Pages that link to "Item:Q2804503"

The following pages link to Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503):

Displaying 16 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)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)
• Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing (Q6200827) (← links)
• Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps (Q6494191) (← links)