Pages that link to "Item:Q5315443"

The following pages link to Fast deterministic pricing of options on Lévy driven assets (Q5315443):

Displayed 50 items.

• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) ‎ (← links)
• Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs (Q431301) ‎ (← links)
• A finite element discretization method for option pricing with the Bates model (Q435146) ‎ (← links)
• On the calibration of local jump-diffusion asset price models (Q484208) ‎ (← links)
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) ‎ (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) ‎ (← links)
• On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) ‎ (← links)
• Hedging electricity swaptions using partial integro-differential equations (Q665443) ‎ (← links)
• A posteriori error analysis for a class of integral equations and variational inequalities (Q707582) ‎ (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) ‎ (← links)
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) ‎ (← links)
• Numerical solution of two asset jump diffusion models for option valuation (Q928833) ‎ (← links)
• Identification of the local speed function in a Lévy model for option pricing (Q935180) ‎ (← links)
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) ‎ (← links)
• Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) ‎ (← links)
• Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) ‎ (← links)
• Efficient solution of a partial integro-differential equation in finance (Q952815) ‎ (← links)
• Numerical methods for Lévy processes (Q964687) ‎ (← links)
• Smart expansion and fast calibration for jump diffusions (Q964692) ‎ (← links)
• Wavelet solution of variable order pseudodifferential equations (Q987714) ‎ (← links)
• Exponential time integration for fast finite element solutions of some financial engineering problems (Q1002209) ‎ (← links)
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) ‎ (← links)
• Numerical valuation of options with jumps in the underlying (Q1775609) ‎ (← links)
• A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices (Q1926943) ‎ (← links)
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) ‎ (← links)
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) ‎ (← links)
• Option valuation under the VG process by a DG method. (Q2058996) ‎ (← links)
• Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (Q2238770) ‎ (← links)
• DG method for pricing European options under Merton jump-diffusion model. (Q2280454) ‎ (← links)
• Asymptotically compatible schemes for the approximation of fractional Laplacian and related nonlocal diffusion problems on bounded domains (Q2374379) ‎ (← links)
• Linear complexity solution of parabolic integro-differential equations (Q2502236) ‎ (← links)
• A finite elements approach for spread contract valuation via associated two-dimensional PIDE (Q2685272) ‎ (← links)
• Leveraged Lévy processes as models for stock prices (Q2786277) ‎ (← links)
• Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations (Q2821763) ‎ (← links)
• hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES (Q2891185) ‎ (← links)
• Wavelet Galerkin pricing of American options on Lévy driven assets (Q3375382) ‎ (← links)
• Necessary Optimality Conditions for the Control of Partial Integro-Differential Equations (Q3462306) ‎ (← links)
• Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces (Q3551497) ‎ (← links)
• Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options (Q4561939) ‎ (← links)
• Dirichlet Forms and Finite Element Methods for the SABR Model (Q4579839) ‎ (← links)
• Variational Solutions of the Pricing PIDEs for European Options in Lévy Models (Q4586315) ‎ (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) ‎ (← links)
• Finite element approximation of an obstacle problem for a class of integro–differential operators (Q5110261) ‎ (← links)
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) ‎ (← links)
• Numerical solutions of Black-Scholes integro-differential equations with convergence analysis (Q5229826) ‎ (← links)
• Implied stopping rules for American basket options from Markovian projection (Q5234298) ‎ (← links)
• ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS (Q5386671) ‎ (← links)
• PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES (Q5487831) ‎ (← links)
• The obstacle problem for semilinear parabolic partial integro-differential equations (Q5496375) ‎ (← links)
• (Q5862234) ‎ (← links)