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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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Extracting Information from the Market to Price the Weather Derivatives
TL;DR: In this paper, the daily average temperature obeys a mean-reverting jump-EGARCH process since it is shown that the temperature is not normally distributed and exhibits a time-varying volatility.
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Numerical valuation of basket credit derivatives in structural jump-diffusion models
TL;DR: In this paper, a model where each company's asset value follows a jump-diusion process, and is connected with other companies via global factors is considered, and an algorithm for the estimation of CDO index and tranche spreads consistent with underlying CDSs is developed.
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Fourth‐order compact scheme with local mesh refinement for option pricing in jump‐diffusion model
Spike T. Lee,Hai-Wei Sun +1 more
TL;DR: In this paper, the value of a contingent claim under a jump-difiusion process satisfles a partial integro-diffierential equation is discretized in time by an implicit-explicit method.
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Pricing Parisian and Parasian options analytically
Song-Ping Zhu,Wenting Chen +1 more
TL;DR: In this article, two analytic solutions for the valuation of European-style Parisian and Parasian options under the Black-Scholes framework are presented, respectively, and numerical evaluation of these integrals is straightforward.
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An accurate and efficient numerical method for black-scholes equations
TL;DR: An ecient and accurate finite-dierence method for computing Black-Scholes partial dierential equations with multi- underlying assets and computational results showing the performance of the method for two underlying asset option pricing problems are provided.