Search Results - subject:"Finite difference method"

Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance

Naumann, Uwe; Du Toit, Jacques - In: The journal of computational finance 21 (2017/2018) 4, pp. 23-57

Persistent link: https://www.econbiz.de/10011848395

The source of error behavior for the solution of Black-Scholes PDE by finite difference and finite element methods

Özer, H. Ünsal; Duran, Ahmet - In: International journal of financial engineering 5 (2018) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011923061

A comparison study of ADI and LOD methods on option pricing models

Bagheri, Neda; Haghighi, Hassan Karnameh - In: Journal of mathematical finance 7 (2017) 2, pp. 275-290

Persistent link: https://www.econbiz.de/10011673885

Finite difference techniques for arbitrage-free SABR

Le Floc'h, Fabien; Kennedy, Gary - In: The journal of computational finance 20 (2016/2017) 3, pp. 51-79

Persistent link: https://www.econbiz.de/10011689679

Sustainability of participation in collective pension schemes : an option pricing approach

Chen, Damiaan H. J.; Beetsma, Roel; Broeders, Dirk W. G. A. - In: Insurance 74 (2017), pp. 182-196

Persistent link: https://www.econbiz.de/10011712469

Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme

Shi, Guangping; Liu, Xiaoxing; Tang, Pan - In: Finance research letters 16 (2016), pp. 220-229

Persistent link: https://www.econbiz.de/10011656186

The stability analysis of predictor-corrector method in solving American option pricing model

Kalantari, R.; Shahmorad, S.; Ahmadian, D. - In: Computational economics 47 (2016) 2, pp. 255-274

Persistent link: https://www.econbiz.de/10011712341

Finite difference modeling of heat distribution in multilayer soils with time-spatial hydrothermal properties

Nowamooz, Hossein; Nikoosokhan, Saeid; Lin, Jian; … - In: Renewable Energy 76 (2015) C, pp. 7-15

difference method while its thermal diffusivity varies with time and depth. First, the input parameters such as water content … difference method is used to model heat distributions in soil profile taking into account the initial and boundary conditions. A …In this study, the heat distribution throughout the profile of unsaturated multilayered soil is determined using finite …

Persistent link: https://www.econbiz.de/10011189956

Which Method for Pricing Weather Derivatives ?

Hamisultane, Hélène - HAL - 2008

Since the introduction of the first weather derivative in the United-States in 1997, a significant number of work was directed towards the pricing of this product and the modelling of the daily average temperature which characterizes most of the traded weather instruments. The weather...

Persistent link: https://www.econbiz.de/10008793721

Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method

Erol, Isil; Patel, Kanak - In: International Real Estate Review 10 (2007) 1, pp. 48-92

pricing method, namely the explicit finite difference method, we evaluate this unique nflation-indexed mortgage contract from …

Persistent link: https://www.econbiz.de/10005092469