Cho, Junhyun; Yang, Donghee; Kim, Yejin; Lee, Sungchul An operator splitting method for multi-asset options with the Feynman-Kac formula. (English) Zbl 07667337 Comput. Math. Appl. 135, 93-101 (2023). MSC: 91G60 65M06 65M70 91G20 35R11 PDFBibTeX XMLCite \textit{J. Cho} et al., Comput. Math. Appl. 135, 93--101 (2023; Zbl 07667337) Full Text: DOI
Bùi, Minh N.; Combettes, Patrick L. Analysis and numerical solution of a modular convex Nash equilibrium problem. (English) Zbl 1505.91023 J. Convex Anal. 29, No. 4, 1007-1021 (2022). MSC: 91A11 91A10 65K15 PDFBibTeX XMLCite \textit{M. N. Bùi} and \textit{P. L. Combettes}, J. Convex Anal. 29, No. 4, 1007--1021 (2022; Zbl 1505.91023) Full Text: arXiv Link
Akiyama, Naho; Yamada, Toshihiro A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting. (English) Zbl 1491.60078 Monte Carlo Methods Appl. 28, No. 2, 97-110 (2022). MSC: 60H07 60H35 65C05 65C30 91G60 PDFBibTeX XMLCite \textit{N. Akiyama} and \textit{T. Yamada}, Monte Carlo Methods Appl. 28, No. 2, 97--110 (2022; Zbl 1491.60078) Full Text: DOI
Xu, Chenglong; Su, Bihao; Liu, Chan A quick operator splitting method for option pricing. (English) Zbl 1485.91253 J. Comput. Appl. Math. 406, Article ID 113949, 13 p. (2022). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{C. Xu} et al., J. Comput. Appl. Math. 406, Article ID 113949, 13 p. (2022; Zbl 1485.91253) Full Text: DOI
Almushaira, Mustafa; Chen, Feng; Liu, Fei Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation. (English) Zbl 1470.91322 Results Appl. Math. 10, Article ID 100149, 11 p. (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M70 65J15 91G20 60G40 PDFBibTeX XMLCite \textit{M. Almushaira} et al., Results Appl. Math. 10, Article ID 100149, 11 p. (2021; Zbl 1470.91322) Full Text: DOI
Van Hieu, Dang; Anh, Pham Ky; Muu, Le Dung Modified forward-backward splitting method for variational inclusions. (English) Zbl 1472.65065 4OR 19, No. 1, 127-151 (2021). MSC: 65J15 47H05 47J25 47J20 91B50 PDFBibTeX XMLCite \textit{D. Van Hieu} et al., 4OR 19, No. 1, 127--151 (2021; Zbl 1472.65065) Full Text: DOI
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for the two-asset Merton jump-diffusion model. (English) Zbl 1459.65138 J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021). MSC: 65M06 65N40 65T50 60J74 35R09 45K05 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{L. Boen} and \textit{K. J. in 't Hout}, J. Comput. Appl. Math. 387, Article ID 112309, 16 p. (2021; Zbl 1459.65138) Full Text: DOI arXiv
Grammatico, Sergio On distributed generalized Nash equilibrium seeking. (English) Zbl 1471.93013 Crisostomi, Emanuele (ed.) et al., Analytics for the sharing economy: mathematics, engineering and business perspectives. Cham: Springer. 39-49 (2020). MSC: 93A15 93B28 91A11 91A80 PDFBibTeX XMLCite \textit{S. Grammatico}, in: Analytics for the sharing economy: mathematics, engineering and business perspectives. Cham: Springer. 39--49 (2020; Zbl 1471.93013) Full Text: DOI
