Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (Q5372098): Difference between revisions

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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+Modulus-based matrix splitting iteration methods for linear complementarity problems
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+The Pricing of Options and Corporate Liabilities
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+A penalty method for American options with jump diffusion processes
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+Robust numerical methods for contingent claims under jump diffusion processes
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+An iterative method for pricing American options under jump-diffusion models
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+A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
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+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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+Q3621206
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+Pricing options under jump diffusion processes with fitted finite volume method
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+MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS
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+Augmented Lagrangian method applied to American option pricing
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+Q3571744
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+.4208/EAJAM.260316.061016A
@@ Property / DOI: 10.4208/EAJAM.260316.061016A / rank @@
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