Pages that link to "Item:Q5470894"

The following pages link to A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (Q5470894):

Displaying 50 items.

• Barrier option under Lévy model: a PIDE and Mellin transform approach (Q272119) (← links)
• Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
• Finite difference schemes for linear stochastic integro-differential equations (Q312003) (← links)
• Fast and efficient numerical methods for an extended Black-Scholes model (Q316536) (← links)
• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) (← links)
• Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs (Q349476) (← links)
• A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437) (← links)
• A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
• A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
• Numerical simulations for the pricing of options in jump diffusion markets (Q442180) (← links)
• Tri-diagonal preconditioner for pricing options (Q442720) (← links)
• A comparison of iterated optimal stopping and local policy iteration for American options under regime switching (Q461227) (← links)
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
• An approximation of small-time probability density functions in a general jump diffusion model (Q668543) (← links)
• A second-order parareal algorithm for fractional PDEs (Q729385) (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
• A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
• Properties of multinomial lattices with cumulants for option pricing and hedging (Q853859) (← links)
• Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866) (← links)
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
• Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach (Q904596) (← links)
• Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) (← links)
• Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
• Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
• Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
• Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129) (← links)
• Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) (← links)
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (Q1044217) (← links)
• Optimal exercise boundary via intermediate function with jump risk (Q1684772) (← links)
• A novel and accurate finite difference method for the fractional Laplacian and the fractional Poisson problem (Q1700891) (← links)
• An efficient parareal algorithm for a class of time-dependent problems with fractional Laplacian (Q1736152) (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (Q1930397) (← links)
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) (← links)
• Radial basis functions with application to finance: American put option under jump diffusion (Q1931063) (← links)
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)