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Pricing Financial Instruments: The Finite Difference Method
Curt Randall,Domingo Tavella +1 more
TLDR
The Pricing Equations. as mentioned in this paper and the Finite-difference method are the most commonly used methods for finite difference methods in the literature, and they can be found in:Abstract:
The Pricing Equations. Analysis of Finite Difference Methods. Special Issues. Coordinate Transformations. Numerical Examples. Index.read more
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An exact and explicit solution for the valuation of American put options
TL;DR: In this article, an exact and explicit solution of the well-known Black-Scholes equation for the valuation of American put options is presented for the first time, which is based on the homotopy-analysis method.
Journal Article
ADI finite difference schemes for option pricing in the Heston model with correlation
K. J. in 't Hout,S. Foulon +1 more
TL;DR: In this article, the Alternating Direction Implicit (ADI) type of splitting schemes for the Heston PDE with mixed spatial-derivative terms were investigated. And the results showed that these splitting schemes are very effective in the numerical solution of a two-dimensional convection-diffusion-reaction equation with mixed derivative terms.
Journal ArticleDOI
A penalty method for American options with jump diffusion processes
TL;DR: An implicit discretization method is developed for pricing such American options where the underlying asset follows a jump diffusion process and sufficient conditions for global convergence of the discrete penalized equations at each timestep are derived.
Option Pricing: Valuation Models and Applications
Mark Broadie,Jerome Detemple +1 more
TL;DR: For a survey of the option pricing literature over the last four decades, including many articles that have appeared in the pages of Management Science, see as mentioned in this paper for a comprehensive survey of recent contributions in the field.
Book
Applied stochastic processes and control for Jump-diffusions : modeling, analysis, and computation
TL;DR: The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.