Pages that link to "Item:Q2465446"

The following pages link to Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446):

Displaying 21 items.

• Asset liquidity and the valuation of derivative securities (Q442747) (← links)
• On the valuation of interest rate products under multi-factor HJM term-structures (Q731956) (← links)
• An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951) (← links)
• Pricing multi-asset option problems: a Chebyshev pseudo-spectral method (Q1731613) (← links)
• A two-grid penalty method for American options (Q1993545) (← links)
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations (Q2004501) (← links)
• Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← 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)
• An efficient finite element method for pricing American multi-asset put options (Q2198473) (← links)
• An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
• Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (Q2212455) (← links)
• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (Q2356102) (← links)
• Option pricing under the jump diffusion and multifactor stochastic processes (Q2631912) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• Modified Barrier Penalization Method for Pricing American Options (Q4626502) (← links)
• A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
• Many-server queues with customer abandonment: numerical analysis of their diffusion models (Q5168863) (← links)
• Implied stopping rules for American basket options from Markovian projection (Q5234298) (← links)
• Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting (Q5742555) (← links)
• A penalty method for American multi-asset option problems (Q6040370) (← links)