Li, Hongshan; Huang, Zhongyi An iterative splitting method for pricing European options under the Heston model. (English) Zbl 1474.65421 Appl. Math. Comput. 387, Article ID 125424, 12 p. (2020). MSC: 65N06 35C20 35K20 35Q91 91G20 91G60 PDFBibTeX XMLCite \textit{H. Li} and \textit{Z. Huang}, Appl. Math. Comput. 387, Article ID 125424, 12 p. (2020; Zbl 1474.65421) Full Text: DOI arXiv
Hieu, Dang Van; Vy, Le Van; Quy, Pham Kim Three-operator splitting algorithm for a class of variational inclusion problems. (English) Zbl 1440.65060 Bull. Iran. Math. Soc. 46, No. 4, 1055-1071 (2020). MSC: 65J15 47H05 47J25 47J20 91B50 PDFBibTeX XMLCite \textit{D. Van Hieu} et al., Bull. Iran. Math. Soc. 46, No. 4, 1055--1071 (2020; Zbl 1440.65060) Full Text: DOI
Boen, Lynn; in ’t Hout, Karel J. Operator splitting schemes for American options under the two-asset Merton jump-diffusion model. (English) Zbl 1444.91207 Appl. Numer. Math. 153, 114-131 (2020). MSC: 91G20 60G40 35Q91 60J74 PDFBibTeX XMLCite \textit{L. Boen} and \textit{K. J. in 't Hout}, Appl. Numer. Math. 153, 114--131 (2020; Zbl 1444.91207) Full Text: DOI arXiv
Chen, Feng; Shen, Jie Stability and error analysis of operator splitting methods for American options under the Black-Scholes model. (English) Zbl 1433.91173 J. Sci. Comput. 82, No. 2, Paper No. 33, 17 p. (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{F. Chen} and \textit{J. Shen}, J. Sci. Comput. 82, No. 2, Paper No. 33, 17 p. (2020; Zbl 1433.91173) Full Text: DOI
Chen, Chris; Wang, Zeqi; Yang, Yue A new operator splitting method for American options under fractional Black-Scholes models. (English) Zbl 1442.65151 Comput. Math. Appl. 77, No. 8, 2130-2144 (2019). MSC: 65M06 35R11 91G60 PDFBibTeX XMLCite \textit{C. Chen} et al., Comput. Math. Appl. 77, No. 8, 2130--2144 (2019; Zbl 1442.65151) Full Text: DOI
Kim, Daewa; Quaini, Annalisa A kinetic theory approach to model Pedestrian dynamics in bounded domains with obstacles. (English) Zbl 1434.35248 Kinet. Relat. Models 12, No. 6, 1273-1296 (2019). MSC: 35Q91 65C20 65M06 91A80 35Q20 PDFBibTeX XMLCite \textit{D. Kim} and \textit{A. Quaini}, Kinet. Relat. Models 12, No. 6, 1273--1296 (2019; Zbl 1434.35248) Full Text: DOI arXiv
Yi, Peng; Pavel, Lacra An operator splitting approach for distributed generalized Nash equilibria computation. (English) Zbl 1411.91031 Automatica 102, 111-121 (2019). MSC: 91A10 91B54 68W15 90B10 91-04 PDFBibTeX XMLCite \textit{P. Yi} and \textit{L. Pavel}, Automatica 102, 111--121 (2019; Zbl 1411.91031) Full Text: DOI arXiv
Kadalbajoo, Mohan K.; Kumar, Alpesh; Tripathi, Lok Pati Radial-basis-function-based finite difference operator splitting method for pricing American options. (English) Zbl 1499.65400 Int. J. Comput. Math. 95, No. 11, 2343-2359 (2018). MSC: 65M06 65M20 65N06 65M70 65D12 91G20 91G60 PDFBibTeX XMLCite \textit{M. K. Kadalbajoo} et al., Int. J. Comput. Math. 95, No. 11, 2343--2359 (2018; Zbl 1499.65400) Full Text: DOI
