2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models (Q4562628): Difference between revisions

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+Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
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+Q5558293
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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@@ Property / cites work @@
+Numerical solution of two asset jump diffusion models for option valuation
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+Q3433874
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+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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+Positive finite difference schemes for a partial integro-differential option pricing model
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+Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Far Field Boundary Conditions for Black--Scholes Equations
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+High-order computational methods for option valuation under multifactor models
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