Exponential time integration for fast finite element solutions of some financial engineering problems (Q1002209): Difference between revisions

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-Nisha Rambeerich
@@ Property / author: Nisha Rambeerich / rank @@
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-Désiré Yannick Tangman
@@ Property / author: Désiré Yannick Tangman / rank @@
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@@ Property / author @@
-Ashvin Gopaul
@@ Property / author: Ashvin Gopaul / rank @@
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@@ Property / author @@
-Muddun Bhuruth
@@ Property / author: Muddun Bhuruth / rank @@
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@@ Property / author @@
+Nisha Rambeerich
@@ Property / author: Nisha Rambeerich / rank @@
+Normal rank
@@ Property / author @@
+Désiré Yannick Tangman
@@ Property / author: Désiré Yannick Tangman / rank @@
+Normal rank
@@ Property / author @@
+Ashvin Gopaul
@@ Property / author: Ashvin Gopaul / rank @@
+Normal rank
@@ Property / author @@
+Muddun Bhuruth
@@ Property / author: Muddun Bhuruth / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2008.05.047
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@@ Property / OpenAlex ID @@
+W1970756300
@@ Property / OpenAlex ID: W1970756300 / rank @@
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@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
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@@ Property / cites work @@
+Comparison of methods for evaluating functions of a matrix exponential
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Implicit-explicit numerical schemes for jump-diffusion processes
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@@ Property / cites work @@
+Exponential time differencing for stiff systems
@@ Property / cites work: Exponential time differencing for stiff systems / rank @@
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@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
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+A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
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+Operator splitting methods for American option pricing.
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+Fast deterministic pricing of options on Lévy driven assets
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+Option pricing when underlying stock returns are discontinuous
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+Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
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+On the numerical solution of differential equations by the finite element method. I: An introduction to the finite element method (The Ritz models)
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+Evaluating matrix functions for exponential integrators via Carathéodory-Fejér approximation and contour integrals
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@@ Property / cites work @@
+Exponential time integration and Chebychev discretisation schemes for fast pricing of options
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@@ Property / cites work @@
+Numerical pricing of options using high-order compact finite difference schemes
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