Pages that link to "Item:Q704796"
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The following pages link to Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796):
Displayed 28 items.
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
- Fast and efficient numerical methods for an extended Black-Scholes model (Q316536) (← links)
- Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs (Q349476) (← links)
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method (Q460210) (← links)
- Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
- On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← 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)
- A model for optimal stopping in advertisement (Q974528) (← links)
- Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) (← links)
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation (Q1734297) (← links)
- Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
- A penalty method for American options with jump diffusion processes (Q1889909) (← links)
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
- The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
- Convergence analysis of a parabolic nonlinear system arising in biology (Q2393523) (← links)
- Solvability of Sturm-Liouville problems on time scales at resonance (Q2654187) (← links)
- Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model (Q2875711) (← links)
- Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach (Q3395729) (← links)
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES (Q3637887) (← links)
- Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options (Q4561939) (← links)
- FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
- Jump-Diffusion Modeling in Emission Markets (Q4906407) (← links)
- Efficient pricing of swing options in Lévy-driven models (Q5397406) (← links)
- Compact finite difference method for integro-differential equations (Q5971285) (← links)