Numerical Schemes for Pricing Options

Springer Finance - Mathematical Models of Financial Derivatives ◽

10.1007/978-3-540-68688-0_6 ◽

2008 ◽

pp. 313-379

Keyword(s):

Numerical Schemes ◽

Pricing Options

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The Stability Analysis of a Class of Numerical Schemes for Partial Differential Systems

2019 Chinese Control Conference (CCC) ◽

10.23919/chicc.2019.8865584 ◽

2019 ◽

Author(s):

Xinrong Cong ◽

Shuxia Zhang ◽

Longsuo Li

Keyword(s):

Stability Analysis ◽

Numerical Schemes ◽

Partial Differential ◽

Differential Systems ◽

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Proper orthogonal decomposition for pricing options

The Journal of Computational Finance ◽

10.21314/jcf.2012.246 ◽

2012 ◽

Vol 16 (1) ◽

pp. 33-46 ◽

Author(s):

Olivier Pironneau

Keyword(s):

Proper Orthogonal Decomposition ◽

Orthogonal Decomposition ◽

Pricing Options ◽

Proper Orthogonal

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Pricing Options on the Dax - An Empirical Investigation

SSRN Electronic Journal ◽

10.2139/ssrn.1149417 ◽

2006 ◽

Author(s):

Rene Reinsberg

Keyword(s):

Empirical Investigation ◽

Pricing Options

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Pricing Options Under Conservative Conditions

SSRN Electronic Journal ◽

10.2139/ssrn.2400066 ◽

2014 ◽

Author(s):

Cetin Hakimoglu

Keyword(s):

Pricing Options

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Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2571507 ◽

2015 ◽

Author(s):

Duy-Minh Dang ◽

Duy Nguyen ◽

Granville Sewell

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Numerical Schemes ◽

State Dependent

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Spectral Methods and Pricing Options on Private Equity

SSRN Electronic Journal ◽

10.2139/ssrn.2600684 ◽

2015 ◽

Author(s):

Peter Carr ◽

Pratik Worah

Keyword(s):

Spectral Methods ◽

Private Equity ◽

Pricing Options

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Pricing Options on Mean Reverting Underliers

SSRN Electronic Journal ◽

10.2139/ssrn.2747131 ◽

2016 ◽

Author(s):

Dilip B. Madan

Keyword(s):

Pricing Options

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Pricing Options on Realized Variance

SSRN Electronic Journal ◽

10.2139/ssrn.684087 ◽

2005 ◽

Author(s):

Peter P. Carr ◽

Hélyette Geman ◽

Dilip B. Madan ◽

Marc Yor

Keyword(s):

Realized Variance ◽

Pricing Options

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Journal of the American Chemical Society ◽

10.1021/ja040926x ◽

2004 ◽

Vol 126 (21) ◽

pp. 6834-6834

Author(s):

Timothy J. Smith ◽

Keith J. Stevenson

Keyword(s):

Pricing Options ◽

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The Asymptotic Diffusion Limit of Numerical Schemes for the SN Transport Equation

Nuclear Science and Engineering ◽

10.1080/00295639.2019.1638660 ◽

2019 ◽

Vol 193 (12) ◽

pp. 1339-1354

Author(s):

Dean Wang

Keyword(s):

Transport Equation ◽

Diffusion Limit ◽

Numerical Schemes

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