Search Results

• A Second Order Numerical Scheme for Fractional Option Pricing Models

  Ling-Xi Zhang, Ren-Feng Peng, Jun-Feng Yin

  2021-02-23

  43703 3158 Pages:326-348

• Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models

  Xiao-Ting Gan, Jun-Feng Yin & Yun-Xiang Guo

  2018-03-19

  37532 3260 Pages:227-247

• Artificial Boundary Method for European Pricing Option Problem

  Hongshan Li, Zhongyi Huang

  2020-08-15

  48528 3184 Pages:746-773

• Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing

  Zhiqiang Zhou, Jingtang Ma & Xuemei Gao

  2021-09-02

  42391 3336 Pages:782-808

• Primal-Dual Active Set Method for American Lookback Put Option Pricing

  Haiming Song, Xiaoshen Wang, Kai Zhang & Qi Zhang

  2018-03-19

  36691 3032 Pages:603-614

• Primal-Dual Active-Set Method for the Valuation of American Exchange Options

  Xin Wen, Haiming Song, Rui Zhang, Yutian Li

  2023-10-23

  26909 2470 Pages:858-885

• Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method

  Xiaoting Gan, Junfeng Yin

  2020-06-12

  43697 3283 Pages:499-519

• On Pricing Options Under Two Stochastic Volatility Processes

  Wenjia Xie, Zhongyi Huang

  2024-04-16

  20872 2080 Pages:418-450

• Option Pricing of Weather Derivatives for Seoul

  Jiwoon Kim, Dongwoo Sheen & Sungwon Shin

  2018-02-09

  38905 4613 Pages:309-325

• Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models

  Hong-Kui Pang & Hai-Wei Sun

  2018-08-14

  37765 4930 Pages:52-68

• Tri-Diagonal Preconditioner for Toeplitz Systems from Finance

  Hong-Kui Pang, Ying-Ying Zhang & Xiao-Qing Jin

  2018-03-21

  37997 4753 Pages:82-88

• A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds

  Edson Pindza & Kailash C. Patidar

  2018-09-17

  40226 4698 Pages:126-138