Pages that link to "Item:Q879424"
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The following pages link to On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options (Q879424):
Displayed 24 items.
- Exponentially fitted TDRK pairs for the Schrödinger equation (Q500683) (← links)
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- Numerical valuation of discrete double barrier options (Q847225) (← links)
- Smoothing schemes for reaction-diffusion systems with nonsmooth data (Q953399) (← links)
- A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
- Time discretization and stability regions for dissipative-dispersive Kuramoto-Sivashinsky equation arising in turbulent gas flow over laminar liquid (Q1675993) (← links)
- A positivity-preserving numerical scheme for nonlinear option pricing models (Q1952786) (← links)
- An efficient computational algorithm for pricing European, barrier and American options (Q1993476) (← links)
- Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
- Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation (Q2051161) (← links)
- A class of fourth-order Padé schemes for fractional exotic options pricing model (Q2127533) (← links)
- A numerical method for pricing discrete double barrier option by Chebyshev polynomials (Q2184388) (← links)
- On the class of high order time stepping schemes based on Padé approximations for the numerical solution of Burgers' equation (Q2378786) (← links)
- Efficient and fast numerical method for pricing discrete double barrier option by projection method (Q2401999) (← links)
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet (Q2406310) (← links)
- A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (Q2804029) (← links)
- Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507) (← links)
- An ETD Crank-Nicolson method for reaction-diffusion systems (Q2910812) (← links)
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility (Q3636740) (← links)
- (Q4647038) (← links)
- The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (Q4903545) (← links)
- Option pricing and Greeks via a moving least square meshfree method (Q5247232) (← links)
- Asymptotics and discretization of a weakly singular kernel: application to viscous flows in a network of thin tubes (Q6095070) (← links)
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes (Q6140451) (← links)