Pages that link to "Item:Q4653112"
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The following pages link to A novel fitted finite volume method for the Black-Scholes equation governing option pricing (Q4653112):
Displaying 50 items.
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval (Q393762) (← links)
- Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing (Q409974) (← links)
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (Q411091) (← links)
- A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond (Q411529) (← links)
- Pricing American bond options using a penalty method (Q445080) (← links)
- On power penalty methods for linear complementarity problems arising from American option pricing (Q496599) (← links)
- A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
- A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200) (← links)
- Evaluating American put options on zero-coupon bonds by a penalty method (Q544230) (← links)
- A brief survey on numerical methods for solving singularly perturbed problems (Q618050) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- A penalty method for a finite-dimensional obstacle problem with derivative constraints (Q742393) (← links)
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
- A power penalty method for linear complementarity problems (Q935226) (← links)
- Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
- A computational scheme for uncertain volatility model in option pricing (Q1030664) (← links)
- Fast computational approach to the delta Greek of non-linear Black-Scholes equations (Q1636795) (← links)
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
- Modeling and computation of water management by real options (Q1716925) (← links)
- Cubic spline method for a generalized Black-Scholes equation (Q1718497) (← links)
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations (Q1723304) (← links)
- Power penalty approach to American options pricing under regime switching (Q1730815) (← links)
- Applying a power penalty method to numerically pricing American bond options (Q1762398) (← links)
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation (Q1933924) (← links)
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
- An empirical study of transboundary air pollution of the Beijing-Tianjin region (Q1988484) (← links)
- Numerical approximation of a time-fractional Black-Scholes equation (Q1999677) (← links)
- A super-convergent unsymmetric finite volume method for convection-diffusion equations (Q2000618) (← links)
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing (Q2006103) (← links)
- A fitted finite volume method for real option valuation of risks in climate change (Q2006268) (← links)
- A finite volume difference scheme for a model of settling particle dispersion from an elevated source in an open-channel flow (Q2013719) (← links)
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion (Q2039197) (← links)
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265) (← links)
- A modification of Galerkin's method for option pricing (Q2086928) (← links)
- Fitted finite volume method for unsaturated flow parabolic problems with space degeneration (Q2128479) (← links)
- An accurate solution for the generalized Black-Scholes equations governing option pricing (Q2132964) (← links)
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models (Q2142005) (← links)
- A fitted finite volume method for stochastic optimal control problems in finance (Q2144798) (← links)
- Numerical simulation for European and American option of risks in climate change of Three Gorges Reservoir Area (Q2146438) (← links)
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE (Q2175832) (← links)
- Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method (Q2190271) (← links)
- Modeling and computation of mean field equilibria in producers' game with emission permits trading (Q2198892) (← links)
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (Q2223806) (← links)
- Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing (Q2242714) (← links)
- A power penalty approach to a nonlinear complementarity problem (Q2270328) (← links)
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
- Numerical methods to simulate moisture dynamics in fibrous sheet (Q2311179) (← links)
- A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option (Q2315945) (← links)
- A power penalty approach to a discretized obstacle problem with nonlinear constraints (Q2329667) (← links)
- Power penalty method for a linear complementarity problem arising from American option valuation (Q2370044) (← links)
