Pages that link to "Item:Q897123"

The following pages link to Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123):

Displaying 20 items.

• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265) (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
• Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (Q2115062) (← links)
• Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models (Q2118964) (← links)
• An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
• Wavelet-Galerkin method for second-order integro-differential equations on product domains (Q2232049) (← links)
• FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
• Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model (Q4626533) (← links)
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (Q4972114) (← links)
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) (← links)
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)
• Radial basis function partition of unity procedure combined with the reduced-order method for solving Zakharov-Rubenchik equations (Q6137970) (← links)
• High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep (Q6143260) (← links)
• Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model (Q6144313) (← links)
• Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing (Q6200827) (← links)
• Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps (Q6494191) (← links)