Pages that link to "Item:Q3392173"

The following pages link to Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (Q3392173):

Displayed 50 items.

• Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) ‎ (← links)
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) ‎ (← links)
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) ‎ (← links)
• A finite element discretization method for option pricing with the Bates model (Q435146) ‎ (← links)
• Tri-diagonal preconditioner for pricing options (Q442720) ‎ (← links)
• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) ‎ (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) ‎ (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) ‎ (← links)
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) ‎ (← links)
• A lattice algorithm for pricing moving average barrier options (Q975929) ‎ (← links)
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) ‎ (← links)
• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (Q1642274) ‎ (← links)
• Extrapolated local radial basis function collocation method for shallow water problems (Q1653609) ‎ (← links)
• A high-order finite difference method for option valuation (Q1705003) ‎ (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) ‎ (← links)
• Tridiagonal matrices with dominant diagonals and applications (Q1785752) ‎ (← links)
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) ‎ (← links)
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574) ‎ (← links)
• A thermodynamically consistent fractional visco-elasto-plastic model with memory-dependent damage for anomalous materials (Q2020803) ‎ (← links)
• Simplified stochastic calculus with applications in economics and finance (Q2030297) ‎ (← links)
• Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation (Q2051161) ‎ (← links)
• Option valuation under the VG process by a DG method. (Q2058996) ‎ (← links)
• On a high-order Gaussian radial basis function generated Hermite finite difference method and its application (Q2059722) ‎ (← links)
• Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods (Q2067122) ‎ (← links)
• Model risk in the over-the-counter market (Q2076856) ‎ (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) ‎ (← links)
• Jumping hedges on the strength of the Mellin transform (Q2143532) ‎ (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) ‎ (← links)
• Technology adoption in a declining market (Q2183348) ‎ (← links)
• Early exercise boundaries for American-style knock-out options (Q2183887) ‎ (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) ‎ (← links)
• RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function (Q2226775) ‎ (← links)
• IMEX schemes for pricing options under jump-diffusion models (Q2250990) ‎ (← links)
• Combined compact difference scheme for linear second-order partial differential equations with mixed derivative (Q2252260) ‎ (← links)
• Efficient and high accuracy pricing of barrier options under the CEV diffusion (Q2252824) ‎ (← links)
• European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888) ‎ (← links)
• DG method for pricing European options under Merton jump-diffusion model. (Q2280454) ‎ (← links)
• American step options (Q2282524) ‎ (← links)
• A robust spline collocation method for pricing American put options (Q2296452) ‎ (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) ‎ (← links)
• Exact simulation problems for jump-diffusions (Q2513661) ‎ (← links)
• A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233) ‎ (← links)
• Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) ‎ (← links)
• Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps (Q2671877) ‎ (← links)
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (Q2804029) ‎ (← links)
• Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077) ‎ (← links)
• Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model (Q2864673) ‎ (← links)
• Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model (Q2875711) ‎ (← links)
• A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes (Q2931955) ‎ (← links)
• Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model (Q3008377) ‎ (← links)