Search Results - subject:"PIDE"

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Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models

Gaß, Maximillian; Glau, Kathrin - In: The journal of computational finance 25 (2022) 4, pp. 79-105

Persistent link: https://www.econbiz.de/10014546290

An unsupervised deep learning approach to solving partial integro-differential equations

Fu, Weilong; Hirsa, Ali - In: Quantitative finance 22 (2022) 8, pp. 1481-1494

Persistent link: https://www.econbiz.de/10013367923

Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options

Bain, Alan; Mariapragassam, Matthieu; Reisinger, Christoph - In: The journal of computational finance 24 (2021) 4, pp. 115-161

Persistent link: https://www.econbiz.de/10012544167

The nonlocal spatial Ramsey model with endogenous productivity growth

Somorowsky, Laura - 2018

Persistent link: https://www.econbiz.de/10012145058

Computing credit valuation adjustment solving coupled PIDEs in the Bates model

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational management science 17 (2020) 2, pp. 163-178

Persistent link: https://www.econbiz.de/10012272056

Fast fourier transform based computation of American options under economic recession induced volatility uncertainty

Bankole, Philip Ajibola; Ugbebor, Olabisi O. - In: Journal of mathematical finance 9 (2019) 3, pp. 494-521

Persistent link: https://www.econbiz.de/10012210366

Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519

Persistent link: https://www.econbiz.de/10011815291

Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials

Itkin, Andrey - In: The journal of computational finance 19 (2016) 3, pp. 29-70

Persistent link: https://www.econbiz.de/10011563465

High order splitting methods for forward PDEs and PIDEs

Itkin, Andrey - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10011403866

Meshfree Approximation for Multi-Asset Options

Hanert, Emmanuel; Venkatramanan, Aanand - Henley Business School, University of Reading - 2008

We price multi-asset options by solving their price partial differential equations using a meshfree approach with radial basis functions under jump-diffusion and geometric Brownian motion frameworks. In the geometric Brownian motion framework, we propose an effective technique that breaks the...

Persistent link: https://www.econbiz.de/10008542357