Chen, Yong; Hu, Ruizi \(L^\infty\)-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing. (English) Zbl 07705626 Int. J. Comput. Math. 100, No. 6, 1373-1394 (2023). MSC: 65R20 45K05 91G60 91G20 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{R. Hu}, Int. J. Comput. Math. 100, No. 6, 1373--1394 (2023; Zbl 07705626) Full Text: DOI
Cai, Jiacheng; Yang, Hongtao A finite volume-alternating direction implicit method for the valuation of American options under the Heston model. (English) Zbl 1480.91311 Int. J. Comput. Math. 97, No. 3, 700-724 (2020). MSC: 91G60 65M08 91G20 60G40 PDFBibTeX XMLCite \textit{J. Cai} and \textit{H. Yang}, Int. J. Comput. Math. 97, No. 3, 700--724 (2020; Zbl 1480.91311) Full Text: DOI
Yousuf, M. High-order time stepping scheme for pricing American option under bates model. (English) Zbl 1499.65450 Int. J. Comput. Math. 96, No. 1, 18-32 (2019). MSC: 65M06 65N06 65M20 65L06 65M12 65M15 65Y05 65Y20 91G20 91G60 PDFBibTeX XMLCite \textit{M. Yousuf}, Int. J. Comput. Math. 96, No. 1, 18--32 (2019; Zbl 1499.65450) Full Text: DOI
von Sydow, Lina; Milovanović, Slobodan; Larsson, Elisabeth; In’t Hout, Karel; Wiktorsson, Magnus; Oosterlee, Cornelis W.; Shcherbakov, Victor; Wyns, Maarten; Leitao, Alvaro; Jain, Shashi; Haentjens, Tinne; Waldén, Johan BENCHOP – SLV: the BENCHmarking project in option pricing – stochastic and local volatility problems. (English) Zbl 1499.91177 Int. J. Comput. Math. 96, No. 10, 1910-1923 (2019). MSC: 91G60 65C30 91G20 35Q91 PDFBibTeX XMLCite \textit{L. von Sydow} et al., Int. J. Comput. Math. 96, No. 10, 1910--1923 (2019; Zbl 1499.91177) Full Text: DOI
Singor, Stefan N.; Schols, Eric; Oosterlee, Cornelis W. Approximation of insurance liability contracts using radial basis functions. (English) Zbl 1483.91258 Int. J. Comput. Math. 96, No. 11, 2245-2271 (2019). MSC: 91G60 65D12 91G05 PDFBibTeX XMLCite \textit{S. N. Singor} et al., Int. J. Comput. Math. 96, No. 11, 2245--2271 (2019; Zbl 1483.91258) Full Text: DOI
Pospíšil, Jan; Švígler, Vladimír Isogeometric analysis in option pricing. (English) Zbl 1499.35603 Int. J. Comput. Math. 96, No. 11, 2177-2200 (2019). MSC: 35R09 65M60 65D07 91G20 91G60 PDFBibTeX XMLCite \textit{J. Pospíšil} and \textit{V. Švígler}, Int. J. Comput. Math. 96, No. 11, 2177--2200 (2019; Zbl 1499.35603) Full Text: DOI arXiv
Crisóstomo, Ricardo Speed and biases of Fourier-based pricing choices: a numerical analysis. (English) Zbl 1499.30305 Int. J. Comput. Math. 95, No. 8, 1565-1582 (2018). MSC: 30E10 60H35 65C20 65T50 PDFBibTeX XMLCite \textit{R. Crisóstomo}, Int. J. Comput. Math. 95, No. 8, 1565--1582 (2018; Zbl 1499.30305) Full Text: DOI arXiv
van der Have, Z.; Oosterlee, C. W. The COS method for option valuation under the SABR dynamics. (English) Zbl 1390.91328 Int. J. Comput. Math. 95, No. 2, 444-464 (2018). MSC: 91G60 60H35 65T40 91G20 PDFBibTeX XMLCite \textit{Z. van der Have} and \textit{C. W. Oosterlee}, Int. J. Comput. Math. 95, No. 2, 444--464 (2018; Zbl 1390.91328) Full Text: DOI
