A predictor–corrector approach for pricing American options under the finite moment log-stable model
Song-ping Zhu
Applied Numerical Mathematics, 2015
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A High-order Front-tracking Finite Difference Method for Pricing American Options under Jump-diffusion Models
Jari Toivanen
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An RBF–FD method for pricing American options under jump–diffusion models
Michèle Vanmaele
Computers & Mathematics with Applications
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Fractional diffusion models of option prices in markets with jumps
Diego Del-castillo-negrete
Physica A: Statistical Mechanics and its Applications, 2007
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Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
Ning Cai
Operations Research, 2012
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Fractional di usion models of options prices in markets with jumps
Diego Del-castillo-negrete
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Numerical Valuation of European and American Options under Kou's Jump-diffusion Model
Jari Toivanen
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An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics
Gerald Cheang
2009
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Option Pricing Under a Double Exponential Jump Diffusion Model
Hui Wang
Management Science, 2004
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THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
Boda Kang
International Journal of Theoretical and Applied Finance, 2009
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The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach
Luca Ballestra
Computers & Mathematics with Applications, 2010
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A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
Ali Panah Ashrafi
Computational Methods for Differential Equations, 2020
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The representation of American options prices under stochastic volatility and jump-diffusion dynamics
Gerald Cheang
Quantitative Finance, 2013
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An Approximate Formula of European Option for Fractional Stochastic Volatility Jump-Diffusion Model
pairote sattayatham
Journal of Mathematics and Statistics, 2011
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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Matache Andrei
Computational Economics, 2012
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Québécoisation method for the pricing of Parisian options with jump risk
Marc Chesney
2016
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Option Pricing for a Jump Diffusion Model with Fractional
pairote sattayatham
2011
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Performance Measure of Laplace Transforms for Pricing Path Dependent Options
Sunday Fadugba
International Journal of Pure and Apllied Mathematics, 2014
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Semi-Analytical Option Pricing Under Double Heston Jump-Diffusion Hybrid Model
Rehez Ahlip
Journal of Mathematical Sciences and Modelling
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An Analysis of Asymptotic Properties and Error Control under the Exponential Jump-Diffusion Model for American Option Pricing
Mehdi ZAHID
Journal of Applied Mathematics
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An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
Mandana Bidarvand
2019
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Pricing American Options in a Jump Diffusion Model
Shih--Feng Huang
2011 14th IEEE International Conference on Computational Science and Engineering, 2011
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A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing
Sedaghat Shahmorad
Computational Economics, 2017
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A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
Saghar Heidari
Computational & Applied Mathematics, 2017
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A Laplace Space Approach to American Options
Zhenyu Cui
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Analytical Solutions of Black-Scholes Partial Differential Equation of Pricing for Valuations of Financial Options using Hybrid Transformation Methods
Gbeminiyi Sobamowo
The Journal of Engineering and Exact Sciences
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Pricing Continuous Asian Options: a Comparison of Monte Carlo and Laplace Transform Inversion Methods
Michael Fu
Journal of Computational Finance, 1999
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A combined compact difference scheme for option pricing in the exponential jump-diffusion models
Mohammad Jahandideh
Advances in Difference Equations
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Compact finite difference method for American option pricing
Matt Davison
Journal of Computational and Applied Mathematics, 2007
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On a hybrid method using trees and finite-differences for pricing options in complex models
Maya Briani
arXiv: Computational Finance, 2016
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A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk
Lihe Wang
Mathematical Problems in Engineering, 2012
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Comparative Analysis of the Time-Fractional Black–Scholes Option Pricing Equations (BSOPE) by the Laplace Residual Power Series Method (LRPSM)
Imran Liaqat
Journal of Mathematics
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Laplace Transform and finite difference methods for the Black–Scholes equation
Aldo Tagliani
Applied Mathematics and Computation, 2013
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Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
Song-ping Zhu
Quarterly of Applied Mathematics, 2014
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Pricing American currency options in a jump diffusion model
Monique Jeanblanc
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