Pages that link to "Item:Q442737"

The following pages link to High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737):

Displaying 34 items.

• Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
• Computing American option price under regime switching with rationality parameter (Q520865) (← links)
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
• Fourth order compact schemes for variable coefficient parabolic problems with mixed derivatives (Q1646981) (← links)
• A high-order finite difference method for option valuation (Q1705003) (← links)
• A fourth-order spatial accurate and practically stable compact scheme for the Cahn-Hilliard equation (Q1782929) (← links)
• Compact filtering as a regularization technique for a backward heat conduction problem (Q1986140) (← links)
• Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (Q2004440) (← links)
• A new efficient numerical method for solving American option under regime switching model (Q2006602) (← links)
• Removing the correlation term in option pricing Heston model: numerical analysis and computing (Q2015262) (← links)
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE (Q2175832) (← links)
• Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients (Q2186918) (← links)
• A high order method for pricing of financial derivatives using radial basis function generated finite differences (Q2221552) (← links)
• Compact higher order discretization of 3D generalized convection diffusion equation with variable coefficients in nonuniform grids (Q2246502) (← links)
• Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
• A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option (Q2315945) (← 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 pricing Asian option with moving boundary condition (Q2415424) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
• An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
• The Heston stochastic volatility model has a boundary trace at zero volatility (Q2680218) (← links)
• On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430) (← links)
• High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions (Q2945680) (← links)
• Calibration to American options: numerical investigation of the de-Americanization method (Q4554482) (← links)
• FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
• Numerical Analysis of Novel Finite Difference Methods (Q4626501) (← links)
• Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509) (← links)
• The STRIKE Computational Finance Toolbox (Q4626527) (← links)
• Perpetual American Put Option: an Error Estimator for Non-Standard Finite Difference Scheme (Q5049834) (← links)
• LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS (Q5158754) (← links)
• High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility (Q6040736) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)