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Space–time adaptive finite difference method for European multi-asset options
16 references·5 citing·33 second hop
Space–time adaptive finite difference method for European multi-asset options (2007)Space–time adaptive finite difference met…Theory of rational option pricing (2005)Theory of rational option pri…Computational Methods for Option Pricing (2005)Computational Methods for Opt…Operator splitting methods for American option pricing (2004)Operator splitting methods fo…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…The adaptive mesh model: a new approach to efficient option pricing (1999)The adaptive mesh model: a ne…Multigrid for American option pricing with stochastic volatility (1999)Multigrid for American option…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Quasi-Monte Carlo Methods in Numerical Finance (1996)Quasi-Monte Carlo Methods in …Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …The valuation of warrants: Implementing a new approach (1977)The valuation of warrants: Im…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach (2019)Improved numerical solution o…Adaptive and high-order methods for valuing American options (2011)Adaptive and high-order metho…Pricing American options using a space-time adaptive finite difference method (2010)Pricing American options usin…Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility (2009)Lagrange Multiplier Approach …Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation (2009)Boundary Values and Finite Di…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Robust numerical methods for contingent claims under jump diffusion processes (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2005Computational Methods for Option Pricing376 cited
  • 1977The valuation of warrants: Implementing a new approach254 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 1999The adaptive mesh model: a new approach to efficient option pricing222 cited
  • 1999Multigrid for American option pricing with stochastic volatility208 cited
  • 2004Operator splitting methods for American option pricing

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192 cited

Cited by

  • 2009Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation44 cited
  • 2009Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility43 cited
  • 2019Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach36 cited
  • 2010Pricing American options using a space-time adaptive finite difference method35 cited
  • 2011Adaptive and high-order methods for valuing American options29 cited