Q5033284 (Q5033284): Difference between revisions

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+Russian and American put options under exponential phase-type Lévy models.
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+The Pricing of Options and Corporate Liabilities
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
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+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
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+Implicit-explicit numerical schemes for jump-diffusion processes
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+AMERICAN OPTIONS WITH REGIME SWITCHING
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+On the error estimate of finite difference method for the obstacle problem
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+A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
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+A front-fixing finite element method for the valuation of American options with regime switching
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+On perpetual American put valuation and first-passage in a regime-switching model with jumps
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+Option Pricing With Markov-Modulated Dynamics
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+A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
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+A fast stationary iterative method for a partial integro-differential equation in pricing options
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+Option pricing when underlying stock returns are discontinuous
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+Optimal stopping and perpetual options for Lévy processes
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+An iterative method for pricing American options under jump-diffusion models
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+Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
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+Financial Modelling with Jump Processes
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+A generalized Newton method for non-Hermitian positive definite linear complementarity problem
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+Closed-Form Solutions for Perpetual American Put Options with Regime Switching
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