Pages that link to "Item:Q2706366"
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The following pages link to Far Field Boundary Conditions for Black--Scholes Equations (Q2706366):
Displaying 50 items.
- Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing (Q273385) (← links)
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
- An alternating-direction implicit difference scheme for pricing Asian options (Q364443) (← links)
- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem (Q394918) (← links)
- Numerical solution of an optimal investment problem with proportional transaction costs (Q415202) (← links)
- Option pricing with a direct adaptive sparse grid approach (Q432809) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
- Constructing positive reliable numerical solution for American call options: a new front-fixing approach (Q491062) (← links)
- A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications (Q499268) (← links)
- A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty (Q507921) (← links)
- On the numerical solution of nonlinear option pricing equation in illiquid markets (Q524693) (← links)
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (Q534248) (← links)
- A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200) (← links)
- An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
- Numerical analysis and computing for option pricing models in illiquid markets (Q622980) (← links)
- A HODIE finite difference scheme for pricing American options (Q667962) (← links)
- A numerical analysis of variational valuation techniques for derivative securities (Q702595) (← links)
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry (Q730511) (← links)
- On the valuation of interest rate products under multi-factor HJM term-structures (Q731956) (← links)
- A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem (Q747919) (← links)
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models (Q819096) (← links)
- Numerical solution of a free boundary problem associated to investments with instantaneous irreversible environmental effects (Q846454) (← links)
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
- Laplace transform and finite difference methods for the Black-Scholes equation (Q902554) (← links)
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (Q904258) (← links)
- Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
- Penalty methods for the numerical solution of American multi-asset option problems (Q952073) (← links)
- A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
- On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093) (← links)
- A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) (← links)
- Controllability and hedgibility of Black-Scholes equations with \(N\) stocks (Q983690) (← links)
- Numerical analysis and simulation of option pricing problems modeling illiquid markets (Q988271) (← links)
- Sequential quadratic programming method for volatility estimation in option pricing (Q1014041) (← links)
- Exact null controllability of a semilinear parabolic equation arising in finance (Q1036641) (← links)
- Pricing equity-linked pure endowments via the principle of equivalent utility. (Q1423334) (← links)
- Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383) (← links)
- The evaluation of compound options based on RBF approximation methods (Q1654739) (← links)
- An efficient method for solving spread option pricing problem: numerical analysis and computing (Q1669206) (← links)
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- Cubic spline method for a generalized Black-Scholes equation (Q1718497) (← links)
- Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations (Q1723304) (← links)
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (Q1731613) (← links)
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets (Q1761652) (← links)
- Numerical techniques for pricing callable bonds with notice (Q1764750) (← links)
- Estimation of local volatilities in a generalized Black-Scholes model (Q1765852) (← links)
- Operator splitting methods for American option pricing. (Q1767129) (← links)
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff (Q1770204) (← links)
