The following pages link to BENCHOP (Q26763):
Displayed 37 items.
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options (Q727900) (← links)
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (Q1631428) (← links)
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes (Q1659017) (← 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)
- Solution of option pricing equations using orthogonal polynomial expansion. (Q1984560) (← links)
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501) (← links)
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options (Q2207970) (← 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)
- Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
- Valuation of electricity storage contracts using the COS method (Q2245038) (← links)
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618) (← links)
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options (Q2291997) (← links)
- Conservative third-order central-upwind schemes for option pricing problems (Q2296246) (← links)
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
- Preconditioning for radial basis function partition of unity methods (Q2629254) (← links)
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
- Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)
- Scientific Computing (Q4583365) (← links)
- A Least Squares Radial Basis Function Partition of Unity Method for Solving PDEs (Q4594177) (← links)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method (Q4628394) (← links)
- The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
- A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems (Q4959381) (← links)
- Speed-up credit exposure calculations for pricing and risk management (Q4991089) (← links)
- A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ (Q5014241) (← links)
- Speed and biases of Fourier-based pricing choices: a numerical analysis (Q5028604) (← links)
- Isogeometric analysis in option pricing (Q5031706) (← links)
- DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD (Q5070768) (← links)
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) (← links)
- An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes (Q5139234) (← links)
- Uncertainty Quantification of Derivative Instruments (Q5372104) (← links)
- NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS (Q5376999) (← links)
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting (Q5742555) (← links)
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS (Q5878692) (← links)