Pages that link to "Item:Q4443682"
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The following pages link to A Fast Numerical Method for the Black--Scholes Equation of American Options (Q4443682):
Displaying 50 items.
- Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing (Q273385) (← links)
- A practical finite difference method for the three-dimensional Black-Scholes equation (Q322864) (← links)
- Constructing positive reliable numerical solution for American call options: a new front-fixing approach (Q491062) (← links)
- A fixed point method for the linear complementarity problem arising from American option pricing (Q519227) (← links)
- Limitations and improvements of standard spectral methods for pricing standard options (Q531074) (← links)
- An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
- A numerical study of air-vapor-heat transport through textile materials with a moving interface (Q651920) (← links)
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry (Q730511) (← links)
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048) (← links)
- Numerical pricing of options using high-order compact finite difference schemes (Q932713) (← links)
- A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- Algorithms of finite difference for pricing American options under fractional diffusion models (Q1718197) (← links)
- Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182) (← links)
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations (Q1723304) (← links)
- Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations (Q1723695) (← links)
- Direct computation for American put option and free boundary using finite difference method (Q1943082) (← links)
- A policy iteration algorithm for the American put option and free boundary control problems (Q1989210) (← links)
- Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (Q2004440) (← links)
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475) (← links)
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation (Q2135558) (← links)
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters (Q2141232) (← links)
- Multistep schemes for one and two dimensional electromagnetic wave models based on fractional derivative approximation (Q2186932) (← links)
- A fast numerical method for the valuation of American lookback put options (Q2198448) (← links)
- An efficient finite element method for pricing American multi-asset put options (Q2198473) (← links)
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models (Q2204418) (← links)
- Primal-dual active set method for pricing American better-of option on two assets (Q2205394) (← links)
- An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options (Q2231609) (← links)
- Efficient and high accuracy pricing of barrier options under the CEV diffusion (Q2252824) (← links)
- Weak Galerkin finite element method for valuation of American options (Q2259116) (← links)
- Optimal convergence rate of the explicit finite difference scheme for American option valuation (Q2390004) (← links)
- On a new family of radial basis functions: mathematical analysis and applications to option pricing (Q2406292) (← links)
- Numerical solution of generalized Black-Scholes model (Q2423065) (← links)
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval (Q2514271) (← links)
- A robust consumption model when the intensity of technological progress is ambiguous (Q2690070) (← links)
- Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← links)
- A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (Q2885511) (← links)
- A Numerical Approach for the American Call Option Pricing Model (Q3075297) (← links)
- Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation (Q3161137) (← links)
- AN ANALYTICAL APPROACH TO MERTON'S RATIONAL OPTION PRICING THEORY (Q3521629) (← links)
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (Q3527432) (← links)
- THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS (Q4555849) (← links)
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model (Q4903542) (← links)
- The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (Q4903545) (← links)
- An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation (Q5156976) (← links)
- Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation (Q5210536) (← links)
- Front-fixing FEMs for the pricing of American options based on a PML technique (Q5249951) (← links)
- Projection and Contraction Method for the Valuation of American Options (Q5251351) (← links)
- American option pricing problem transformed on finite interval (Q5739583) (← links)
- Error analysis of finite difference scheme for American option pricing under regime-switching with jumps (Q6049312) (← links)
