Pages that link to "Item:Q5438239"

The following pages link to Efficient numerical methods for pricing American options under stochastic volatility (Q5438239):

Displaying 48 items.

• \(hp\)-adaptive IPDG/TDG-FEM for parabolic obstacle problems (Q316546) (← links)
• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
• Approximating stochastic volatility by recombinant trees (Q744390) (← links)
• Operator splitting methods for pricing American options under stochastic volatility (Q841111) (← links)
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
• Pricing European and American options by radial basis point interpolation (Q903013) (← links)
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
• American option pricing under stochastic volatility: an empirical evaluation (Q970137) (← links)
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811) (← links)
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← links)
• Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market (Q1722394) (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
• Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (Q2004605) (← links)
• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
• A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities (Q2095644) (← links)
• Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
• Pricing real estate index options under stochastic interest rates (Q2145575) (← links)
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (Q2204419) (← links)
• Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260) (← links)
• Valuing switching options with the moving-boundary method (Q2246609) (← links)
• High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← 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)
• Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model (Q2661015) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS (Q2841332) (← links)
• An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595) (← links)
• BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS (Q2875727) (← links)
• On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430) (← links)
• Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models (Q2941477) (← links)
• HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs (Q2947344) (← links)
• On the solution of complementarity problems arising in American options pricing (Q3096882) (← links)
• American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations (Q3176517) (← links)
• Positive numerical splitting method for the <scp>H</scp>ull and <scp>W</scp>hite 2D <scp>B</scp>lack–<scp>S</scp>choles equation (Q5252274) (← links)
• High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility (Q6040736) (← links)
• A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models (Q6044013) (← links)