)
- An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model (Q6660858) (← links)