Rad, Jamal Amani; Parand, Kourosh Pricing American options under jump-diffusion models using local weak form meshless techniques. (English) Zbl 1367.91197 Int. J. Comput. Math. 94, No. 8, 1694-1718 (2017). MSC: 91G60 65M70 35R35 60J75 91G20 60G40 PDFBibTeX XMLCite \textit{J. A. Rad} and \textit{K. Parand}, Int. J. Comput. Math. 94, No. 8, 1694--1718 (2017; Zbl 1367.91197) Full Text: DOI
Itkin, Andrey LSV models with stochastic interest rates and correlated jumps. (English) Zbl 1367.91193 Int. J. Comput. Math. 94, No. 7, 1291-1317 (2017). MSC: 91G60 91G30 65L12 35R09 91G20 PDFBibTeX XMLCite \textit{A. Itkin}, Int. J. Comput. Math. 94, No. 7, 1291--1317 (2017; Zbl 1367.91193) Full Text: DOI arXiv
Yousuf, M.; Khaliq, A. Q. M.; Liu, R. H. Pricing American options under multi-state regime switching with an efficient \(L\)-stable method. (English) Zbl 1386.91168 Int. J. Comput. Math. 92, No. 12, 2530-2550 (2015). MSC: 91G60 65M06 65M12 65M15 91G20 60G40 PDFBibTeX XMLCite \textit{M. Yousuf} et al., Int. J. Comput. Math. 92, No. 12, 2530--2550 (2015; Zbl 1386.91168) Full Text: DOI
von Sydow, L.; Toivanen, J.; Zhang, C. Adaptive finite differences and IMEX time-stepping to price options under Bates model. (English) Zbl 1386.91170 Int. J. Comput. Math. 92, No. 12, 2515-2529 (2015). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{L. von Sydow} et al., Int. J. Comput. Math. 92, No. 12, 2515--2529 (2015; Zbl 1386.91170) Full Text: DOI Link
von Sydow, Lina; Höök, Lars Josef; Larsson, Elisabeth; Lindström, Erik; Milovanović, Slobodan; Persson, Jonas; Shcherbakov, Victor; Shpolyanskiy, Yuri; Sirén, Samuel; Toivanen, Jari; Waldén, Johan; Wiktorsson, Magnus; Levesley, Jeremy; Li, Juxi; Oosterlee, Cornelis W.; Ruijter, Maria J.; Toropov, Alexander; Zhao, Yangzhang BENCHOP – the benchmarking project in option pricing. (English) Zbl 1335.91113 Int. J. Comput. Math. 92, No. 12, 2361-2379 (2015). MSC: 91G60 65M06 91G20 91-04 PDFBibTeX XMLCite \textit{L. von Sydow} et al., Int. J. Comput. Math. 92, No. 12, 2361--2379 (2015; Zbl 1335.91113) Full Text: DOI Link
Heinecke, Alexander; Schraufstetter, Stefanie; Bungartz, Hans-Joachim A highly parallel Black–Scholes solver based on adaptive sparse grids. (English) Zbl 1255.91448 Int. J. Comput. Math. 89, No. 9, 1212-1238 (2012). MSC: 91G80 35Q68 65N30 65M50 PDFBibTeX XMLCite \textit{A. Heinecke} et al., Int. J. Comput. Math. 89, No. 9, 1212--1238 (2012; Zbl 1255.91448) Full Text: DOI
Kunoth, Angela; Schneider, Christian; Wiechers, Katharina Multiscale methods for the valuation of American options with stochastic volatility. (English) Zbl 1255.91307 Int. J. Comput. Math. 89, No. 9, 1145-1163 (2012). MSC: 91B70 91G60 65M55 35J86 65N30 65D07 PDFBibTeX XMLCite \textit{A. Kunoth} et al., Int. J. Comput. Math. 89, No. 9, 1145--1163 (2012; Zbl 1255.91307) Full Text: DOI Link
Linde, Gunilla; Persson, Jonas; von Sydow, Lina A highly accurate adaptive finite difference solver for the Black-Scholes equation. (English) Zbl 1182.91202 Int. J. Comput. Math. 86, No. 12, 2104-2121 (2009). MSC: 91G60 65N06 65N12 65N50 PDFBibTeX XMLCite \textit{G. Linde} et al., Int. J. Comput. Math. 86, No. 12, 2104--2121 (2009; Zbl 1182.91202) Full Text: DOI