Pages that link to "Item:Q2250990"

The following pages link to IMEX schemes for pricing options under jump-diffusion models (Q2250990):

Displaying 33 items.

• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265) (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
• Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (Q2115062) (← links)
• Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models (Q2118964) (← links)
• An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523) (← links)
• Computation of the unknown volatility from integral option price observations in jump-diffusion models (Q2664823) (← links)
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems (Q2666189) (← links)
• BENCHOP – The BENCHmarking project in option pricing (Q2804496) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• American-style options in jump-diffusion models: estimation and evaluation (Q4554221) (← links)
• FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (Q4972114) (← links)
• Numerical study for European option pricing equations with non-levy jumps (Q4987125) (← links)
• Isogeometric analysis in option pricing (Q5031706) (← links)
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) (← links)
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287) (← links)
• On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model (Q5745130) (← links)
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks (Q5962602) (← links)
• Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes (Q6088441) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)
• Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model (Q6144313) (← links)
• Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing (Q6200827) (← links)
• Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps (Q6494191) (← links)