Wavelet Galerkin pricing of American options on Lévy driven assets
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Publication:3375382
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Cites work
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Cited in
(48)- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models
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- An approach for solving perpetual optimal stopping problems driven by Lévy processes
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- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
- Fast deterministic pricing of options on Lévy driven assets
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
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- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
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- Efficient solution of a partial integro-differential equation in finance
- Numerical methods for Lévy processes
- Fast and accurate pricing of barrier options under Lévy processes
- Wavelet solution of variable order pseudodifferential equations
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