Pages that link to "Item:Q5315457"

The following pages link to Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation (Q5315457):

Displaying 25 items.

• High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
• Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (Q503351) (← links)
• A numerical study of Asian option with high-order compact finite difference scheme (Q721576) (← links)
• A numerical method for European option pricing with transaction costs nonlinear equation (Q969982) (← links)
• Computing option pricing models under transaction costs (Q980254) (← links)
• Numerical analysis and simulation of option pricing problems modeling illiquid markets (Q988271) (← links)
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations (Q1004744) (← links)
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets (Q1761652) (← links)
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE (Q2175832) (← links)
• Group classification for a class of non-linear models of the RAPM type (Q2211989) (← links)
• Robust numerical algorithm to the European option with illiquid markets (Q2284751) (← links)
• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs (Q2307920) (← links)
• A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option (Q2315945) (← links)
• Compact finite difference method for American option pricing (Q2370586) (← links)
• High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition (Q2415424) (← links)
• Numerical solution of generalized Black-Scholes model (Q2423065) (← links)
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance (Q2450494) (← links)
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260) (← links)
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
• High-Order Compact Finite Difference Method for Black–Scholes PDE (Q2801927) (← 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)
• High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep (Q6143260) (← links)
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets (Q6188915) (← links)