Search Results

• Improved ADI Parallel Difference Method for Quanto Options Pricing Model

  X.-Z. Yang, F. Zhang & L.-F. Wu

  2016-07-03

  32336 2643 Pages:569-586

• 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

  13994 1116 Pages:793-821

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

  Pradeep Kumar Sahu, Kuldip Singh Patel

  2023-05-22

  28337 2424 Pages:538-556

• Spread Option Pricing Using ADI Methods

  Vida Heidarpour-Dehkordi, Christina C. Christara

  2018-08-15

  29469 2559 Pages:353-369

• Jumps Without Tears: A New Splitting Technology for Barrier Options

  A. Itkin & P. Carr

  2011-08-01

  31393 2649 Pages:667-704

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

  K. J. In ’t Hout & S. Foulon

  2010-07-01

  35148 2830 Pages:303-320

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

  Kai Zhang, Xiao-Qi Yang

  2017-06-01

  32433 2710 Pages:405-418

• Approximate Formulae for Pricing Zero-Coupon Bonds and Their Asymptotic Analysis

  B. Stehlikova & D. Sevcovic

  2009-06-01

  30747 2598 Pages:274-283

• How Rates of $L^p$-Convergence Carry over to Numerical Approximations of Some Convex, Non-Smooth Functionals of SDEs

  Henri Schurz

  2008-05-01

  32558 3666 Pages:55-72

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

  H. Lee & D. Sheen

  2011-08-01

  31437 2697 Pages:566-583

• A Computational Scheme for Options Under Jump Diffusion Processes

  K. Zhang & S. Wang

  2009-06-01

  31764 3673 Pages:110-123

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

  G. Wang & X. Yang

  2008-05-01

  31086 2512 Pages:222-238