Pages that link to "Item:Q928833"

The following pages link to Numerical solution of two asset jump diffusion models for option valuation (Q928833):

Displaying 37 items.

• A mixed derivative terms removing method in multi-asset option pricing problems (Q289274) (← links)
• Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• A posteriori error analysis for a class of integral equations and variational inequalities (Q707582) (← links)
• Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (Q784441) (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← 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)
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574) (← links)
• Operator splitting schemes for American options under the two-asset Merton jump-diffusion model (Q1986143) (← links)
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models (Q2004502) (← links)
• Numerical methods for two person games arising from transboundary pollution with emission permit trading (Q2009234) (← links)
• A quick operator splitting method for option pricing (Q2074881) (← links)
• Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations (Q2128477) (← links)
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
• A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models (Q2204418) (← links)
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (Q2204419) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888) (← links)
• A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233) (← links)
• Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• Computation of the unknown volatility from integral option price observations in jump-diffusion models (Q2664823) (← links)
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (Q2804029) (← links)
• Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497) (← links)
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (Q3448333) (← links)
• Numerical methods for dynamic Bertrand oligopoly and American options under regime switching (Q4554242) (← links)
• 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models (Q4562628) (← links)
• Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation (Q4600012) (← links)
• Numerical Analysis of Novel Finite Difference Methods (Q4626501) (← links)
• (Q5213126) (← links)
• American-type basket option pricing: a simple two-dimensional partial differential equation (Q5235458) (← 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)
• An ETD method for multi‐asset American option pricing under jump‐diffusion model (Q6143557) (← links)
• A unified approach to solving parabolic Volterra partial integro-differential equations for a broad category of kernels: numerical analysis and computing (Q6197606) (← links)
• Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs (Q6557283) (← links)