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Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging

Halperin, Igor; Itkin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-17

Persistent link: https://www.econbiz.de/10010233264

Pricing European and American options with two stochastic factors : a highly efficient radial basis function approach

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Journal of economic dynamics & control 37 (2013) 6, pp. 1142-1167

Persistent link: https://www.econbiz.de/10009740447

Stochastic Volatility with Levy Processes: Calibration and Pricing

Wu, Xianfang - 2005

same numerical technique to different partsof the system. An operator splitting method is proposed to break down the … in a reasonable time. The results show that the operator splitting method is numerically stable and hasthe monotonicity …

Persistent link: https://www.econbiz.de/10009450966

Numerical solution to coupled nonlinear Schrödinger equations on unbounded domains

Zhou, Shenggao; Cheng, Xiaoliang - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 12, pp. 2362-2373

. By using the operator splitting technique, the original problem is decomposed into linear and nonlinear subproblems in a …

Persistent link: https://www.econbiz.de/10011050642

Numerical simulation for a Duffing oscillator driven by colored noise using nonstandard difference scheme

Xie, Wen-Xian; Cai, Li; Xu, Wei - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 183-190

oscillator driven by colored noise. We propose an improved discretization of the standard FP operator-splitting method which …

Persistent link: https://www.econbiz.de/10010872865

Three-phase immiscible displacement in heterogeneous petroleum reservoirs

Abreu, E.; Douglas, J.; Furtado, F.; Marchesin, D.; … - In: Mathematics and Computers in Simulation (MATCOM) 73 (2006) 1, pp. 2-20

We describe a fractional-step numerical procedure for the simulation of immiscible three-phase flow in heterogeneous porous media that takes into account capillary pressure and apply it to indicate the existence of a so-called “transitional” wave in at least some multi-dimensional flows,...

Persistent link: https://www.econbiz.de/10011050412

A numerical study for global atmospheric transport–chemistry problems

Spee, E.J.; Verwer, J.G.; de Zeeuw, P.M.; Blom, J.G.; … - In: Mathematics and Computers in Simulation (MATCOM) 48 (1998) 2, pp. 177-204

operator splitting, particular attention is paid to the issue of solving chemistry and vertical turbulent diffusion coupled or …

Persistent link: https://www.econbiz.de/10010870740