A numerical study of Asian option with high-order compact finite difference scheme (Q721576): Difference between revisions

@@ 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 @@
+Q5480578
@@ Property / cites work: Q5480578 / rank @@
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / cites work @@
+On the Valuation of Asian Options by Variational Methods
+Normal rank
@@ Property / cites work @@
+A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
+Normal rank
@@ Property / cites work @@
+Accurate pricing formulas for Asian options
@@ Property / cites work: Accurate pricing formulas for Asian options / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Discretely Monitored Asian Options by Maturity Randomization
+Normal rank
@@ Property / cites work @@
+Approximations for Asian options in local volatility models
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
+Normal rank
@@ Property / cites work @@
+A numerical study of Asian option with radial basis functions based finite differences method
+Normal rank
@@ Property / cites work @@
+High‐order compact scheme for the steady stream‐function vorticity equations
+Normal rank
@@ Property / cites work @@
+A class of higher order compact schemes for the unsteady two-dimensional convection-diffusion equation with variable convection coefficients
+Normal rank
@@ Property / cites work @@
+High order difference schemes for unsteady one-dimensional diffusion- convection problems
+Normal rank
@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+Compact finite difference method for American option pricing
+Normal rank
@@ Property / cites work @@
+A fast high-order finite difference algorithm for pricing American options
+Normal rank
@@ Property / cites work @@
+A hermitian finite difference method for the solution of parabolic equations
+Normal rank
@@ Property / cites work @@
+Highly accurate compact implicit methods and boundary conditions
+Normal rank
@@ Property / cites work @@
+A higher order compact finite difference algorithm for solving the incompressible Navier-Stokes equations
+Normal rank
@@ Property / cites work @@
+Compact finite difference schemes with spectral-like resolution
+Normal rank
@@ Property / cites work @@
+Q3342966
@@ Property / cites work: Q3342966 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4279369
@@ Property / cites work: Q4279369 / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of Time-Stepping Methods for Abstract Time-Dependent Parabolic Problems
+Normal rank
@@ Property / cites work @@
+Survey of the stability of linear finite difference equations
+Normal rank
@@ Property / cites work @@
+Q3413646
@@ Property / cites work: Q3413646 / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
+Normal rank
@@ Property / cites work @@
+A hybrid finite difference scheme for pricing Asian options
+Normal rank
@@ Property / cites work @@
+Q4002473
@@ Property / cites work: Q4002473 / rank @@
+Normal rank
@@ Property / cites work @@
+A convergent quadratic-time lattice algorithm for pricing European-style Asian options
+Normal rank