Pages that link to "Item:Q878048"

The following pages link to Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048):

Displaying 45 items.

• A fixed-point method for a class of super-large scale nonlinear complementarity problems (Q316584) (← links)
• On power penalty methods for linear complementarity problems arising from American option pricing (Q496599) (← links)
• A robust and accurate finite difference method for a generalized Black-Scholes equation (Q544200) (← links)
• A HODIE finite difference scheme for pricing American options (Q667962) (← links)
• A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
• A penalty method for a finite-dimensional obstacle problem with derivative constraints (Q742393) (← links)
• A power penalty method for solving a nonlinear parabolic complementarity problem (Q943659) (← links)
• Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
• A robust finite difference scheme for pricing American put options with singularity-separating method (Q964214) (← links)
• A computational scheme for uncertain volatility model in option pricing (Q1030664) (← links)
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
• Cubic spline method for a generalized Black-Scholes equation (Q1718497) (← links)
• A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (Q1930396) (← links)
• Accurate numerical method for pricing two-asset American put options (Q1951059) (← links)
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
• Numerical approximation of a time-fractional Black-Scholes equation (Q1999677) (← links)
• A super-convergent unsymmetric finite volume method for convection-diffusion equations (Q2000618) (← links)
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing (Q2006103) (← links)
• A power penalty approach to a mixed quasilinear elliptic complementarity problem (Q2052401) (← links)
• Penalty method for indifference pricing of American option in a liquidity switching market (Q2058423) (← links)
• A modification of Galerkin's method for option pricing (Q2086928) (← links)
• A fitted finite volume method for stochastic optimal control problems in finance (Q2144798) (← links)
• Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method (Q2190271) (← links)
• Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing (Q2242714) (← links)
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
• Optimal convergence rate of the explicit finite difference scheme for American option valuation (Q2390004) (← links)
• Option pricing using a computational method based on reproducing kernel (Q2406304) (← links)
• Finite difference scheme with a moving mesh for pricing Asian options (Q2453245) (← links)
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260) (← links)
• Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval (Q2514271) (← links)
• A finite difference method for pricing European and American options under a geometric Lévy process (Q2514654) (← links)
• Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing (Q2516793) (← links)
• Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options (Q2668184) (← links)
• Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation (Q2804501) (← links)
• Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing (Q2942193) (← links)
• Convergence of a finite element approximation to a degenerate parabolic variational inequality with non-smooth data arising from American option valuation (Q3161137) (← links)
• A superconvergent fitted finite volume method for <scp>B</scp>lack–<scp>S</scp>choles equations governing <scp>E</scp>uropean and <scp>A</scp>merican option valuation (Q3448354) (← links)
• High-order exponential spline method for pricing European options (Q4646565) (← links)
• Modelling and Computation for the Valuation of Two-Period $R\&amp;D$ Projects by Option Games (Q5156688) (← links)
• Numerical solution for a parabolic obstacle problem with nonsmooth initial data (Q5175807) (← links)
• An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options (Q5347524) (← links)
• American option pricing problem transformed on finite interval (Q5739583) (← links)
• Haar‐wavelet based approximation for pricing American options under linear complementarity formulations (Q6087702) (← links)
• Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities (Q6102949) (← links)
• (Q6119093) (← links)