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

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(4 intermediate revisions by 4 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.amc.2007.12.043 / rank
Normal rank
 
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.amc.2007.12.043 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2136287637 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical valuation of options with jumps in the underlying / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust numerical methods for contingent claims under jump diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3433874 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Convergence for Valuing American Options Using a Penalty Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: A fitted finite volume method for the valuation of options on assets with stochastic volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794126 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4003887 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite element solution of diffusion problems with irregular data / rank
 
Normal rank
Property / cites work
 
Property / cites work: A novel fitted finite volume method for the Black-Scholes equation governing option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Power penalty method for a linear complementarity problem arising from American option valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5604166 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3621206 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Analysis of American Option Pricing in a Jump-Diffusion Model / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.AMC.2007.12.043 / rank
 
Normal rank

Latest revision as of 09:17, 10 December 2024

scientific article
Language Label Description Also known as
English
Pricing options under jump diffusion processes with fitted finite volume method
scientific article

    Statements

    Pricing options under jump diffusion processes with fitted finite volume method (English)
    0 references
    0 references
    0 references
    12 September 2008
    0 references
    jump diffusion processes
    0 references
    finite volume method
    0 references
    partial integro-differential equation
    0 references
    penalty method
    0 references
    FFT
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references