Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software
Link
http://link.springer.com/content/pdf/10.1007/s10543-018-0722-0.pdf
Reference38 articles.
1. Abell, M.L., Braselton, J.P.: Mathematica by Example, 5th edn. Academic Press, Dordrecht (2017)
2. Borovkova, S., Permana, F., der Weide, J.V.: American basket and spread option pricing by a simple binomial tree. J. Deriv. 19, 29–38 (2012)
3. Butcher, J.C.: Numerical Methods for Ordinary Differential Equations, 2nd edn. Wiley, England (2008)
4. Company, R., Egorova, V.N., Jódar, L., Soleymani, F.: A local radial basis function method for high-dimensional American option pricing problems. Math. Model. Anal. 23, 117–138 (2018)
5. Dang, D.M., Christara, C.C., Jackson, K.R.: An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options. Concurr. Computat. Pract. Exp. 24, 849–866 (2012)
Cited by 15 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE;Applied Mathematics and Computation;2024-02
2. An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options;Journal of Computational and Applied Mathematics;2024-01
3. A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump;Mathematical Methods in the Applied Sciences;2023-09-21
4. On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs;Computers & Mathematics with Applications;2023-08
5. Inverse Multiquadric Function to Price Financial Options under the Fractional Black–Scholes Model;Fractal and Fractional;2022-10-15
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3