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On coordinate transformation and grid stretching for sparse grid pricing of basket options
3 references·3 citing·20 second hop
On coordinate transformation and grid stretching for sparse grid pricing of basket options (2007)On coordinate transformation and grid str…Analysis of the stability of the linear boundary condition for the Black–Scholes equation (2004)Analysis of the stability of …Far Field Boundary Conditions for Black--Scholes Equations (2000)Far Field Boundary Conditions…Multigrid for American option pricing with stochastic volatility (1999)Multigrid for American option…Finite-Element Methods (2012)Finite-Element MethodsPricing multi-asset options with sparse grids (2008)Pricing multi-asset options w…Multi-asset option pricing using a parallel Fourier-based technique (2008)Multi-asset option pricing us…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)Pricing Financial Instruments: The Finite Difference Method (2000)A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (2005)Pricing methods and hedging strategies for volatility derivatives (2005)Implications of a regime-switching model on natural gas storage valuation and optimal operation (2009)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Efficient numerical methods for pricing American options under stochastic volatility (2007)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Operator splitting methods for pricing American options under stochastic volatility (2009)Option pricing: Mathematical models and computation (1994)Methods of Mathematical Finance (1998)A penalty method for American options with jump diffusion processes (2004)Operator splitting methods for American option pricing (2004)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010)A New Spectral Element Method for Pricing European Options Under the Black–Scholes and Merton Jump Diffusion Models (2011)
this work references cited by second hop

References

  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 1999Multigrid for American option pricing with stochastic volatility208 cited
  • 2004Analysis of the stability of the linear boundary condition for the Black–Scholes equation118 cited

Cited by

  • 2008Multi-asset option pricing using a parallel Fourier-based technique48 cited
  • 2012Finite-Element Methods46 cited
  • 2008Pricing multi-asset options with sparse grids27 cited

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