Pages that link to "Item:Q4541576"
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The following pages link to Multigrid for American option pricing with stochastic volatility (Q4541576):
Displaying 50 items.
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← 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 spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966) (← 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)
- TVD, WENO and blended BDF discretizations for Asian options (Q706545) (← links)
- Pricing American options with uncertain volatility through stochastic linear complementarity models (Q763392) (← links)
- Operator splitting methods for pricing American options under stochastic volatility (Q841111) (← links)
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← 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)
- On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093) (← links)
- A fast Fourier transform technique for pricing American options under stochastic volatility (Q965893) (← links)
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
- Pricing American options using a space-time adaptive finite difference method (Q982922) (← links)
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options'' (Q1780893) (← links)
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574) (← links)
- Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach (Q1994245) (← links)
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
- Pricing European call options under a hard-to-borrow stock model (Q2009590) (← links)
- Removing the correlation term in option pricing Heston model: numerical analysis and computing (Q2015262) (← links)
- A quick operator splitting method for option pricing (Q2074881) (← 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)
- Multigrid method for pricing European options under the CGMY process (Q2126958) (← links)
- Penalty and penalty-like methods for nonlinear HJB PDEs (Q2139765) (← links)
- An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
- An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← 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)
- Space-time adaptive finite difference method for European multi-asset options (Q2468901) (← links)
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233) (← links)
- Option valuation by using discrete singular convolution (Q2570721) (← links)
- Option pricing under the jump diffusion and multifactor stochastic processes (Q2631912) (← links)
- Multilevel Preconditioning for Variational Problems (Q2790390) (← 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)
- BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS (Q2875727) (← links)
- On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES (Q3043609) (← links)
