BENCHOP – The BENCHmarking project in option pricing (Q2804496): Difference between revisions

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+Q3331506
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+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+A guide to RBF-generated finite differences for nonlinear transport: shallow water simulations on a sphere
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+Stabilization of RBF-generated finite difference methods for convective PDEs
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+Arbitrage-free SVI volatility surfaces
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+Conditioning on One-Step Survival for Barrier Option Simulations
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Operator splitting methods for American option pricing.
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+Grid-free adaptive semi-Lagrangian advection using radial basis functions
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+COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+Multiscale approximation for functions in arbitrary Sobolev spaces by scaled radial basis functions on the unit sphere
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+Sequential calibration of options
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Option pricing when underlying stock returns are discontinuous
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+EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS
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+Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences
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+Stylised facts of financial time series and hidden Markov models in continuous time
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+Pricing American options using a space-time adaptive finite difference method
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+Improved radial basis function methods for multi-dimensional option pricing
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+On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
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+Numerical solution of stochastic differential equations with jumps in finance
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+Finite element solution of diffusion problems with irregular data
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+Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
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+IMEX schemes for pricing options under jump-diffusion models
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+An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
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+On using radial basis functions in a ``finite difference mode'' with applications to elasticity problems
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+Multiscale analysis in Sobolev spaces on bounded domains with zero boundary values
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+Q3594586
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+Scattered node compact finite difference-type formulas generated from radial basis functions
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+journals/ijcm/SydowHLLMPSSSTW15
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