A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421): Difference between revisions

@@ Property / author @@
-Hai-jun Yu
@@ Property / author: Hai-jun Yu / rank @@
-Normal rank
@@ Property / author @@
+Hai-jun Yu
@@ Property / author: Hai-jun Yu / 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/10.1007/s10915-011-9556-5
+Normal rank
@@ Property / OpenAlex ID @@
+W1991751874
@@ Property / OpenAlex ID: W1991751874 / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
@@ Property / cites work: PRICING ASIAN OPTIONS FOR JUMP DIFFUSION / 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 @@
+Q2781419
@@ Property / cites work: Q2781419 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging Spread Options
@@ Property / cites work: Pricing and Hedging Spread Options / rank @@
+Normal rank
@@ Property / cites work @@
+A PDE approach to jump-diffusions
@@ Property / cites work: A PDE approach to jump-diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Two-scale finite element discretizations for integrodifferential equations
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+A spectral method for bonds
@@ Property / cites work: A spectral method for bonds / rank @@
+Normal rank
@@ Property / cites work @@
+High-Order Methods for Incompressible Fluid Flow
@@ Property / cites work: High-Order Methods for Incompressible Fluid Flow / rank @@
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+The Chebyshev–Legendre Method: Implementing Legendre Methods on Chebyshev Points
+Normal rank
@@ Property / cites work @@
+Q5189317
@@ Property / cites work: Q5189317 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+A Fourier Transform Method for Spread Option Pricing
+Normal rank
@@ Property / cites work @@
+Spectral/hp Element Methods for Computational Fluid Dynamics
+Normal rank
@@ Property / cites work @@
+Q4229805
@@ Property / cites work: Q4229805 / rank @@
+Normal rank
@@ Property / cites work @@
+On coordinate transformation and grid stretching for sparse grid pricing of basket options
+Normal rank
@@ Property / cites work @@
+On Numerical Approximations of Forward-Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+An iterative method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Efficient Spectral-Galerkin Method I. Direct Solvers of Second- and Fourth-Order Equations Using Legendre Polynomials
+Normal rank
@@ Property / cites work @@
+Q5268568
@@ Property / cites work: Q5268568 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3064721
@@ Property / cites work: Q3064721 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Methods
@@ Property / cites work: Spectral Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Spectral Sparse Grid Methods and Applications to High-Dimensional Elliptic Problems
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Galileo, Sunspots, and the Motions of the Earth: Redux
+Normal rank
@@ Property / cites work @@
+A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
+Normal rank
@@ Property / cites work @@
+A spectral element approximation to price European options with one asset and stochastic volatility
+Normal rank
@@ Property / cites work @@
+A spectral element method to price European options. I. Single asset with and without jump diffusion
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1930421