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Analysis of the stability of the linear boundary condition for the Black–Scholes equation
2 references·11 citing·45 second hop
Analysis of the stability of the linear boundary condition for the Black–Scholes equation (2004)Analysis of the stability of the linear b…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Far Field Boundary Conditions for Black--Scholes Equations (2000)Far Field Boundary Conditions…Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing (2011)Finite volume difference sche…Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009)Valuing the Guaranteed Minimu…Implications of a regime-switching model on natural gas storage valuation and optimal operation (2009)Implications of a regime-swit…An Artificial Boundary Method for American Option Pricing under the CEV Model (2008)An Artificial Boundary Method…A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008)A FAST, STABLE AND ACCURATE N…On coordinate transformation and grid stretching for sparse grid pricing of basket options (2007)On coordinate transformation …Numerical solution of two asset jump diffusion models for option valuation (2007)Numerical solution of two ass…Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange–Galerkin methods (2006)Numerical solution of variati…Numerical Methods and Volatility Models for Valuing Cliquet Options (2006)Numerical Methods and Volatil…Pricing methods and hedging strategies for volatility derivatives (2005)Pricing methods and hedging s…A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (2005)A Semi-Lagrangian Approach fo…Multigrid for American option pricing with stochastic volatility (1999)Multi-asset option pricing using a parallel Fourier-based technique (2008)Pricing multi-asset options with sparse grids (2008)Finite-Element Methods (2012)Theory of Rational Option Pricing (1973)The Analytic Valuation of American Options (1990)Theory of rational option pricing (2005)Valuing American options under the CEV model by Laplace–Carson transforms (2010)American Option Valuation under Continuous-Time Markov Chains (2015)A multiquadric quasi-interpolations method for CEV option pricing model (2018)Option pricing when underlying stock returns are discontinuous (1976)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Financial Modelling with Jump Processes (2003)Penalty methods for continuous-time portfolio selection with proportional transaction costs (2010)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Options, Futures and Other Derivatives (2003)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)“Options, Futures, and Other Derivatives” (2016)Regression Modeling for the Valuation of Large Variable Annuity Portfolios (2016)Moment matching machine learning methods for risk management of large variable annuity portfolios (2017)The Pricing of Options and Corporate Liabilities (1973)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)The Crash of ʼ87: Was It Expected? 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this work references cited by second hop

References

  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited

Cited by

  • 2005A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion102 cited
  • 2009Implications of a regime-switching model on natural gas storage valuation and optimal operation79 cited
  • 2005Pricing methods and hedging strategies for volatility derivatives73 cited
  • 2007Numerical solution of two asset jump diffusion models for option valuation71 cited
  • 2008A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS52 cited
  • 2007On coordinate transformation and grid stretching for sparse grid pricing of basket options51 cited
  • 2008An Artificial Boundary Method for American Option Pricing under the CEV Model47 cited
  • 2009Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals43 cited
  • 2006Numerical Methods and Volatility Models for Valuing Cliquet Options34 cited
  • 2006Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange–Galerkin methods32 cited
  • 2011Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing27 cited

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