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Sparse wavelet methods for option pricing under stochastic volatility
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Sparse wavelet methods for option pricing under stochastic volatility (2005)Sparse wavelet methods for option pricing…High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids (2013)High-Order Compact Finite Dif…Finite-Element Methods (2012)Finite-Element MethodsNumerical methods for Lévy processes (2009)Numerical methods for Lévy pr…A Spectral Element Approximation to Price European Options with One Asset and Stochastic Volatility (2009)A Spectral Element Approximat…ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS (2007)ANISOTROPIC STABLE LEVY COPUL…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)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A New Spectral Element Method for Pricing European Options Under the Black–Scholes and Merton Jump Diffusion Models (2011)THE GARCH OPTION PRICING MODEL (1995)Option pricing: A simplified approach (1979)Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing (2011)Numerical solution of stochastic differential equations (2016)Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (2020)Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (2021)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Financial Modelling with Jump Processes (2003)Limit Theorems for Stochastic Processes (2003)
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  • 2012Finite-Element Methods46 cited
  • 2009A Spectral Element Approximation to Price European Options with One Asset and Stochastic Volatility46 cited
  • 2007ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS35 cited
  • 2009Numerical methods for Lévy processes34 cited
  • 2013High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids32 cited

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