Pages that link to "Item:Q4682480"
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The following pages link to ADI Schemes for Pricing American Options under the Heston Model (Q4682480):
Displayed 22 items.
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives (Q1733474) (← links)
- Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
- Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
- A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities (Q2095644) (← links)
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
- Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
- Efficient exposure computation by risk factor decomposition (Q4619510) (← links)
- Numerical Study of Splitting Methods for American Option Valuation (Q4626513) (← links)
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method (Q4628394) (← links)
- AMF-type W-methods for Parabolic Problems with Mixed Derivatives (Q4683933) (← links)
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
- A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
- A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646) (← links)
- Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (Q5131414) (← links)
- An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model (Q5157093) (← links)
- American-type basket option pricing: a simple two-dimensional partial differential equation (Q5235458) (← links)
- Uncertainty Quantification of Derivative Instruments (Q5372104) (← links)
- The Parareal Algorithm and the Sparse Grid Combination Technique in the Application of the Heston Model (Q6048698) (← links)
- Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation (Q6101754) (← links)