Mollapourasl, Reza; Haghi, Majid; Liu, Ruihua Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model. (English) Zbl 1416.91404 Appl. Numer. Math. 134, 81-104 (2018). MSC: 91G60 91G20 60J75 60G40 65M06 PDFBibTeX XMLCite \textit{R. Mollapourasl} et al., Appl. Numer. Math. 134, 81--104 (2018; Zbl 1416.91404) Full Text: DOI
in ’t Hout, Karel J.; Toivanen, Jari ADI schemes for valuing European options under the Bates model. (English) Zbl 1390.91327 Appl. Numer. Math. 130, 143-156 (2018). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{K. J. in 't Hout} and \textit{J. Toivanen}, Appl. Numer. Math. 130, 143--156 (2018; Zbl 1390.91327) Full Text: DOI arXiv Link
Pak, Dohyun; Han, Changkyu; Hong, Won-Tak Iterative speedup by utilizing symmetric data in pricing options with two risky assets. (English) Zbl 1412.91238 Symmetry 9, No. 1, Paper No. 12, 16 p. (2017). MSC: 91G60 91G20 65M06 PDFBibTeX XMLCite \textit{D. Pak} et al., Symmetry 9, No. 1, Paper No. 12, 16 p. (2017; Zbl 1412.91238) Full Text: DOI
Mahey, Philippe; Koko, Jonas; Lenoir, Arnaud Decomposition methods for a spatial model for long-term energy pricing problem. (English) Zbl 1359.90168 Math. Methods Oper. Res. 85, No. 1, 137-153 (2017). MSC: 90C90 65K05 90C39 90-08 90B30 91B25 PDFBibTeX XMLCite \textit{P. Mahey} et al., Math. Methods Oper. Res. 85, No. 1, 137--153 (2017; Zbl 1359.90168) Full Text: DOI HAL
Siraj-ul-Islam; Ahmad, Imtiaz A comparative analysis of local meshless formulation for multi-asset option models. (English) Zbl 1403.91377 Eng. Anal. Bound. Elem. 65, 159-176 (2016). MSC: 91G60 65M70 91G20 35Q91 PDFBibTeX XMLCite \textit{Siraj-ul-Islam} and \textit{I. Ahmad}, Eng. Anal. Bound. Elem. 65, 159--176 (2016; Zbl 1403.91377) Full Text: DOI
Ballestra, Luca Vincenzo; Cecere, Liliana A fast numerical method to price American options under the Bates model. (English) Zbl 1357.91051 Comput. Math. Appl. 72, No. 5, 1305-1319 (2016). MSC: 91G60 65M70 91G20 60G40 PDFBibTeX XMLCite \textit{L. V. Ballestra} and \textit{L. Cecere}, Comput. Math. Appl. 72, No. 5, 1305--1319 (2016; Zbl 1357.91051) Full Text: DOI
Shcherbakov, Victor Radial basis function partition of unity operator splitting method for pricing multi-asset American options. (English) Zbl 1354.91169 BIT 56, No. 4, 1401-1423 (2016). MSC: 91G60 65M70 91G20 60G40 PDFBibTeX XMLCite \textit{V. Shcherbakov}, BIT 56, No. 4, 1401--1423 (2016; Zbl 1354.91169) Full Text: DOI Link
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; Bhuruth, Muddun A two-factor jump-diffusion model for pricing convertible bonds with default risk. (English) Zbl 1396.91723 Int. J. Theor. Appl. Finance 19, No. 6, Article ID 1650046, 26 p. (2016). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{R. K. Coonjobeharry} et al., Int. J. Theor. Appl. Finance 19, No. 6, Article ID 1650046, 26 p. (2016; Zbl 1396.91723) Full Text: DOI
