Pages that link to "Item:Q952073"

The following pages link to Penalty methods for the numerical solution of American multi-asset option problems (Q952073):

Displaying 41 items.

• Stabilized explicit Runge-Kutta methods for multi-asset American options (Q316630) (← links)
• Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion (Q465077) (← links)
• An integro-differential parabolic variational inequality arising from the valuation of double barrier American option (Q488919) (← links)
• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications (Q499268) (← links)
• Radial basis functions method for valuing options: a multinomial tree approach (Q515756) (← links)
• Pricing real estate index options by compactly supported radial-polynomial basis point interpolation (Q679600) (← links)
• Radial basis function partition of unity operator splitting method for pricing multi-asset American options (Q727900) (← links)
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method (Q890161) (← links)
• Pricing European and American options by radial basis point interpolation (Q903013) (← links)
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options (Q907677) (← links)
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system (Q1619629) (← links)
• The evaluation of compound options based on RBF approximation methods (Q1654739) (← 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)
• Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (Q1731613) (← links)
• A new method for evaluating options based on multiquadric RBF-FD method (Q1738089) (← links)
• Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
• An efficient computational algorithm for pricing European, barrier and American options (Q1993476) (← links)
• A two-grid penalty method for American options (Q1993545) (← links)
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501) (← links)
• Radial basis function partition of unity methods for pricing vanilla basket options (Q2006598) (← links)
• Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
• Pricing and simulation for real estate index options: radial basis point interpolation (Q2150396) (← links)
• An efficient finite element method for pricing American multi-asset put options (Q2198473) (← links)
• An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (Q2204419) (← links)
• The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
• Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing (Q2242714) (← links)
• Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models (Q2279852) (← links)
• A method-of-lines approach for solving American option problems (Q2332986) (← links)
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446) (← links)
• Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options (Q2668184) (← links)
• (Q3110762) (← links)
• (Q3119570) (← links)
• Numerical Analysis of Novel Finite Difference Methods (Q4626501) (← links)
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (Q4903222) (← links)
• (Q4905484) (← links)
• Radial-basis-function-based finite difference operator splitting method for pricing American options (Q5028586) (← links)
• Application of the local radial basis function-based finite difference method for pricing American options (Q5266153) (← links)
• A penalty method for American multi-asset option problems (Q6040370) (← links)