Pages that link to "Item:Q1889909"
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The following pages link to A penalty method for American options with jump diffusion processes (Q1889909):
Displaying 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)
