Pages that link to "Item:Q952074"

The following pages link to A fast high-order finite difference algorithm for pricing American options (Q952074):

Displaying 34 items.

• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing (Q273385) (← links)
• A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
• An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
• Valuation of European continuous-installment options (Q660913) (← links)
• A HODIE finite difference scheme for pricing American options (Q667962) (← links)
• Pricing real estate index options by compactly supported radial-polynomial basis point interpolation (Q679600) (← links)
• A numerical study of Asian option with high-order compact finite difference scheme (Q721576) (← links)
• Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry (Q730511) (← links)
• Pricing European and American options by radial basis point interpolation (Q903013) (← links)
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options (Q907677) (← links)
• Numerical pricing of options using high-order compact finite difference schemes (Q932713) (← links)
• A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) (← links)
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
• Algorithms of finite difference for pricing American options under fractional diffusion models (Q1718197) (← links)
• Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
• Direct computation for American put option and free boundary using finite difference method (Q1943082) (← links)
• On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation (Q2135558) (← links)
• Pricing and simulation for real estate index options: radial basis point interpolation (Q2150396) (← links)
• Conservative third-order central-upwind schemes for option pricing problems (Q2296246) (← links)
• On a new family of radial basis functions: mathematical analysis and applications to option pricing (Q2406292) (← links)
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition (Q2415424) (← links)
• Efficient pricing of Bermudan options using recombining quadratures (Q2517493) (← links)
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems (Q2666189) (← links)
• Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← links)
• On boundary immobilization for one-dimensional Stefan-type problems with a moving boundary having initially parabolic-logarithmic behaviour (Q2700447) (← links)
• High-Order Compact Finite Difference Method for Black–Scholes PDE (Q2801927) (← links)
• A Numerical Approach for the American Call Option Pricing Model (Q3075297) (← links)
• A new radial basis functions method for pricing American options under Merton's jump-diffusion model (Q4903542) (← links)
• PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
• Radial-basis-function-based finite difference operator splitting method for pricing American options (Q5028586) (← links)
• An adaptive Monte Carlo algorithm for European and American options (Q5076663) (← links)
• A robust numerical simulation of a fractional Black-Scholes equation for pricing American options (Q6598052) (← links)
• Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options (Q6631815) (← links)