Pages that link to "Item:Q4903541"

The following pages link to Multiscale methods for the valuation of American options with stochastic volatility (Q4903541):

Displaying 17 items.

• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility (Q1030223) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← 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)
• The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
• CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
• The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387) (← links)
• An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595) (← links)
• Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models (Q2941477) (← links)
• A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
• The valuation of American options in a multidimensional exponential Lévy model (Q4962464) (← links)
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate (Q5030547) (← links)
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287) (← links)
• American option pricing under the double Heston model based on asymptotic expansion (Q5234286) (← links)
• Valuation of European Options Under an Uncertain Market Price of Volatility Risk (Q5879358) (← links)
• Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods (Q6664909) (← links)