Pages that link to "Item:Q997571"

The following pages link to Implicit-explicit numerical schemes for jump-diffusion processes (Q997571):

Displaying 38 items.

• A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) (← links)
• A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets (Q618451) (← links)
• A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463) (← links)
• Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
• Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129) (← links)
• Exponential time integration for fast finite element solutions of some financial engineering problems (Q1002209) (← links)
• Mathematical model of copper corrosion (Q1634032) (← links)
• A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator (Q1713627) (← links)
• Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation (Q1734297) (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets (Q1761652) (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
• An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• IMEX schemes for pricing options under jump-diffusion models (Q2250990) (← links)
• European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• Computation of the unknown volatility from integral option price observations in jump-diffusion models (Q2664823) (← links)
• Necessary Optimality Conditions for the Control of Partial Integro-Differential Equations (Q3462306) (← links)
• FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
• Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks (Q4626504) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
• A new radial basis functions method for pricing American options under Merton's jump-diffusion model (Q4903542) (← links)
• CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (Q4959400) (← links)
• (Q5033284) (← links)
• Diffusive limits of 2D well-balanced schemes for kinetic models of neutron transport (Q5034836) (← links)
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function (Q5154006) (← links)
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287) (← links)
• NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS (Q5411742) (← links)
• IMEX schemes for a parabolic-ODE system of European options with liquidity shocks (Q5962602) (← links)
• A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models (Q6044013) (← links)
• Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes (Q6088441) (← links)
• Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities (Q6103703) (← links)