A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463): Difference between revisions

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-.1007/s10915-008-9267-8
@@ Property / DOI: 10.1007/s10915-008-9267-8 / rank @@
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+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
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+Implicit-explicit numerical schemes for jump-diffusion processes
+Normal rank
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+Design of high performance financial modelling environment
+Normal rank
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+Spectral Methods
@@ Property / cites work: Spectral Methods / rank @@
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+A spectral method for bonds
@@ Property / cites work: A spectral method for bonds / rank @@
+Normal rank
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+High-Order Methods for Incompressible Fluid Flow
@@ Property / cites work: High-Order Methods for Incompressible Fluid Flow / rank @@
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+Robust numerical methods for contingent claims under jump diffusion processes
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+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / DOI @@
+.1007/S10915-008-9267-8
@@ Property / DOI: 10.1007/S10915-008-9267-8 / rank @@
+Normal rank