Pages that link to "Item:Q2517498"

The following pages link to High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498):

Displaying 17 items.

• Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
• An efficient method for solving spread option pricing problem: numerical analysis and computing (Q1669206) (← links)
• A high-order finite difference method for option valuation (Q1705003) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (Q2004440) (← links)
• A robust spline collocation method for pricing American put options (Q2296452) (← links)
• High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance (Q2406636) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
• An efficient high-order compact finite difference scheme based on proper orthogonal decomposition for the multi-dimensional parabolic equation (Q2668418) (← links)
• High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions (Q2945680) (← links)
• Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509) (← links)
• Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids (Q4626510) (← links)
• (Q5039647) (← links)
• High order ADI splitting scheme for stochastic volatility model with jump (Q6665171) (← links)