Pages that link to "Item:Q3581061"

The following pages link to Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility (Q3581061):

Displaying 19 items.

• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications (Q499268) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
• Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions (Q1621616) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities (Q2027590) (← links)
• Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
• Pricing American call options under a hard-to-borrow stock model (Q4575290) (← links)
• Primal-Dual Active Set Method for American Lookback Put Option Pricing (Q4605731) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
• A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility (Q4903539) (← links)
• Multiscale methods for the valuation of American options with stochastic volatility (Q4903541) (← links)
• PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate (Q5030547) (← links)
• American option pricing under the double Heston model based on asymptotic expansion (Q5234286) (← links)
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes (Q5962134) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)