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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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Fourth Order Compact Boundary Value Method for Option Pricing with Jumps
Spike T. Lee,Hai-Wei Sun +1 more
TL;DR: A jump-diffusion model which requires solving a partial integro-differential equation and the resulting large sparse system can be solved rapidly by the GMRES method with a circulant Strang-type preconditioner.
Journal Article
Finite element methods for the price and the free boundary of american call and put options
TL;DR: In this article, the authors presented numerical algorithms of finite element method based on the three-level scheme to compute both the price and the free boundary for American call and put options.
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An artificial boundary method for the Hull–White model of American interest rate derivatives
Hoi Ying Wong,Jing Zhao +1 more
TL;DR: The singularity-separating technique is incorporated into the artificial boundary method to enhance accuracy and flexibility of the numerical scheme and show that the proposed scheme is accurate, robust to the truncation size, and more efficient than the popular lattice method for accurate derivative prices.
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A Unified Tree approach for options pricing under stochastic volatility models
TL;DR: In this paper, a simple and efficient tree approach for pricing options under stochastic volatility was developed, which encompasses the models of Heston, Hull-White, Stein-Stein, α -Hypergeometric, 3/2 and 4/2 models.
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Pricing european and american options in the heston model with accelerated explicit finite differencing methods
TL;DR: Super-Time-Stepping (STS) as discussed by the authors is an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, applied to the two-factor problem of option pricing under stochastic volatility.