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Compact finite difference scheme with hermite interpolation for pricing American put options based on regime switching model
Nwankwo, Chinonso I.; Dai, Weizhong; Liu, Rui Hua - In: Computational economics 62 (2023) 3, pp. 817-854
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014382839
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Numerical approximation to a variable-order time-fractional Black-Scholes model with applications in option pricing
Zhang, Meihui; Zheng, Xiangcheng - In: Computational economics 62 (2023) 3, pp. 1155-1175
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014382889
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The convergence analysis of the numerical calculation to price the time-fractional black-scholes model
Mesgarani, H.; Bakhshandeh, M.; Aghdam, Y. Esmaeelzade; … - In: Computational economics 62 (2023) 4, pp. 1845-1856
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014437608
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On the numerical option pricing methods : fractional black-scholes equations with CEV assets
Banihashemi, S.; Ghasemifard, A.; Babaei, A. - In: Computational economics 64 (2024) 3, pp. 1463-1488
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015143934
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Testing the closed-form spread option pricing formula based on Gauss-hermite quadrature for a jump-diffusion model
Lin, Xenos Chang-Shuo; Miao, Daniel Wei-Chung; Chang, … - In: Computational economics 64 (2024) 5, pp. 2879-2908
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015144084
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Option pricing and local volatility surface by physics-informed neural network
Bae, Hyeong-Ohk; Kang, Seunggu; Lee, Muhyun - In: Computational economics 64 (2024) 5, pp. 3143-3159
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015144116
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Numerically pricing nonlinear time-fractional Black-Scholes equation with time-dependent parameters under transaction costs
Rezaei, M.; Yazdanian, A. R.; Ashrafi, A.; Mahmoudi, S. M. - In: Computational economics 60 (2022) 1, pp. 243-280
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013262670
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A robust nNumerical scheme for pricing American options under regime switching based on penalty method
Zhang, K.; Teo, Kok Lay; Swartz, M. - In: Computational economics 43 (2014) 4, pp. 463-483
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010396243
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Efficient high-order numerical methods for pricing of options
Hajipour, Mojtaba; Malek, Alaeddin - In: Computational economics 45 (2015) 1, pp. 31-47
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010511343
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A highly accurate finite element method to price discrete double barrier options
Golbabai, A.; Ballestra, L. V.; Ahmadian, D. - In: Computational economics 44 (2014) 2, pp. 153-173
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010438023