Rational Krylov methods in exponential integrators for European option pricing.
Reaction-diffusion equations (35K57) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical computation of matrix exponential and similar matrix functions (65F60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
- Fast exponential time integration scheme for option pricing with jumps.
- Exponential time integration for fast finite element solutions of some financial engineering problems
- High-order exponential spline method for pricing European options
- Exponential Rosenbrock integrators for option pricing
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- A jump-diffusion model for option pricing
- Analysis of Some Krylov Subspace Approximations to the Matrix Exponential Operator
- Calculation of functions of unsymmetric matrices using Arnoldi's method
- Efficient Solution of Parabolic Equations by Krylov Approximation Methods
- Error Estimates for Polynomial Krylov Approximations to Matrix Functions
- Exponential integrators
- Exponential Integrators for Large Systems of Differential Equations
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Fast exponential time integration scheme for option pricing with jumps.
- Generalized integrating factor methods for stiff PDEs
- scientific article; zbMATH DE number 50395 (Why is no real title available?)
- scientific article; zbMATH DE number 1561766 (Why is no real title available?)
- Numerical valuation of options with jumps in the underlying
- On Krylov Subspace Approximations to the Matrix Exponential Operator
- On RD-rational Krylov approximations to the core-functions of exponential integrators
- Option pricing when underlying stock returns are discontinuous
- Preconditioning Lanczos Approximations to the Matrix Exponential
- Rational Krylov approximation of matrix functions: numerical methods and optimal pole selection
- RD-rational approximations of the matrix exponential
- Restricted Padé Approximations to the Exponential Function
- Robust numerical methods for contingent claims under jump diffusion processes
- The pricing of options and corporate liabilities
- Using the restricted-denominator rational Arnoldi method for exponential integrators
- A scalable exponential-DG approach for nonlinear conservation laws: with application to Burger and Euler equations
- Null space correction and adaptive model order reduction in multi-frequency Maxwell's problem
- A framework of the harmonic Arnoldi method for evaluating \(\varphi\)-functions with applications to exponential integrators
- Adaptive model order reduction for the Jacobian calculation in inverse multi-frequency problem for Maxwell's equations
- On RD-rational Krylov approximations to the core-functions of exponential integrators
- Optimal resource allocation for spatiotemporal control of invasive species
- Adaptive Rational Krylov Methods for Exponential Runge–Kutta Integrators
- A scaling and recovering algorithm for the matrix -functions
- A constructive method for parabolic equations with opposite orientations arising in optimal control
- Exponential Rosenbrock integrators for option pricing
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