scientific article; zbMATH DE number 1253573

zbMath0997.90503MaRDI QIDQ4226819

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Publication date: 23 February 1999

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

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The volatility target effect in structured investment products with capital protection ⋮ Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing ⋮ A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation ⋮ Stochastic elasticity of variance with stochastic interest rates ⋮ Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM ⋮ A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator ⋮ What if versus probabilistic scenarios: a neuroscientific analysis ⋮ Higher-order interpolated lattice schemes for multidimensional option pricing problems ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing ⋮ Convertible bond valuation in a jump diffusion setting with stochastic interest rates ⋮ A dynamic programming approach for pricing options embedded in bonds ⋮ Numerical investigation of laminar flows through 90-degree diversions of rectangular cross-section

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