Pages that link to "Item:Q1767129"
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The following pages link to Operator splitting methods for American option pricing. (Q1767129):
Displaying 50 items.
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
- Numerical pricing of financial derivatives using Jain's high-order compact scheme (Q387081) (← links)
- A regime-switching model with the volatility smile for two-asset European options (Q462338) (← links)
- Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) (← links)
- A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
- An iterative method for pricing American options under jump-diffusion models (Q534258) (← 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 new predictor-corrector scheme for valuing American puts (Q620987) (← links)
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options (Q727900) (← links)
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- Operator splitting methods for pricing American options under stochastic volatility (Q841111) (← links)
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
- A fast high-order finite difference algorithm for pricing American options (Q952074) (← 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)
- Pricing American options using a space-time adaptive finite difference method (Q982922) (← links)
- Exponential time integration for fast finite element solutions of some financial engineering problems (Q1002209) (← links)
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811) (← links)
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← links)
- Algorithms of finite difference for pricing American options under fractional diffusion models (Q1718197) (← links)
- Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (Q1731613) (← links)
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) (← links)
- Radial basis function generated finite differences for option pricing problems (Q1732412) (← links)
- Semismooth Newton methods with domain decomposition for American options (Q1747290) (← links)
- RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (Q1930396) (← links)
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
- A local radial basis function method for pricing options under the regime switching model (Q2000056) (← links)
- Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (Q2004440) (← links)
- Radial basis function partition of unity methods for pricing vanilla basket options (Q2006598) (← links)
- Option valuation under the VG process by a DG method. (Q2058996) (← links)
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
- A second order numerical method for the time-fractional Black-Scholes European option pricing model (Q2088801) (← links)
- Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation (Q2135558) (← links)
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters (Q2141232) (← links)
- A spectral element method for option pricing under regime-switching with jumps (Q2189667) (← links)
- An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
- A new operator splitting method for American options under fractional Black-Scholes models (Q2203918) (← links)
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (Q2204419) (← links)
- CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
- Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
- Stability and error analysis of operator splitting methods for American options under the Black-Scholes model (Q2302378) (← links)
- An iterative splitting approach for linear integro-differential equations (Q2339276) (← links)
- Financial options pricing with regime-switching jump-diffusions (Q2398904) (← links)
