Pages that link to "Item:Q704796"

The following pages link to Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796):

Displaying 30 items.

• Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
• Fast and efficient numerical methods for an extended Black-Scholes model (Q316536) (← links)
• Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs (Q349476) (← links)
• Option pricing under risk-minimization criterion in an incomplete market with the finite difference method (Q460210) (← links)
• Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
• On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← 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)
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) (← links)
• Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
• A model for optimal stopping in advertisement (Q974528) (← links)
• Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) (← links)
• Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation (Q1734297) (← links)
• Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
• A penalty method for American options with jump diffusion processes (Q1889909) (← links)
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
• A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion (Q2006652) (← links)
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
• Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models (Q2319611) (← links)
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
• Convergence analysis of a parabolic nonlinear system arising in biology (Q2393523) (← links)
• Solvability of Sturm-Liouville problems on time scales at resonance (Q2654187) (← links)
• Boundary state feedback control for semilinear fractional-order reaction diffusion systems (Q2677416) (← links)
• Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model (Q2875711) (← links)
• Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach (Q3395729) (← links)
• Numerical solutions of Black-Scholes integro-differential equations with convergence analysis (Q5229826) (← links)
• Robust numerical method for space shift 2D singularly perturbed parabolic convection diffusion differential equations (Q6044745) (← links)
• An existence result for two-dimensional parabolic integro-differential equations involving CEV model (Q6491289) (← links)