Pages that link to "Item:Q4361790"

The following pages link to Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (Q4361790):

Displaying 36 items.

• Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364) (← links)
• On the distribution of first exit time for Brownian motion with double linear time-dependent barriers (Q469885) (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
• Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
• Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
• Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
• Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (Q952084) (← links)
• Pricing American options when asset prices jump (Q969504) (← links)
• Extrapolation discontinuous Galerkin method for ultraparabolic equations (Q1002210) (← links)
• Optimal exercise boundary via intermediate function with jump risk (Q1684772) (← links)
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts. (Q1766027) (← links)
• A penalty method for American options with jump diffusion processes (Q1889909) (← links)
• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (Q1930397) (← links)
• Exercise boundary of the American put near maturity in an exponential Lévy model (Q1945046) (← links)
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
• Valuation of stock loans with jump risk (Q1994400) (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
• The critical price for the American put in an exponential Lévy model (Q2271721) (← links)
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← links)
• On the solution of complementarity problems arising in American options pricing (Q3096882) (← links)
• Measuring Impact of Random Jumps Without Sample Path Generation (Q3452488) (← links)
• American-style options in jump-diffusion models: estimation and evaluation (Q4554221) (← links)
• A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models (Q4586030) (← links)
• CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS (Q4796575) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
• Optimal portfolio model under compound jump processes (Q4932910) (← links)
• Hedging error estimate of the american put option problem in jump-diffusion processes (Q5024445) (← links)
• LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS (Q5051184) (← links)
• Last minute panic in zero sum games (Q5107929) (← 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)
• Weak Euler Approximation for Itô Diffusion and Jump Processes (Q5256274) (← links)
• On American Options Under the Variance Gamma Process (Q5297932) (← links)
• An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options (Q5347524) (← links)
• Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models (Q5372098) (← links)