Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models (Q2319611): Difference between revisions

@@ Property / describes a project that uses @@
+Matlab
@@ Property / describes a project that uses: Matlab / 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/10.3934/dcdss.2019040
+Normal rank
@@ Property / OpenAlex ID @@
+W2890364094
@@ Property / OpenAlex ID: W2890364094 / rank @@
+Normal rank
@@ Property / cites work @@
+Accurate Evaluation of European and American Options Under the CGMY Process
+Normal rank
@@ Property / cites work @@
+Exponential convergence of a linear rational interpolant between transformed Chebyshev points
+Normal rank
@@ Property / cites work @@
+Rational interpolation through the optimal attachment of poles to the interpolating polynomial
+Normal rank
@@ Property / cites work @@
+Barycentric Lagrange Interpolation
@@ Property / cites work: Barycentric Lagrange Interpolation / 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 @@
+Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
+Normal rank
@@ Property / cites work @@
+Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Completion of a Lévy market by power-jump assets
@@ Property / cites work: Completion of a Lévy market by power-jump assets / rank @@
+Normal rank
@@ Property / cites work @@
+Q3323133
@@ Property / cites work: Q3323133 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
+Normal rank
@@ Property / cites work @@
+On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
+Normal rank
@@ Property / cites work @@
+Q4023645
@@ Property / cites work: Q4023645 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for logarithmic utility.
@@ Property / cites work: Optimal portfolios for logarithmic utility. / rank @@
+Normal rank
@@ Property / cites work @@
+Minimax and minimal distance martingale measures and their relationship to portfolio optimization
+Normal rank
@@ Property / cites work @@
+On the Gibbs Phenomenon IV: Recovering Exponential Accuracy in a Subinterval from a Gegenbauer Partial Sum of a Piecewise Analytic Function
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+On Krylov Subspace Approximations to the Matrix Exponential Operator
+Normal rank
@@ Property / cites work @@
+Fourth-Order Time-Stepping for Stiff PDEs
@@ Property / cites work: Fourth-Order Time-Stepping for Stiff PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Linear barycentric rational quadrature
@@ Property / cites work: Linear barycentric rational quadrature / rank @@
+Normal rank
@@ Property / cites work @@
+The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Contour integral method for European options with jumps
+Normal rank
@@ Property / cites work @@
+Spectral methods for problems in complex geometries
+Normal rank
@@ Property / cites work @@
+Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
+Normal rank
@@ Property / cites work @@
+A multidomain spectral method for solving elliptic equations
+Normal rank
@@ Property / cites work @@
+Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
+Normal rank
@@ Property / cites work @@
+Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
+Normal rank
@@ Property / cites work @@
+Evaluating matrix functions for exponential integrators via Carathéodory-Fejér approximation and contour integrals
+Normal rank
@@ Property / cites work @@
+Lévy processes, polynomials and martingales
@@ Property / cites work: Lévy processes, polynomials and martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential time integration and Chebychev discretisation schemes for fast pricing of options
+Normal rank
@@ Property / cites work @@
+Q4904857
@@ Property / cites work: Q4904857 / rank @@
+Normal rank
@@ Property / cites work @@
+Is Gauss Quadrature Better than Clenshaw–Curtis?
+Normal rank
@@ Property / cites work @@
+Spectral Methods in MATLAB
@@ Property / cites work: Spectral Methods in MATLAB / rank @@
+Normal rank
@@ Property / cites work @@
+The Carathéodory–Fejér Method for Real Rational Approximation
+Normal rank
@@ Property / cites work @@
+Generation of Pseudospectral Differentiation Matrices I
+Normal rank