Pages that link to "Item:Q5030646"
From MaRDI portal
The following pages link to A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646):
Displaying 4 items.
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- Optimal non-uniform finite difference grids for the Black-Scholes equations (Q1998418) (← links)
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
- Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975) (← links)
