BENCHOP
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Related Items (37)
Isogeometric analysis in option pricing ⋮ A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ Preconditioning for radial basis function partition of unity methods ⋮ Singular Fourier–Padé series expansion of European option prices ⋮ DISCRETIZATION PROCESSING OF FINANCIAL RISK MANAGEMENT USING STOCHASTIC DIFFERENTIAL EQUATION SIMULATION METHOD ⋮ Efficient computation of the quasi likelihood function for discretely observed diffusion processes ⋮ Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ Pricing Bermudan options under local Lévy models with default ⋮ Scientific Computing ⋮ A Least Squares Radial Basis Function Partition of Unity Method for Solving PDEs ⋮ Magic Points in Finance: Empirical Integration for Parametric Option Pricing ⋮ Inverse multi-quadric RBF for computing the weights of FD method: application to American options ⋮ Uncertainty Quantification of Derivative Instruments ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS ⋮ A high order method for pricing of financial derivatives using radial basis function generated finite differences ⋮ Operator splitting schemes for the two-asset Merton jump-diffusion model ⋮ A New Approach for American Option Pricing: The Dynamic Chebyshev Method ⋮ Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series ⋮ An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes ⋮ Pricing multi-asset option problems: a Chebyshev pseudo-spectral method ⋮ Radial basis function generated finite differences for option pricing problems ⋮ The COS method for option valuation under the SABR dynamics ⋮ Solution of option pricing equations using orthogonal polynomial expansion. ⋮ Valuation of electricity storage contracts using the COS method ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations ⋮ Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting ⋮ Radial basis function partition of unity operator splitting method for pricing multi-asset American options ⋮ A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems ⋮ A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options ⋮ Conservative third-order central-upwind schemes for option pricing problems ⋮ Speed-up credit exposure calculations for pricing and risk management ⋮ A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ ⋮ Speed and biases of Fourier-based pricing choices: a numerical analysis ⋮ VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
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