Pages that link to "Item:Q4812335"

The following pages link to High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation (Q4812335):

Displaying 38 items.

• High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
• On the comparison between compact finite difference and pseudospectral approaches for solving similarity boundary layer problems (Q474060) (← links)
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (Q503351) (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
• On the numerical solution of nonlinear Black-Scholes equations (Q1004743) (← links)
• Analysis of the nonlinear option pricing model under variable transaction costs (Q1627683) (← links)
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations (Q1636795) (← links)
• A high-order finite difference method for option valuation (Q1705003) (← links)
• High order method for Black-Scholes PDE (Q1732487) (← links)
• A positivity-preserving numerical scheme for nonlinear option pricing models (Q1952786) (← links)
• Compact finite difference relaxation method for chaotic and hyperchaotic initial value systems (Q1993506) (← links)
• Optimal non-uniform finite difference grids for the Black-Scholes equations (Q1998418) (← links)
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation (Q2036089) (← links)
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method (Q2132839) (← links)
• A computational method to price with transaction costs under the nonlinear Black-Scholes model (Q2213466) (← links)
• Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options (Q2237909) (← links)
• Higher order compact finite difference schemes for unsteady boundary layer flow problems (Q2248480) (← links)
• Robust numerical algorithm to the European option with illiquid markets (Q2284751) (← links)
• Compact finite difference method for American option pricing (Q2370586) (← links)
• High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
• Efficient hedging in Bates model using high-order compact finite differences (Q2417141) (← links)
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260) (← links)
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
• A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (Q2885511) (← links)
• On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black–Scholes Equations (Q2905429) (← links)
• On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430) (← links)
• An ETD Crank-Nicolson method for reaction-diffusion systems (Q2910812) (← links)
• High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions (Q2945680) (← links)
• A MULTILEVEL APPROACH TO SOLVING THE BLACK–SCHOLES EQUATION (Q3580216) (← links)
• High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost (Q3636736) (← links)
• Nonlinear Parabolic Equations Arising in Mathematical Finance (Q4626488) (← links)
• Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509) (← links)
• The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (Q4903545) (← links)
• (Q4999718) (← links)
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation (Q5315457) (← links)
• Solving singular boundary value problems using higher-order compact finite difference schemes with a novel higher-order implementation of Robin boundary conditions (Q6173952) (← links)
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets (Q6188915) (← links)