Kim, Junseok; Kim, Taekkeun; Jo, Jaehyun; Choi, Yongho; Lee, Seunggyu; Hwang, Hyeongseok; Yoo, Minhyun; Jeong, Darae A practical finite difference method for the three-dimensional Black-Scholes equation. (English) Zbl 1346.91258 Eur. J. Oper. Res. 252, No. 1, 183-190 (2016). MSC: 91G60 65M06 35Q91 91G20 PDFBibTeX XMLCite \textit{J. Kim} et al., Eur. J. Oper. Res. 252, No. 1, 183--190 (2016; Zbl 1346.91258) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. On splitting-based numerical methods for nonlinear models of European options. (English) Zbl 1386.91163 Int. J. Comput. Math. 93, No. 5, 781-796 (2016). MSC: 91G60 35Q91 35B09 65M06 91G20 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, Int. J. Comput. Math. 93, No. 5, 781--796 (2016; Zbl 1386.91163) Full Text: DOI
Ahmadian, D.; Ballestra, L. V. A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion. (English) Zbl 1335.91098 Int. J. Comput. Math. 92, No. 11, 2310-2328 (2015). MSC: 91G60 65M60 65N06 65M12 35K20 35Q91 91G20 PDFBibTeX XMLCite \textit{D. Ahmadian} and \textit{L. V. Ballestra}, Int. J. Comput. Math. 92, No. 11, 2310--2328 (2015; Zbl 1335.91098) Full Text: DOI
Raguet, Hugo; Landrieu, Loïc Preconditioning of a generalized forward-backward splitting and application to optimization on graphs. (English) Zbl 1338.47120 SIAM J. Imaging Sci. 8, No. 4, 2706-2739 (2015). MSC: 47N10 90C25 94A08 62H11 91D20 PDFBibTeX XMLCite \textit{H. Raguet} and \textit{L. Landrieu}, SIAM J. Imaging Sci. 8, No. 4, 2706--2739 (2015; Zbl 1338.47120) Full Text: DOI arXiv
Choi, Yongho; Jeong, Darae; Kim, Junseok; Kim, Young Rock; Lee, Seunggyu; Seo, Seungsuk; Yoo, Minhyun Robust and accurate method for the Black-Scholes equations with payoff-consistent extrapolation. (English) Zbl 1329.91137 Commun. Korean Math. Soc. 30, No. 3, 297-311 (2015). MSC: 91G60 65N06 35Q91 PDFBibTeX XMLCite \textit{Y. Choi} et al., Commun. Korean Math. Soc. 30, No. 3, 297--311 (2015; Zbl 1329.91137) Full Text: DOI
Chernogorova, Tatiana; Valkov, Radoslav Positive numerical splitting method for the Hull and White 2D Black-Scholes equation. (English) Zbl 1319.91155 Numer. Methods Partial Differ. Equations 31, No. 3, 822-846 (2015). MSC: 91G60 91G20 65M08 PDFBibTeX XMLCite \textit{T. Chernogorova} and \textit{R. Valkov}, Numer. Methods Partial Differ. Equations 31, No. 3, 822--846 (2015; Zbl 1319.91155) Full Text: DOI
Lee, Jaewook; Lee, Younhee Stability of an implicit method to evaluate option prices under local volatility with jumps. (English) Zbl 1300.91052 Appl. Numer. Math. 87, 20-30 (2015). MSC: 91G60 91G20 65M06 65M12 PDFBibTeX XMLCite \textit{J. Lee} and \textit{Y. Lee}, Appl. Numer. Math. 87, 20--30 (2015; Zbl 1300.91052) Full Text: DOI
Kim, Junseok; Jeong, Darae; Shin, Dong-Hoon A regime-switching model with the volatility smile for two-asset European options. (English) Zbl 1367.91194 Automatica 50, No. 3, 747-755 (2014). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{J. Kim} et al., Automatica 50, No. 3, 747--755 (2014; Zbl 1367.91194) Full Text: DOI
