Pages that link to "Item:Q1298615"
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The following pages link to Penalty methods for American options with stochastic volatility (Q1298615):
Displaying 50 items.
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
- An alternating-direction implicit difference scheme for pricing Asian options (Q364443) (← links)
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation (Q411091) (← links)
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem (Q413322) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
- A penalty approximation method for a semilinear parabolic double obstacle problem (Q480830) (← links)
- A box-constrained differentiable penalty method for nonlinear complementarity problems (Q496621) (← links)
- A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications (Q499268) (← links)
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
- A fast numerical method to price American options under the Bates model (Q516683) (← links)
- A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (Q534248) (← links)
- Parallel two-grid semismooth Newton-Krylov-Schwarz method for nonlinear complementarity problems (Q540550) (← links)
- A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200) (← links)
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
- A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
- A numerical analysis of variational valuation techniques for derivative securities (Q702595) (← links)
- A numerical study of Asian option with high-order compact finite difference scheme (Q721576) (← links)
- DG framework for pricing European options under one-factor stochastic volatility models (Q724549) (← links)
- A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem (Q747919) (← links)
- Pricing American options with uncertain volatility through stochastic linear complementarity models (Q763392) (← links)
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models (Q819096) (← links)
- Operator splitting methods for pricing American options under stochastic volatility (Q841111) (← links)
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method (Q890161) (← links)
- Pricing European and American options by radial basis point interpolation (Q903013) (← links)
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
- Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
- Convergence analysis of a monotonic penalty method for American option pricing (Q950483) (← links)
- An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351) (← links)
- Two-factor convertible bonds valuation using the method of characteristics/finite elements (Q951392) (← links)
- Small dimension PDE for discrete Asian options (Q951412) (← links)
- Penalty methods for the numerical solution of American multi-asset option problems (Q952073) (← links)
- Adaptive \(\theta \)-methods for pricing American options (Q952094) (← links)
- A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) (← links)
- A fast Fourier transform technique for pricing American options under stochastic volatility (Q965893) (← links)
- American option pricing under stochastic volatility: an empirical evaluation (Q970137) (← links)
- Exponential Rosenbrock integrators for option pricing (Q970405) (← links)
- A lattice algorithm for pricing moving average barrier options (Q975929) (← links)
- Pricing American options using a space-time adaptive finite difference method (Q982922) (← links)
- Predictability and unpredictability in financial markets (Q992162) (← links)
- Intensity-based framework and penalty formulation of optimal stopping problems (Q1029998) (← links)
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility (Q1030223) (← links)
- Penalty methods for American options with stochastic volatility (Q1298615) (← links)
- PDE methods for pricing barrier options (Q1583144) (← links)
- Solving finite difference schemes arising in trivariate option pricing. (Q1605207) (← links)
- A quasi-radial basis functions method for American options pricing. (Q1609116) (← links)
- The evaluation of compound options based on RBF approximation methods (Q1654739) (← links)
