Optimal non-uniform finite difference grids for the Black-Scholes equations (Q1998418): Difference between revisions

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+A computational method to price with transaction costs under the nonlinear Black-Scholes model
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+Multi-asset Black-Scholes model as a variable second class constrained dynamical system
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+A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
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+ROBUST AND ACCURATE METHOD FOR THE BLACK-SCHOLES EQUATIONS WITH PAYOFF-CONSISTENT EXTRAPOLATION
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+A high-order finite difference method for option valuation
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+High order method for Black-Scholes PDE
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+Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
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+Q2884851
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+Radial-basis-function-based finite difference operator splitting method for pricing American options
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+Far Field Boundary Conditions for Black--Scholes Equations
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+A computationally efficient numerical approach for multi-asset option pricing
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+A practical finite difference method for the three-dimensional Black-Scholes equation
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+Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
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+Block-centred finite difference methods on rectangular composite grids with refinement in space for parabolic equation
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+CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
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+Radial basis function generated finite differences for option pricing problems
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+A high order method for pricing of financial derivatives using radial basis function generated finite differences
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+A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme
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+Pricing options under stochastic volatility jump model: a stable adaptive scheme
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+Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
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+Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior
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