Efficient solution of a partial integro-differential equation in finance (Q952815): Difference between revisions

@@ Property / DOI @@
-.1016/j.apnum.2007.11.002
@@ Property / DOI: 10.1016/j.apnum.2007.11.002 / rank @@
-Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Implicit-explicit numerical schemes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Circulant Preconditioners for Hermitian Toeplitz Systems
+Normal rank
@@ Property / cites work @@
+The Spectrum of a Family of Circulant Preconditioned Toeplitz Systems
+Normal rank
@@ Property / cites work @@
+The circulant operator in the Banach algebra of matrices
+Normal rank
@@ Property / cites work @@
+The Spectra of Super-Optimal Circulant Preconditioned Toeplitz Systems
+Normal rank
@@ Property / cites work @@
+Circulant Preconditioners for Toeplitz Matrices with Positive continuous Generating Functions
+Normal rank
@@ Property / cites work @@
+Pricing contingent claims on stocks driven by Lévy processes
+Normal rank
@@ Property / cites work @@
+An Optimal Circulant Preconditioner for Toeplitz Systems
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Q3208805
@@ Property / cites work: Q3208805 / rank @@
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Q5689624
@@ Property / cites work: Q5689624 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3752135
@@ Property / cites work: Q3752135 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Some Aspects of Circulant Preconditioners
@@ Property / cites work: Some Aspects of Circulant Preconditioners / rank @@
+Normal rank
@@ Property / cites work @@
+Q4327532
@@ Property / cites work: Q4327532 / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Wavelet Galerkin pricing of American options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
+Normal rank
@@ Property / cites work @@
+Fast deterministic pricing of options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q4828275
@@ Property / cites work: Q4828275 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3889203
@@ Property / cites work: Q3889203 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4486401
@@ Property / cites work: Q4486401 / rank @@
+Normal rank
@@ Property / cites work @@
+A Proposal for Toeplitz Matrix Calculations
@@ Property / cites work: A Proposal for Toeplitz Matrix Calculations / rank @@
+Normal rank
@@ Property / cites work @@
+A decomposition of Toeplitz matrices and optimal circulant preconditioning
+Normal rank
@@ Property / cites work @@
+Optimal and Superoptimal Circulant Preconditioners
+Normal rank
@@ Property / DOI @@
+.1016/J.APNUM.2007.11.002
@@ Property / DOI: 10.1016/J.APNUM.2007.11.002 / rank @@
+Normal rank