Jeong, Darae; Kim, Sungki; Choi, Yongho; Hwang, Hyeongseok; Kim, Junseok Comparison of numerical methods (Bi-CGSTAB, OS, MG) for the 2D Black-Scholes equation. (English) Zbl 1297.65093 J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 21, No. 2, 129-139 (2014). MSC: 65M06 91G60 35Q91 PDFBibTeX XMLCite \textit{D. Jeong} et al., J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 21, No. 2, 129--139 (2014; Zbl 1297.65093) Full Text: DOI
Ballestra, Luca Vincenzo; Pacelli, Graziella Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach. (English) Zbl 1402.91887 J. Econ. Dyn. Control 37, No. 6, 1142-1167 (2013). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{L. V. Ballestra} and \textit{G. Pacelli}, J. Econ. Dyn. Control 37, No. 6, 1142--1167 (2013; Zbl 1402.91887) Full Text: DOI
Briceño-Arias, Luis M.; Combettes, Patrick L. Monotone operator methods for Nash equilibria in non-potential games. (English) Zbl 1284.91014 Bailey, David H. (ed.) et al., Computational and analytical mathematics. In Honor of Jonathan Borwein’s 60th birthday. Selected papers based on the presentations at the workshop, also known as JonFest, Simon Fraser University, BC, Canada, May 16–20, 2011. New York, NY: Springer (ISBN 978-1-4614-7620-7/hbk; 978-1-4614-7621-4/ebook). Springer Proceedings in Mathematics & Statistics 50, 143-159 (2013). MSC: 91A10 91A06 47H05 90C25 PDFBibTeX XMLCite \textit{L. M. Briceño-Arias} and \textit{P. L. Combettes}, Springer Proc. Math. Stat. 50, 143--159 (2013; Zbl 1284.91014) Full Text: DOI arXiv
Halperin, Igor; Itkin, Andrey Pricing illiquid options with \(N+1\) liquid proxies using mixed dynamic-static hedging. (English) Zbl 1295.91087 Int. J. Theor. Appl. Finance 16, No. 7, Article ID 1350033, 17 p. (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{I. Halperin} and \textit{A. Itkin}, Int. J. Theor. Appl. Finance 16, No. 7, Article ID 1350033, 17 p. (2013; Zbl 1295.91087) Full Text: DOI arXiv
Jo, Joonglee; Kim, Yongsik Comparison of numerical schemes on multi-dimensional Black-Scholes equations. (English) Zbl 1281.91185 Bull. Korean Math. Soc. 50, No. 6, 2035-2051 (2013). Reviewer: George Stoica (Saint John) MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{J. Jo} and \textit{Y. Kim}, Bull. Korean Math. Soc. 50, No. 6, 2035--2051 (2013; Zbl 1281.91185) Full Text: DOI Link
Jeong, Darae; Kim, Junseok A comparison study of ADI and operator splitting methods on option pricing models. (English) Zbl 1270.91096 J. Comput. Appl. Math. 247, 162-171 (2013). MSC: 91G20 65C30 60H35 PDFBibTeX XMLCite \textit{D. Jeong} and \textit{J. Kim}, J. Comput. Appl. Math. 247, 162--171 (2013; Zbl 1270.91096) Full Text: DOI
Thakoor, Nawdha; Tangman, Yannick; Bhuruth, Muddun Numerical pricing of financial derivatives using Jain’s high-order compact scheme. (English) Zbl 1279.91187 Math. Sci., Springer 6, Paper No. 72, 16 p. (2012). MSC: 91G60 91G20 91G30 PDFBibTeX XMLCite \textit{N. Thakoor} et al., Math. Sci., Springer 6, Paper No. 72, 16 p. (2012; Zbl 1279.91187) Full Text: DOI
Briceño-Arias, Luis M. A Douglas-Rachford splitting method for solving equilibrium problems. (English) Zbl 1246.91103 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 75, No. 16, 6053-6059 (2012). MSC: 91B74 90C30 47J20 47J22 PDFBibTeX XMLCite \textit{L. M. Briceño-Arias}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 75, No. 16, 6053--6059 (2012; Zbl 1246.91103) Full Text: DOI arXiv
