An integration preconditioning method for solving option pricing problems
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Cites work
- A comparative analysis of local meshless formulation for multi-asset option models
- A comparison study of ADI and operator splitting methods on option pricing models
- A well-conditioned collocation method using a pseudospectral integration matrix
- Adaptive least squares finite integration method for higher-dimensional singular perturbation problems with multiple boundary layers
- An inverse finite element method for pricing American options
- Application of the local radial basis function-based finite difference method for pricing American options
- Finite integration method for nonlocal elastic bar under static and dynamic loads
- Finite integration method for partial differential equations
- Finite integration method for solving multi-dimensional partial differential equations
- Finite integration method with radial basis function for solving stiff problems
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- scientific article; zbMATH DE number 701830 (Why is no real title available?)
- Monte Carlo valuation of American options
- Options valuation by using radial basis function approximation
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Reconstruction of inaccessible boundary value in a sideways parabolic problem with variable coefficients -- forward collocation with finite integration method
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- Some mathematical results in the pricing of American options
- Spectral Methods
- Spectral methods. Algorithms, analysis and applications.
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
Cited in
(7)- High order approximation of derivatives with applications to pricing of financial derivatives
- Z-Transform and preconditioning techniques for option pricing
- Generalized finite integration method with space-time decomposition technique for solving high dimensional option pricing models
- Fictitious finite integration method for solving high order partial differential equations
- Fast finite integration method with variational limit for multi-dimensional partial differential equations
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- Predictor-corrector balance method for the worst-case 1D option pricing
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