Pages that link to "Item:Q2468901"

The following pages link to Space-time adaptive finite difference method for European multi-asset options (Q2468901):

Displaying 22 items.

• Analytic models for parameter dependency in option price modelling (Q312173) (← links)
• A multigrid preconditioner for an adaptive Black-Scholes solver (Q533713) (← links)
• Accurate solution-adaptive finite difference schemes for coarse and fine grids (Q777566) (← links)
• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (Q904258) (← links)
• Improved radial basis function methods for multi-dimensional option pricing (Q952081) (← links)
• Pricing American options using a space-time adaptive finite difference method (Q982922) (← links)
• A hybrid Monte Carlo acceleration method of pricing basket options based on splitting (Q1639548) (← links)
• Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance (Q1725004) (← links)
• Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (Q1731613) (← links)
• Radial basis function generated finite differences for option pricing problems (Q1732412) (← links)
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501) (← links)
• Comparative performance of time spectral methods for solving hyperchaotic finance and cryptocurrency systems (Q2131704) (← links)
• Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (Q2212455) (← links)
• A high order method for pricing of financial derivatives using radial basis function generated finite differences (Q2221552) (← links)
• Second order accuracy finite difference methods for space-fractional partial differential equations (Q2400315) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time (Q3179707) (← links)
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
• An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options (Q6049303) (← links)
• On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE (Q6090285) (← links)
• On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs (Q6104881) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)