Pages that link to "Item:Q651445"

The following pages link to A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445):

Displaying 45 items.

• A comparative study on time-efficient methods to price compound options in the Heston model (Q316625) (← links)
• A predictor-corrector approach for pricing American options under the finite moment log-stable model (Q493985) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966) (← links)
• A HODIE finite difference scheme for pricing American options (Q667962) (← links)
• A new analytical approximation for European puts with stochastic volatility (Q972953) (← links)
• Exact and approximate solutions for options with time-dependent stochastic volatility (Q1630713) (← links)
• A comparative analysis of local meshless formulation for multi-asset option models (Q1655003) (← links)
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching (Q1656408) (← 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)
• Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
• A Longstaff and Schwartz approach to the early election problem (Q1929895) (← 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)
• An explicit closed-form analytical solution for European options under the CGMY model (Q2004808) (← links)
• Stock loan valuation under a stochastic interest rate model (Q2006468) (← links)
• Pricing European call options under a hard-to-borrow stock model (Q2009590) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• A quick operator splitting method for option pricing (Q2074881) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630) (← links)
• An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
• Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) (← links)
• A simple numerical method for pricing an American put option (Q2375408) (← links)
• An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
• Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← 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)
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029) (← links)
• A new integral equation formulation for American put options (Q4554433) (← links)
• Pricing American call options under a hard-to-borrow stock model (Q4575290) (← links)
• Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578) (← links)
• A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility (Q4903539) (← links)
• Multiscale methods for the valuation of American options with stochastic volatility (Q4903541) (← links)
• A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646) (← links)
• LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS (Q5158754) (← links)
• FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION (Q5213111) (← links)
• American option pricing under the double Heston model based on asymptotic expansion (Q5234286) (← links)
• Valuation of European Options Under an Uncertain Market Price of Volatility Risk (Q5879358) (← links)
• Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation (Q6101754) (← links)
• Pricing European options under stochastic looping contagion risk model (Q6179935) (← links)
• A robust numerical simulation of a fractional Black-Scholes equation for pricing American options (Q6598052) (← links)
• High order ADI splitting scheme for stochastic volatility model with jump (Q6665171) (← links)