Search Results

• Spread Option Pricing Using ADI Methods

  Vida Heidarpour-Dehkordi, Christina C. Christara

  2018-08-15

  29572 2598 Pages:353-369

• High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising in Option Pricing

  Pradeep Kumar Sahu, Kuldip Singh Patel

  2023-05-22

  28452 2449 Pages:538-556

• Numerical Approximation of Option Pricing Model Under Jump Diffusion Using the Laplace Transformation Method

  Hyoseop Lee, Dongwoo Sheen

  2011-08-01

  31536 2729 Pages:566-583

• ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation

  K. J. In't Hout, S. Foulon

  2010-07-01

  35277 2889 Pages:303-320

• The Regularization Method for a Degenerate Parabolic Variational Inequality Arising from American Option Valuation

  Guanchu Wang, Xiaozhong Yang

  2008-05-01

  31176 2539 Pages:222-238

• A Front-Fixing Finite Element Method for the Valuation of American Put Options on Zero-Coupon Bonds

  A. D. Holmes, H. Yang

  2012-09-01

  32852 2604 Pages:777-792

• Laplace Transformation Method for the Black-Scholes Equation

  Hyoseop Lee, Dongwoo Sheen

  2009-06-01

  30784 2598 Pages:642-658

• A Computational Scheme for Options Under Jump Diffusion Processes

  K. Zhang & S. Wang

  2009-06-01

  31854 3739 Pages:110-123

• Sixth-Order Compact Differencing with Staggered Boundary Schemes and 3(2) Bogacki-Shampine Pairs for Pricing Free-Boundary Options

  Chinonso Nwankwo, Weizhong Dai

  2024-10-09

  14107 1160 Pages:793-821

• Pricing European Options on Zero-Coupon Bonds with a Fitted Finite Volume Method

  Kai Zhang, Xiao-Qi Yang

  2017-06-01

  32527 2739 Pages:405-418

• Improved ADI Parallel Difference Method for Quanto Options Pricing Model

  Xiaozhong Yang, Fan Zhang, Lifei Wu

  2016-07-03

  32430 2681 Pages:569-586

• American Put Options on Zero-Coupon Bonds and a Parabolic Free Boundary Problem

  Hongtao Yang

  2004-01-01

  31323 2597 Pages:203-215