Search Results - subject:"Method-of-lines"

Taxation and policyholder behavior : the case of guaranteed minimum accumulation benefits

Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 185-212

Persistent link: https://www.econbiz.de/10014485606

Method of lines for valuation and sensitivities of Bermudan options

Banerjee, Purba; Murthy, Vasudeva; Jain, Shashi - In: Computational economics 63 (2024) 1, pp. 245-270

Persistent link: https://www.econbiz.de/10014472099

Taxation and policyholder behaviour : the case of guaranteed minimum accumulation benefits

Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - 2020

Persistent link: https://www.econbiz.de/10012582575

Pricing American options with jumps in asset and volatility

Taruvinga, Blessing; Kang, Boda; Nikitopoulos, … - 2019 - Updated January 2019

Persistent link: https://www.econbiz.de/10013255767

A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics

Garces, Len Patrick Dominic M.; Cheang, Gerald H. L. - In: Quantitative finance 21 (2021) 12, pp. 2025-2054

Persistent link: https://www.econbiz.de/10012696809

Non-linear Gaussian sovereign CDS pricing models

Realdon, Marco - In: Quantitative finance 19 (2019) 2, pp. 191-210

Persistent link: https://www.econbiz.de/10012194648

Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates

Kang, Boda; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 79 (2018), pp. 43-56

Persistent link: https://www.econbiz.de/10011825347

Stability of the modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term

in 't Hout, K.J.; Mishra, C. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 11, pp. 2540-2548

The modified Craig–Sneyd (MCS) scheme is a promising splitting scheme of the ADI type for multi-dimensional pure diffusion equations having mixed spatial-derivative terms. In this paper we investigate the extension of the MCS scheme to two-dimensional convection–diffusion equations with a...

Persistent link: https://www.econbiz.de/10011050601

Tests of non linear Gaussian term structure models

Realdon, Marco - In: Journal of international financial markets, … 44 (2016), pp. 128-147

Persistent link: https://www.econbiz.de/10011690399

The stability analysis of predictor-corrector method in solving American option pricing model

Kalantari, R.; Shahmorad, S.; Ahmadian, D. - In: Computational economics 47 (2016) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10011712341