Search Results - subject:"Method of Lines"

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Taxation and policyholder behaviour : the case of guaranteed minimum accumulation benefits

Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - 2020

Persistent link: https://www.econbiz.de/10012582575

Pricing American options with jumps in asset and volatility

Taruvinga, Blessing; Kang, Boda; Nikitopoulos, … - 2019 - Updated January 2019

Persistent link: https://www.econbiz.de/10013255767

The Evaluation Of Barrier Option Prices Under Stochastic Volatility

Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - Finance Discipline Group, Business School - 2010

are driven by stochastic volatility following the square root process of Heston (1993). We develop a method of lines …

Persistent link: https://www.econbiz.de/10008487694

The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach

Chiarella, Carl; Kang, Boda - Finance Discipline Group, Business School - 2009

Method of Lines. …

Persistent link: https://www.econbiz.de/10004984506

An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics

Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - Finance Discipline Group, Business School - 2009

This paper considers the problem of pricing American options when the dynamics of the underlying are driven by both stochastic volatility following a square root process as used by Heston (1993), and by a Poisson jump process as introduced by Merton (1976). Probability arguments are invoked to...

Persistent link: https://www.econbiz.de/10008492104

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - Finance Discipline Group, Business School - 2008

of the type originally introduced by Merton (1976). We develop a method of lines algorithm to evaluate the price as well … gamma to the same level of accuracy for a given computational effort then the method of lines seems to perform best amongst … Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines Carl Chiarella, Boda Kang, Gunter H Meyer, and …

Persistent link: https://www.econbiz.de/10004987159

Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines

McDonald, Stuart - Volkswirtschaftliche Fakultät, … - 2006

-time continuum. This paper provides a new method for solving SPDEs based on the method of lines (MOL). MOL is a technique that has …

Persistent link: https://www.econbiz.de/10005837318