Computational Methods for Option Pricing
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- A mixed PDE/Monte-Carlo method for stochastic volatility models
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
- Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
- Spectral element method for parabolic initial value problem with non-smooth data: analysis and application
- Numerical solution of time-fractional Black-Scholes equation
- Power penalty approach to American options pricing under regime switching
- Semismooth Newton methods with domain decomposition for American options
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- Computational methods for quantitative finance. Finite element methods for derivative pricing
- Non-incremental boundary element discretization of parabolic models based on the use of the proper generalized decompositions
- Mixing Monte-Carlo and partial differential equations for pricing options
- A non linear approximation method for solving high dimensional partial differential equations: application in finance
- Nonconforming least-squares spectral element method for European options
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- Data driven recovery of local volatility surfaces
- Fast reconstruction of time-dependent market volatility for European options
- Penalty method for indifference pricing of American option in a liquidity switching market
- Path integral Monte Carlo method for option pricing
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Numerical techniques for determining implied volatility in option pricing
- Extensions of the deep Galerkin method
- Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients
- Spectrum preservers revisited
- An efficient numerical method for the valuation of American multi-asset options
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Error estimates for backward Euler finite element approximations of American call option valuation
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Wavelet-Galerkin method for second-order integro-differential equations on product domains
- Local volatility dynamic models
- Distribution functions of Poisson random integrals: analysis and computation
- DG method for pricing European options under Merton jump-diffusion model.
- The primal-dual active set method for a class of nonlinear problems with T-monotone operators
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
- Uncertainty quantification and Heston model
- Sharp error estimate for implicit finite element scheme for American put option
- A semigroup approach to generalized Black-Scholes type equations in incomplete markets
- Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
- Introduction to the numerical calculation of financial derivates. Computational finance
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- Option pricing using a computational method based on reproducing kernel
- A discontinuous Galerkin scheme for front propagation with obstacles
- Using computational methodology to price European options with actual payoff distributions
- Space-time adaptive finite difference method for European multi-asset options
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
- A penalty-based method from reconstructing smooth local volatility surface from American options
- Forward equations for option prices in semimartingale models
- Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
- Option pricing under the jump diffusion and multifactor stochastic processes
- Towards fast weak adversarial training to solve high dimensional parabolic partial differential equations using XNODE-WAN
- Reconstruction of local volatility surface from American options
- Multilevel preconditioning for variational problems
- High-order compact finite difference method for Black-Scholes PDE
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Stochastic approximation methods for American type options
- Convergence of discontinuous Galerkin schemes for front propagation with obstacles
- Prepayment option of a perpetual corporate loan: the impact of the funding costs
- Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
- Computational methods for option replication
- Option pricing under model involving slow growth volatility
- An introduction to particle methods with financial applications
- Reduced-order models for the implied variance under local volatility
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- Recent advances in numerical solution of HJB equations arising in option pricing
- Convex regularization of local volatility estimation
- Optimal impulse control of a portfolio with a fixed transaction cost
- Semismooth Newton methods for variational problems with inequality constraints
- Variationally consistent discretization schemes and numerical algorithms for contact problems
- Proper generalized decomposition of multiscale models
- The parareal algorithm for American options
- A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
- Recent advances and new challenges in the use of the proper generalized decomposition for solving multidimensional models
- Solving parametric complex fluids models in rheometric flows
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
- scientific article; zbMATH DE number 1222808 (Why is no real title available?)
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- Parameter identification in financial market models with a feasible point SQP algorithm
- Option pricing with a direct adaptive sparse grid approach
- Option pricing for large agents
- The parareal algorithm for American options
- Calibration to American options: numerical investigation of the de-americanization method
- Variational Analysis for Options with Stochastic Volatility and Multiple Factors
- Analysis of VIX markets with a time-spread portfolio
- Implied filtering densities on the hidden state of stochastic volatility
- Mini-symposium on automatic differentiation and its applications in the financial industry
- Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model
- Stability of an implicit method to evaluate option prices under local volatility with jumps
- Multiscale methods for the valuation of American options with stochastic volatility
- A highly parallel Black--Scholes solver based on adaptive sparse grids
- Pricing American options by exercise rate optimization
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
- Pricing European and American Options by SPH Method
- A forward equation for barrier options under the Brunick \& Shreve Markovian projection
- Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
- Application of power series approximation techniques to valuation of European style options
- Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model
- From single-scale to two-scales kinetic theory descriptions of rods suspensions
- Closed-form solutions via the invariant approach for one-factor commodity models
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