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Numerical schemes for option pricing in regime-switching jump diffusion models
Florescu, Ionuţ; Liu, Rui Hua; Mariani, Maria Cristina; … - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-25
Persistent link: https://www.econbiz.de/10010243624
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Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods
Zhuo, Jin; Yin, George; Wu, Fuke - 2013
Persistent link: https://www.econbiz.de/10010349104
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Analysis, geometry, and modeling in finance : advanced methods in option pricing
Henry-Labordère, Pierre - 2009
Persistent link: https://www.econbiz.de/10010251946
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Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
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An inverse finite element method for pricing American options
Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 1, pp. 231-250
Persistent link: https://www.econbiz.de/10009703598
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
Persistent link: https://www.econbiz.de/10009563383
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Accurate numerical solution of Black-Scholes option pricing equations
García-Rubio, Raquel - In: International journal of financial markets and derivatives 2 (2011) 3, pp. 236-243
Persistent link: https://www.econbiz.de/10009389608
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On the valuation of American exchange options : an analytical approximation
Andrikopulos, Andreas A. - In: Applied economics letters 17 (2010) 13/15, pp. 1429-1435
Persistent link: https://www.econbiz.de/10008938267
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Numerics of implied binomial trees
Härdle, Wolfgang; Mysicková, Alena - In: Applied quantitative finance, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003746028
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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217