Exponential time integration for fast finite element solutions of some financial engineering problems
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Cites work
- A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
- A penalty method for American options with jump diffusion processes
- Comparison of methods for evaluating functions of a matrix exponential
- Evaluating matrix functions for exponential integrators via Carathéodory-Fejér approximation and contour integrals
- Exponential time differencing for stiff systems
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Fast deterministic pricing of options on Lévy driven assets
- Implicit-explicit numerical schemes for jump-diffusion processes
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Numerical pricing of options using high-order compact finite difference schemes
- Numerical valuation of options with jumps in the underlying
- On the numerical solution of differential equations by the finite element method. I: An introduction to the finite element method (The Ritz models)
- Operator splitting methods for American option pricing.
- Option pricing when underlying stock returns are discontinuous
- The pricing of options and corporate liabilities
Cited in
(20)- High-order time stepping scheme for pricing American option under bates model
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- Exponential Rosenbrock integrators for option pricing
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- A high-order finite difference method for option valuation
- Equivalence between the DPG method and the exponential integrators for linear parabolic problems
- Using vector divisions in solving the linear complementarity problem
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- An efficient numerical method for pricing option under jump diffusion model
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- Fast exponential time integration scheme for option pricing with jumps.
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Rational Krylov methods in exponential integrators for European option pricing.
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Cubic spline method for a generalized Black-Scholes equation
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