Pages that link to "Item:Q3116423"

The following pages link to A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models (Q3116423):

Displaying 44 items.

• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
• Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• An efficient numerical method for pricing option under jump diffusion model (Q531075) (← links)
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
• 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)
• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265) (← links)
• Option valuation under the VG process by a DG method. (Q2058996) (← 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)
• Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters (Q2141232) (← links)
• Estimation and prediction under local volatility jump-diffusion model (Q2148668) (← links)
• An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (Q2204419) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• Wavelet-Galerkin method for second-order integro-differential equations on product domains (Q2232049) (← links)
• IMEX schemes for pricing options under jump-diffusion models (Q2250990) (← links)
• DG method for pricing European options under Merton jump-diffusion model. (Q2280454) (← links)
• European option pricing under stochastic volatility jump-diffusion models with transaction cost (Q2308485) (← links)
• Financial options pricing with regime-switching jump-diffusions (Q2398904) (← links)
• A trustable shape parameter in the kernel-based collocation method with application to pricing financial options (Q2662414) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
• Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model (Q4626533) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← 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)
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (Q5031851) (← links)
• (Q5039647) (← links)
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) (← links)
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287) (← links)
• NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS (Q5411742) (← links)
• A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models (Q6044013) (← 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)
• High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep (Q6143260) (← links)
• Pricing European options under stochastic looping contagion risk model (Q6179935) (← links)
• A second-order ADI method for pricing options under fractional regime-switching models (Q6196447) (← 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)