Pages that link to "Item:Q4659906"
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The following pages link to Robust numerical methods for contingent claims under jump diffusion processes (Q4659906):
Displaying 50 items.
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
- Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364) (← links)
- Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs (Q349476) (← links)
- Calibration and hedging under jump diffusion (Q375525) (← links)
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330) (← links)
- Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) (← links)
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) (← links)
- Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
- An efficient numerical method for pricing option under jump diffusion model (Q531075) (← links)
- An iterative method for pricing American options under jump-diffusion models (Q534258) (← links)
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
- A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463) (← links)
- Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
- Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
- The effect of modelling parameters on the value of GMWB guarantees (Q938050) (← links)
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) (← links)
- Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
- Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
- Pricing American options when asset prices jump (Q969504) (← links)
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (Q1044217) (← links)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach (Q1622505) (← links)
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) (← links)
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing (Q1735434) (← 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 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)
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) (← links)
- Radial basis functions with application to finance: American put option under jump diffusion (Q1931063) (← links)
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574) (← links)
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
- Valuation of stock loans with jump risk (Q1994400) (← links)
- Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
- A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion (Q2006652) (← links)
- FFT-network for bivariate Lévy option pricing (Q2024616) (← links)
- A second order numerical method for the time-fractional Black-Scholes European option pricing model (Q2088801) (← links)
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
- Multigrid method for pricing European options under the CGMY process (Q2126958) (← links)
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models (Q2142005) (← links)
- Estimation and prediction under local volatility jump-diffusion model (Q2148668) (← links)
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
- Technology adoption in a declining market (Q2183348) (← links)
- An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← 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)
