Pages that link to "Item:Q4443682"

The following pages link to A Fast Numerical Method for the Black--Scholes Equation of American Options (Q4443682):

Displaying 50 items.

• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing (Q273385) (← links)
• A practical finite difference method for the three-dimensional Black-Scholes equation (Q322864) (← links)
• Constructing positive reliable numerical solution for American call options: a new front-fixing approach (Q491062) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
• Limitations and improvements of standard spectral methods for pricing standard options (Q531074) (← links)
• An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
• A numerical study of air-vapor-heat transport through textile materials with a moving interface (Q651920) (← links)
• Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry (Q730511) (← links)
• A new numerical method an American option pricing (Q865981) (← links)
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method (Q890161) (← links)
• Numerical pricing of options using high-order compact finite difference schemes (Q932713) (← links)
• The method of fundamental solutions for solving options pricing models (Q945379) (← links)
• A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
• A high-order finite difference method for option valuation (Q1705003) (← links)
• Fast and accurate calculation of American option prices (Q1715613) (← links)
• Algorithms of finite difference for pricing American options under fractional diffusion models (Q1718197) (← links)
• Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations (Q1723304) (← links)
• Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations (Q1723695) (← links)
• Semismooth Newton methods with domain decomposition for American options (Q1747290) (← links)
• Direct computation for American put option and free boundary using finite difference method (Q1943082) (← links)
• A policy iteration algorithm for the American put option and free boundary control problems (Q1989210) (← links)
• Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (Q2004440) (← links)
• Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475) (← 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)
• Multistep schemes for one and two dimensional electromagnetic wave models based on fractional derivative approximation (Q2186932) (← links)
• A fast numerical method for the valuation of American lookback put options (Q2198448) (← links)
• An efficient finite element method for pricing American multi-asset put options (Q2198473) (← links)
• A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models (Q2204418) (← links)
• Primal-dual active set method for pricing American better-of option on two assets (Q2205394) (← links)
• An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options (Q2231609) (← links)
• Efficient and high accuracy pricing of barrier options under the CEV diffusion (Q2252824) (← links)
• Weak Galerkin finite element method for valuation of American options (Q2259116) (← links)
• A method-of-lines approach for solving American option problems (Q2332986) (← links)
• Optimal convergence rate of the explicit finite difference scheme for American option valuation (Q2390004) (← links)
• On a new family of radial basis functions: mathematical analysis and applications to option pricing (Q2406292) (← links)
• Numerical solution of generalized Black-Scholes model (Q2423065) (← links)
• Computation and sensitivity analysis of the pricing of American call options (Q2493775) (← links)
• Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval (Q2514271) (← links)
• A robust consumption model when the intensity of technological progress is ambiguous (Q2690070) (← links)
• Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← links)
• A fast and highly accurate numerical method for the evaluation of American options. (Q2731404) (← links)
• A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (Q2885511) (← links)
• Spectral methods for the Black-Scholes model of American options valuation (Q2924754) (← links)
• A Numerical Approach for the American Call Option Pricing Model (Q3075297) (← links)
• Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation (Q3161137) (← links)
• AN ANALYTICAL APPROACH TO MERTON'S RATIONAL OPTION PRICING THEORY (Q3521629) (← links)