Pages that link to "Item:Q5316392"
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The following pages link to Computational Methods for Option Pricing (Q5316392):
Displaying 50 items.
- Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) (← links)
- The parareal algorithm for American options (Q338075) (← links)
- Recent advances and new challenges in the use of the proper generalized decomposition for solving multidimensional models (Q358474) (← links)
- Solving parametric complex fluids models in rheometric flows (Q377431) (← links)
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval (Q393762) (← links)
- Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing (Q409974) (← links)
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548) (← links)
- Parameter identification in financial market models with a feasible point SQP algorithm (Q429503) (← links)
- Option pricing with a direct adaptive sparse grid approach (Q432809) (← links)
- Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) (← links)
- Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model (Q503351) (← links)
- From single-scale to two-scales kinetic theory descriptions of rods suspensions (Q503883) (← links)
- Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
- Using spectral element method to solve variational inequalities with applications in finance (Q508514) (← links)
- Lie symmetries of \((1+2)\) nonautonomous evolution equations in financial mathematics (Q515423) (← links)
- An iterative method for pricing American options under jump-diffusion models (Q534258) (← links)
- A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463) (← links)
- A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
- On the deterministic solution of multidimensional parametric models using the proper generalized decomposition (Q622216) (← links)
- A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles (Q667787) (← links)
- A direct algorithm in some free boundary problems (Q729702) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- Calibration of options on a reduced basis (Q837108) (← links)
- Recirculating flows involving short fiber suspensions: numerical difficulties and efficient advanced micro-macro solvers (Q841713) (← links)
- A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations (Q850174) (← links)
- Dupire-like identities for complex options (Q869454) (← links)
- On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
- Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
- A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Pricing American options using a space-time adaptive finite difference method (Q982922) (← links)
- Estimation of the Brownian dimension of a continuous Itô process (Q1002566) (← links)
- A mixed PDE/Monte-Carlo method for stochastic volatility models (Q1018129) (← links)
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (Q1631428) (← links)
- Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options (Q1655400) (← links)
- Spectral element method for parabolic initial value problem with non-smooth data: analysis and application (Q1691404) (← links)
- Numerical solution of time-fractional Black-Scholes equation (Q1699377) (← links)
- Power penalty approach to American options pricing under regime switching (Q1730815) (← links)
- Semismooth Newton methods with domain decomposition for American options (Q1747290) (← links)
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) (← links)
- Non-incremental boundary element discretization of parabolic models based on the use of the proper generalized decompositions (Q1944415) (← links)
- Mixing Monte-Carlo and partial differential equations for pricing options (Q1951209) (← links)
- A non linear approximation method for solving high dimensional partial differential equations: application in finance (Q1996929) (← links)
- Nonconforming least-squares spectral element method for European options (Q2007189) (← links)
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements (Q2007600) (← links)
- Data driven recovery of local volatility surfaces (Q2013860) (← links)
- Fast reconstruction of time-dependent market volatility for European options (Q2027727) (← links)
- Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
- Path integral Monte Carlo method for option pricing (Q2078655) (← links)
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
