Cited in
(42)- Radial basis function generated finite differences for option pricing problems
- New model for pricing quanto credit default swaps
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Speed-up credit exposure calculations for pricing and risk management
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- Preconditioning for radial basis function partition of unity methods
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- Pricing Bermudan options under local Lévy models with default
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Discretization processing of financial risk management using stochastic differential equation simulation method
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
- The COS method for option valuation under the SABR dynamics
- A local radial basis function method for high-dimensional American option pricing problems
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
- Scientific computing. A historical perspective
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- Speed and biases of Fourier-based pricing choices: a numerical analysis
- UnRisk
- CentPack
- NDSolve
- rbf_qr
- pychebfun
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
- Valuation of electricity storage contracts using the COS method
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
- Isogeometric analysis in option pricing
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
- A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
- Uncertainty quantification of derivative instruments
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
- Conservative third-order central-upwind schemes for option pricing problems
- Singular Fourier-Padé series expansion of European option prices
- Solution of option pricing equations using orthogonal polynomial expansion.
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method
- A least squares radial basis function partition of unity method for solving PDEs
This page was built for software: BENCHOP
