Search Results

• High-Order Methods for Exotic Options and Greeks Under Regime-Switching Jump-Diffusion Models

  Jingtang Ma, Han Wang, Zhiqiang Zhou, Zhijun Tan

  2020-03-09

  44410 2767 Pages:497-515

• Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing

  Jie Xing & Jingtang Ma

  2018-12-17

  41575 2791 Pages:566-593

• FDMs for the PDEs of Option Pricing Under DEV Models with Counterparty Risk

  Jingtang Ma, Yong Chen, Taoshun He, Zhijun Tan

  2019-10-12

  44257 2605 Pages:1246-1265

• Analytic and Experimental Studies of the Errors in Numerical Methods for the Valuation of Options

  P. Lin, J. J. H. Miller & G. I. Shishkin

  2008-01-01

  38566 3636 Pages:150-164

• Evaluation Finite Moment Log-Stable Option Pricing by a Spectral Method

  Xu Guo & Leevan Ling

  2018-09-17

  51160 2856 Pages:437-452

• Finite Element and Discontinuous Galerkin Methods with Perfect Matched Layers for American Options

  Haiming Song, Kai Zhang & Yutian Li

  2017-11-02

  39441 2704 Pages:829-851

• A Projected Algebraic Multigrid Method for Linear Complementarity Problems

  Jari Toivanen & Cornelis W. Oosterlee

  2012-05-01

  40505 4538 Pages:85-98 Open-access

• A Power Penalty Approach to Numerical Solutions of Two-Asset American Options

  K. Zhang, S. Wang, X. Q. Yang & K. L. Teo

  2009-02-01

  39283 3746 Pages:202-223