On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430): Difference between revisions

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+Multigrid for American option pricing with stochastic volatility
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+High-order compact finite difference scheme for option pricing in stochastic volatility models
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+Asset pricing under information with stochastic volatility
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+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
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+High Order Compact Finite Difference Schemes for a Nonlinear  Black-Scholes Equation
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+ADI finite difference schemes for option pricing in the Heston model with correlation
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+Efficient numerical methods for pricing American options under stochastic volatility
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+High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
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+An efficient method for finding the minimum of a function of several variables without calculating derivatives
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+A spectral element approximation to price European options with one asset and stochastic volatility
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+Penalty methods for American options with stochastic volatility
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+Publication:2905430