NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
duality algorithmsfinite elementsLagrange-Galerkin methodsTwo-factor Black-Scholes modelsvariational inequalities
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods (including Monte Carlo methods) (91G60)
- scientific article; zbMATH DE number 2160558
- Numerical solution of two asset jump diffusion models for option valuation
- scientific article; zbMATH DE number 1070523
- A numerical analysis of variational valuation techniques for derivative securities
- Numerical solution of stochastic differential equations in finance
- Matrix-based numerical modelling of financial differential equations
- scientific article; zbMATH DE number 1069618
- scientific article; zbMATH DE number 2197685
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options
- A finite volume approach for contingent claims valuation
- A summary of numerical methods for time-dependent advection-dominated partial differential equations
- An equilibrium characterization of the term structure
- An upwind approach for an American and European option pricing model
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Duality methods for solving variational inequalities
- Far field boundary conditions for Black-Scholes equations
- scientific article; zbMATH DE number 3747703 (Why is no real title available?)
- scientific article; zbMATH DE number 3638617 (Why is no real title available?)
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- scientific article; zbMATH DE number 844884 (Why is no real title available?)
- Modèles numériques pour les écoulements turbulents dans des geométries complexes
- Multigrid for American option pricing with stochastic volatility
- Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Pricing interest-rate-derivative securities
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- The pricing of options and corporate liabilities
- User’s guide to viscosity solutions of second order partial differential equations
- Variational inequalities and the pricing of American options
- Numerical techniques for pricing callable bonds with notice
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- scientific article; zbMATH DE number 6675308 (Why is no real title available?)
- A finite element method for two factor convertible bonds
- Error estimates for Lagrange-Galerkin approximation of American options valuation
- scientific article; zbMATH DE number 2197685 (Why is no real title available?)
- Application of numerical method of functional differential equations in fair value of financial accounting
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- Solutions of two-factor models with variable interest rates
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