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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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Journal ArticleDOI
An Efficient Wavelet Based Approximation Method to Time Fractional Black-Scholes European Option Pricing Problem Arising in Financial Market
TL;DR: A wavelet based hybrid method is employed to provide the quick and accurate solutions of fractional Black-Scholes equation with boundary condition for a European option pricing (EOP) problem.
Journal ArticleDOI
Efficient Computation of Exposure Profiles for Counterparty Credit Risk
TL;DR: In this article, three computational techniques for approximation of counterparty exposure for financial derivatives are presented, which involve a Monte Carlo path discretization and simulation of the underlying entities along the generated paths, the corresponding values and distributions are computed during the entire lifetime of the option.
Book ChapterDOI
High performance computing for a financial application using fast fourier transform
TL;DR: This study has improved a recently proposed mathematical model of Fourier transform technique for pricing financial derivatives to help design and develop an effective parallel algorithm using a swapping technique that exploits data locality.
Journal ArticleDOI
Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models
TL;DR: Three implicit-explicit (IMEX) time semi-discretization methods are developed for solving parabolic partial integro-differential equations which arise in option pricing theory when the underlying asset follows a jump diffusion process, showing stability, convergence and computational complexity of the methods.
Journal ArticleDOI
A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
TL;DR: In this paper, the authors deal with the problem of pricing barrier options on an underlying described by the mixed fractional Brownian model and derive an integral representation of it in which the integrand functions must be obtained solving Volterra equations of the first kind.