Pages that link to "Item:Q1889909"

The following pages link to A penalty method for American options with jump diffusion processes (Q1889909):

Displayed 50 items.

• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) ‎ (← links)
• Calibration and hedging under jump diffusion (Q375525) ‎ (← links)
• Option pricing under risk-minimization criterion in an incomplete market with the finite difference method (Q460210) ‎ (← links)
• Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) ‎ (← links)
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) ‎ (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) ‎ (← links)
• An iterative method for pricing American options under jump-diffusion models (Q534258) ‎ (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) ‎ (← links)
• A new predictor-corrector scheme for valuing American puts (Q620987) ‎ (← links)
• Option pricing in jump diffusion models with quadratic spline collocation (Q671091) ‎ (← links)
• A posteriori error analysis for a class of integral equations and variational inequalities (Q707582) ‎ (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) ‎ (← links)
• Numerical approach to asset pricing models with stochastic differential utility (Q853855) ‎ (← links)
• Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866) ‎ (← links)
• Numerical solution of two asset jump diffusion models for option valuation (Q928833) ‎ (← links)
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) ‎ (← links)
• Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) ‎ (← links)
• Penalty methods for the numerical solution of American multi-asset option problems (Q952073) ‎ (← links)
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) ‎ (← links)
• Efficient solution of a partial integro-differential equation in finance (Q952815) ‎ (← links)
• Pricing American options when asset prices jump (Q969504) ‎ (← links)
• Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129) ‎ (← links)
• Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) ‎ (← links)
• Exponential time integration for fast finite element solutions of some financial engineering problems (Q1002209) ‎ (← links)
• Intensity-based framework and penalty formulation of optimal stopping problems (Q1029998) ‎ (← links)
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (Q1044217) ‎ (← links)
• Optimal exercise boundary via intermediate function with jump risk (Q1684772) ‎ (← links)
• A high-order finite difference method for option valuation (Q1705003) ‎ (← links)
• Algorithms of finite difference for pricing American options under fractional diffusion models (Q1718197) ‎ (← links)
• Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (Q1731613) ‎ (← links)
• Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) ‎ (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) ‎ (← links)
• A penalized method for multivariate concave least squares with application to productivity analysis (Q1752904) ‎ (← links)
• Numerical valuation of options with jumps in the underlying (Q1775609) ‎ (← links)
• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (Q1930397) ‎ (← links)
• Radial basis functions with application to finance: American put option under jump diffusion (Q1931063) ‎ (← links)
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) ‎ (← links)
• Direct computation for American put option and free boundary using finite difference method (Q1943082) ‎ (← links)
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) ‎ (← links)
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) ‎ (← links)
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501) ‎ (← links)
• Radial basis function partition of unity methods for pricing vanilla basket options (Q2006598) ‎ (← links)
• A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion (Q2006652) ‎ (← links)
• Numerical methods for two person games arising from transboundary pollution with emission permit trading (Q2009234) ‎ (← links)
• Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps (Q2041006) ‎ (← links)
• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265) ‎ (← links)
• Multigrid method for pricing European options under the CGMY process (Q2126958) ‎ (← links)
• A combined compact difference scheme for option pricing in the exponential jump-diffusion models (Q2142005) ‎ (← links)
• An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) ‎ (← links)
• A new operator splitting method for American options under fractional Black-Scholes models (Q2203918) ‎ (← links)