Pages that link to "Item:Q5693199"
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The following pages link to A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (Q5693199):
Displayed 45 items.
- Optimal trade execution: a mean quadratic variation approach (Q318882) (← links)
- A reliable numerical method to price arithmetic Asian options (Q387463) (← links)
- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem (Q394918) (← links)
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem (Q413322) (← links)
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548) (← links)
- A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
- On the numerical solution of nonlinear option pricing equation in illiquid markets (Q524693) (← links)
- Pricing Asian options in a stochastic volatility model with jumps (Q529935) (← links)
- A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638) (← links)
- A numerical study of Asian option with high-order compact finite difference scheme (Q721576) (← links)
- Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866) (← links)
- An accurate binomial model for pricing American Asian option (Q890640) (← links)
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Infinite reload options: pricing and analysis (Q952078) (← links)
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- The pricing of Asian options in uncertain volatility model (Q1719127) (← links)
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) (← links)
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk (Q1738076) (← links)
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (Q1930397) (← links)
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs) (Q2243196) (← links)
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260) (← links)
- Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation (Q2334884) (← links)
- Pricing pension plans under jump-diffusion models for the salary (Q2400705) (← links)
- High-order compact finite difference scheme for pricing Asian option with moving boundary condition (Q2415424) (← links)
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361) (← links)
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods (Q2507719) (← links)
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs (Q2513556) (← links)
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523) (← links)
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model (Q2661015) (← links)
- Model and numerical methods for pricing renewable energy certificate derivatives (Q2684158) (← links)
- A meshless method for Asian style options pricing under the Merton jump-diffusion model (Q2804502) (← links)
- MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL (Q3087880) (← links)
- Numerical Methods for Non-Linear Black–Scholes Equations (Q3565099) (← links)
- On the numerical evaluation of option prices in the variance gamma model (Q3603600) (← links)
- Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options (Q4561939) (← links)
- OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE (Q4906544) (← links)
- Implications of a regime-switching model on natural gas storage valuation and optimal operation (Q5190131) (← links)
- IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models (Q5205236) (← links)
- NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
- HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT (Q5242951) (← links)
- Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework (Q6183818) (← links)