An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
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Publication:2864595
DOI10.1002/num.21780zbMath1275.91149OpenAlexW2106671747MaRDI QIDQ2864595
Muhammad Irfan Yousuf, Abdul Q. M. Khaliq
Publication date: 26 November 2013
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21780
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Preconditioned iterative methods for fractional diffusion models in finance ⋮ Partial differential integral equation model for pricing American option under multi state regime switching with jumps ⋮ A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE ⋮ Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method ⋮ A fast numerical method to price American options under the Bates model ⋮ A compact fourth-order \(L\)-stable scheme for reaction-diffusion systems with nonsmooth data ⋮ Fourth-order methods for space fractional reaction–diffusion equations with non-smooth data
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