scientific article; zbMATH DE number 5710731
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Publication:3562491
Numerical interpolation (65D05) Numerical computation using splines (65D07) Numerical quadrature and cubature formulas (65D32) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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(9)- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
- Pricing Bermudan options under local Lévy models with default
- Pricing American options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation
- American options in Lévy models with stochastic interest rates
- A Flexible Galerkin Scheme for Option Pricing in Lévy Models
- Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models
- A general valuation framework for rough stochastic local volatility models and applications
- On sparse grid interpolation for American option pricing with multiple underlying assets
- Numerical methods for Lévy processes
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