On the acceleration of explicit finite difference methods for option pricing
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Cites work
- An exact and explicit solution for the valuation of American put options
- Convergence properties of the Runge-Kutta-Chebyshev method
- Efficient numerical methods for pricing American options under stochastic volatility
- Explicit Runge-Kutta methods for parabolic partial differential equations
- scientific article; zbMATH DE number 3560637 (Why is no real title available?)
- On the Internal Stability of Explicit,m-Stage Runge-Kutta Methods for Largem-Values
- Stability of finite difference approximations to a diffusion-convection equation
- Super-time-stepping acceleration of explicit schemes for parabolic problems
- The pricing of options and corporate liabilities
Cited in
(17)- Modified B-spline collocation approach for pricing American style Asian options
- Extrapolated stabilized explicit Runge-Kutta methods
- Accurate numerical method for pricing two-asset American put options
- Pricing real estate index options under stochastic interest rates
- Pricing and simulation for real estate index options: radial basis point interpolation
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- A class of high-order Runge-Kutta-Chebyshev stability polynomials
- ESERK5: a fifth-order extrapolated stabilized explicit Runge-Kutta method
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- High-accuracy finite-difference methods for the valuation of options
- Pricing real estate index options by compactly supported radial-polynomial basis point interpolation
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
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