Pricing options under jump diffusion processes with fitted finite volume method (Q945264): Difference between revisions

@@ Property / DOI @@
-.1016/j.amc.2007.12.043
@@ Property / DOI: 10.1016/j.amc.2007.12.043 / rank @@
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@@ Property / author @@
-Songgui Wang
@@ Property / author: Songgui Wang / rank @@
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@@ Property / author @@
+Songgui Wang
@@ Property / author: Songgui Wang / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q59416196
@@ Property / Wikidata QID: Q59416196 / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2007.12.043
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@@ Property / OpenAlex ID @@
+W2136287637
@@ Property / OpenAlex ID: W2136287637 / rank @@
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@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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@@ Property / cites work @@
+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
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@@ 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 @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
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+Q3433874
@@ Property / cites work: Q3433874 / rank @@
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@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A fitted finite volume method for the valuation of options on assets with stochastic volatilities
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+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4003887
@@ Property / cites work: Q4003887 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
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@@ Property / cites work @@
+Finite element solution of diffusion problems with irregular data
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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+Power penalty method for a linear complementarity problem arising from American option valuation
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+Q5604166
@@ Property / cites work: Q5604166 / rank @@
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@@ Property / cites work @@
+Q3621206
@@ Property / cites work: Q3621206 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
+Normal rank
@@ Property / DOI @@
+.1016/J.AMC.2007.12.043
@@ Property / DOI: 10.1016/J.AMC.2007.12.043 / rank @@
+Normal rank