Kwon, Yonghoon; Lee, Younhee A second-order tridiagonal method for American options under jump-diffusion models. (English) Zbl 1227.91034 SIAM J. Sci. Comput. 33, No. 4, 1860-1872 (2011). MSC: 91G20 91G60 65M06 65M12 47G20 PDFBibTeX XMLCite \textit{Y. Kwon} and \textit{Y. Lee}, SIAM J. Sci. Comput. 33, No. 4, 1860--1872 (2011; Zbl 1227.91034) Full Text: DOI Link
Jeong, Darae; Wee, In-Suk; Kim, Junseok An operator splitting method for pricing the ELS option. (English) Zbl 1237.91231 J. Korean Soc. Ind. Appl. Math. 14, No. 3, 175-187 (2010). MSC: 91G60 91G20 65M06 PDFBibTeX XMLCite \textit{D. Jeong} et al., J. Korean Soc. Ind. Appl. Math. 14, No. 3, 175--187 (2010; Zbl 1237.91231)
Toivanen, Jari Numerical valuation of European and american options under Kou’s jump-diffusion model. (English) Zbl 1178.35225 SIAM J. Sci. Comput. 30, No. 4, 1949-1970 (2008). Reviewer: Prabhat Kumar Mahanti (Saint John) MSC: 35K85 65M06 35Q91 91G80 91B25 35A35 PDFBibTeX XMLCite \textit{J. Toivanen}, SIAM J. Sci. Comput. 30, No. 4, 1949--1970 (2008; Zbl 1178.35225) Full Text: DOI
Ikonen, Samuli; Toivanen, Jari Efficient numerical methods for pricing American options under stochastic volatility. (English) Zbl 1152.91516 Numer. Methods Partial Differ. Equations 24, No. 1, 104-126 (2008). MSC: 91G60 65M99 65M06 91G20 PDFBibTeX XMLCite \textit{S. Ikonen} and \textit{J. Toivanen}, Numer. Methods Partial Differ. Equations 24, No. 1, 104--126 (2008; Zbl 1152.91516) Full Text: DOI
Sun, Peng; Zhang, Lei; Zhao, Weidong A kind of finite volume method for pricing American options. (Chinese. English summary) Zbl 1174.91445 J. Shandong Univ., Nat. Sci. 42, No. 6, 1-6 (2007). MSC: 91B28 65M60 PDFBibTeX XMLCite \textit{P. Sun} et al., J. Shandong Univ., Nat. Sci. 42, No. 6, 1--6 (2007; Zbl 1174.91445)
Kilianová, Soňa; Ševčovič, Daniel Analytical and numerical methods for stock index derivative pricing. (English) Zbl 1165.91405 J. Electr. Eng. 55, No. 12/S, 39-42 (2004). MSC: 91B28 35K05 65M15 65M55 65M06 PDFBibTeX XMLCite \textit{S. Kilianová} and \textit{D. Ševčovič}, J. Electr. Eng. 55, No. 12/S, 39--42 (2004; Zbl 1165.91405)
Ikonen, S.; Toivanen, J. Operator splitting methods for American option pricing. (English) Zbl 1063.65081 Appl. Math. Lett. 17, No. 7, 809-814 (2004). MSC: 65M06 90C33 91G60 35K15 91G20 60G40 PDFBibTeX XMLCite \textit{S. Ikonen} and \textit{J. Toivanen}, Appl. Math. Lett. 17, No. 7, 809--814 (2004; Zbl 1063.65081) Full Text: DOI
Misawa, Tetsuya A Lie algebraic approach to numerical integration of stochastic differential equations. (English) Zbl 1004.65010 SIAM J. Sci. Comput. 23, No. 3, 866-890 (2001). Reviewer: Eckhard Platen (Broadway) MSC: 65C30 60H10 60H35 17B66 91G60 37H10 PDFBibTeX XMLCite \textit{T. Misawa}, SIAM J. Sci. Comput. 23, No. 3, 866--890 (2001; Zbl 1004.65010) Full Text: DOI