PDE methods for pricing barrier options (Q1583144): Difference between revisions

@@ Property / author @@
-Kenneth Vetzal
@@ Property / author: Kenneth Vetzal / rank @@
-Normal rank
@@ Property / author @@
-Q175883
@@ Property / author: Q175883 / rank @@
-Normal rank
@@ Property / author @@
+Kenneth Vetzal
@@ Property / author: Kenneth Vetzal / rank @@
+Normal rank
@@ Property / author @@
+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+An explicit finite difference approach to the pricing of barrier options
+Normal rank
@@ Property / cites work @@
+Q4868578
@@ Property / cites work: Q4868578 / rank @@
+Normal rank
@@ Property / cites work @@
+A Continuity Correction for Discrete Barrier Options
+Normal rank
@@ Property / cites work @@
+Connecting discrete and continuous path-dependent options
+Normal rank
@@ Property / cites work @@
+Two extensions to barrier option valuation
@@ Property / cites work: Two extensions to barrier option valuation / rank @@
+Normal rank
@@ Property / cites work @@
+Fast numerical valuation of American, exotic and complex options
+Normal rank
@@ Property / cites work @@
+A framework for valuing corporate securities
@@ Property / cites work: A framework for valuing corporate securities / rank @@
+Normal rank
@@ Property / cites work @@
+The valuation of American barrier options using the decomposition technique
+Normal rank
@@ Property / cites work @@
+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
+Normal rank
@@ Property / cites work @@
+Variational inequalities and the pricing of American options
+Normal rank
@@ Property / cites work @@
+Pricing Options With Curved Boundaries<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Characterization of Optimal Stepsize Sequences for Methods for Stiff Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+The valuation and behavior of Black-Scholes options subject to intertemporal default risk
+Normal rank
@@ Property / cites work @@
+Q5664923
@@ Property / cites work: Q5664923 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3696432
@@ Property / cites work: Q3696432 / rank @@
+Normal rank
@@ Property / cites work @@
+Some mathematical results in the pricing of American options
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0165-1889(00)00002-6
+Normal rank
@@ Property / OpenAlex ID @@
+W1978044135
@@ Property / OpenAlex ID: W1978044135 / rank @@
+Normal rank