Hybrid Laplace transform and finite difference methods for pricing American options under complex models (Q1704172): Difference between revisions

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+Zhen-Yu Cui
@@ Property / author: Zhen-Yu Cui / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2017.04.018
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+W2640165762
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@@ Property / cites work @@
+Q5200620
@@ Property / cites work: Q5200620 / rank @@
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@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
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+A Jump-Diffusion Model for Option Pricing
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
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+Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
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+Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
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+Laplace transforms and American options
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+A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+Valuing American options under the CEV model by Laplace-Carson transforms
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+Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions
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+Option pricing with regime switching by trinomial tree method
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+Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
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+On convergence of Laplace inversion for the American put option under the CEV model
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+A moving boundary approach to American option pricing
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