Pages that link to "Item:Q1298615"
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The following pages link to Penalty methods for American options with stochastic volatility (Q1298615):
Displaying 50 items.
- A comparative analysis of local meshless formulation for multi-asset option models (Q1655003) (← links)
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
- Asset retirement with infinitely repeated alternative replacements: harvest age and species choice in forestry (Q1656371) (← links)
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811) (← links)
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← links)
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff (Q1770204) (← links)
- On the use of boundary conditions for variational formulations arising in financial mathematics. (Q1855082) (← links)
- A penalty method for American options with jump diffusion processes (Q1889909) (← links)
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (Q1930396) (← links)
- Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
- A positivity-preserving numerical scheme for nonlinear option pricing models (Q1952786) (← links)
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach (Q1994245) (← links)
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (Q1999691) (← links)
- A local radial basis function method for pricing options under the regime switching model (Q2000056) (← links)
- Radial basis function partition of unity methods for pricing vanilla basket options (Q2006598) (← links)
- A power penalty approach to a mixed quasilinear elliptic complementarity problem (Q2052401) (← links)
- Option valuation under the VG process by a DG method. (Q2058996) (← links)
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
- A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities (Q2095644) (← links)
- Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
- An efficient finite element method for pricing American multi-asset put options (Q2198473) (← links)
- An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options (Q2207970) (← links)
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models (Q2227316) (← links)
- Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing (Q2242714) (← links)
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← links)
- Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
- First- and second-order necessary conditions via exact penalty functions (Q2349834) (← links)
- Power penalty method for a linear complementarity problem arising from American option valuation (Q2370044) (← links)
- High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
- Wireless network capacity management: a real options approach (Q2432936) (← links)
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446) (← links)
- Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing (Q2470180) (← links)
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities (Q2494013) (← links)
- Augmented Lagrangian method applied to American option pricing (Q2507936) (← links)
- A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654) (← links)
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
- Wellposedness of the boundary value formulation of a fixed strike Asian option (Q2570098) (← links)
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model (Q2661015) (← links)
- Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options (Q2668184) (← links)
- Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
- Pricing American options under multi-state regime switching with an efficient<i>L</i>- stable method (Q2804504) (← links)
- PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS (Q2841332) (← links)
