COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (Q5292283): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
+Normal rank
@@ Property / cites work @@
+Multigrid for American option pricing with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Minkowski matrices.
@@ Property / cites work: Minkowski matrices. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3933378
@@ Property / cites work: Q3933378 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Solving Ordinary Differential Equations II
@@ Property / cites work: Solving Ordinary Differential Equations II / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Variational inequalities and the pricing of American options
+Normal rank
@@ Property / cites work @@
+Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
+Normal rank
@@ Property / cites work @@
+Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
+Normal rank
@@ Property / cites work @@
+An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms
+Normal rank
@@ Property / cites work @@
+Q3208026
@@ Property / cites work: Q3208026 / rank @@
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of Parabolic and Elliptic Differential Equations
+Normal rank
@@ Property / cites work @@
+Finite element solution of diffusion problems with irregular data
+Normal rank
@@ Property / cites work @@
+On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options''
+Normal rank
@@ Property / cites work @@
+On the Construction and Comparison of Difference Schemes
+Normal rank
@@ Property / cites work @@
+Parabolic ADI Methods for Pricing American Options on Two Stocks
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Q5611377
@@ Property / cites work: Q5611377 / rank @@
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank