Pages that link to "Item:Q1881815"
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The following pages link to Derivative securities and difference methods. (Q1881815):
Displayed 30 items.
- Semi-implicit integration factor methods on sparse grids for high-dimensional systems (Q349859) (← links)
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval (Q393762) (← links)
- Fast orthogonal transforms and generation of Brownian paths (Q413477) (← links)
- Limitations and improvements of standard spectral methods for pricing standard options (Q531074) (← links)
- Valuing executive stock options: a quadratic approximation (Q613458) (← links)
- A numerical analysis of American options with regime switching (Q618604) (← links)
- An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
- Pricing of margin call stock loan based on the FMLS (Q779532) (← links)
- Numerical pricing of options using high-order compact finite difference schemes (Q932713) (← links)
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) (← links)
- A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
- On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093) (← links)
- A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) (← links)
- On the numerical solution of nonlinear Black-Scholes equations (Q1004743) (← links)
- Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (Q2004440) (← links)
- High order approximation of derivatives with applications to pricing of financial derivatives (Q2043182) (← links)
- Portfolio optimization model with and without options under additional constraints (Q2217040) (← links)
- On the multidimensional Black-Scholes partial differential equation (Q2288905) (← links)
- Iterative speedup by utilizing symmetric data in pricing options with two risky assets (Q2415032) (← links)
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval (Q2514271) (← links)
- Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing (Q2516793) (← links)
- Rational Spectral Collocation Method for Pricing American Vanilla and Butterfly Spread Options (Q2942223) (← links)
- Efficient finite difference method for optimal portfolio in a power utility regime-switching model (Q5031703) (← links)
- Positive numerical splitting method for the <scp>H</scp>ull and <scp>W</scp>hite 2D <scp>B</scp>lack–<scp>S</scp>choles equation (Q5252274) (← links)
- Efficient<i>d</i>-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations (Q5308814) (← links)
- Convergence of a difference scheme for the heat equation in a long strip by artificial boundary conditions (Q5438250) (← links)
- With or without replacement? Sampling uncertainty in Shepp’s urn scheme (Q6102059) (← links)
- A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing (Q6133000) (← links)
- Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics (Q6153232) (← links)
- Richardson extrapolation technique for generalized Black-Scholes PDEs for European options (Q6172880) (← links)