Pages that link to "Item:Q2514654"

The following pages link to A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654):

Displaying 19 items.

• A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
• A predictor-corrector approach for pricing American options under the finite moment log-stable model (Q493985) (← links)
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← links)
• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (Q1997989) (← links)
• Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
• A class of fourth-order Padé schemes for fractional exotic options pricing model (Q2127533) (← links)
• Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (Q2148591) (← links)
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier (Q2168956) (← links)
• A note on the stability of a second order finite difference scheme for space fractional diffusion equations (Q2260233) (← links)
• A 2nd-order one-point numerical integration scheme for fractional ordinary differential equations (Q2402869) (← links)
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
• Pricing options on investment project expansions under commodity price uncertainty (Q2423283) (← links)
• Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507) (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS (Q5101563) (← links)
• A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation (Q5274927) (← links)
• PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING (Q6182056) (← links)