Pages that link to "Item:Q2804503"
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The following pages link to Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503):
Displayed 14 items.
- ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (Q2115062) (← links)
- Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models (Q2118964) (← links)
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
- A high order method for pricing of financial derivatives using radial basis function generated finite differences (Q2221552) (← links)
- Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
- Pricing of Basket Options Using Dimension Reduction and Adaptive Finite Differences in Space, and Discontinuous Galerkin in Time (Q3179707) (← links)
- Pricing American options under jump-diffusion models using local weak form meshless techniques (Q4976348) (← links)
- High-order time stepping scheme for pricing American option under Bates model (Q5031791) (← links)
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance (Q5057699) (← links)
- On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287) (← links)
- <i>L</i><sup>∞</sup>-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing (Q6106750) (← links)