Found 42 Documents (Results 1–42)
A direct discontinuous Galerkin method for a high order nonlocal conservation law. (English) Zbl 1538.65344
A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models. (English) Zbl 1503.65187
Numerical investigation of the variable-order fractional Sobolev equation with non-singular Mittag-Leffler kernel by finite difference and local discontinuous Galerkin methods. (English) Zbl 1498.65157
Stability analysis and error estimates of implicit-explicit Runge-Kutta local discontinuous Galerkin methods for nonlinear fractional convection-diffusion problems. (English) Zbl 1524.65499
An extremely efficient numerical method for pricing options in the Black-Scholes model with jumps. (English) Zbl 1473.91029
A posteriori error bounds for fully-discrete hp-discontinuous Galerkin timestepping methods for parabolic problems. (English) Zbl 1486.65168
Reviewer: Dana Černá (Liberec)
The local discontinuous Galerkin method for convection-diffusion-fractional anti-diffusion equations. (English) Zbl 1447.65070
On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance. (English) Zbl 1422.65189
Numerical solutions of Black-Scholes integro-differential equations with convergence analysis. (English) Zbl 1418.65202
Optimal convergence orders of fully geometric mesh one-leg methods for neutral differential equations with vanishing variable delay. (English) Zbl 1415.65149
The variable-order discontinuous Galerkin time stepping scheme for parabolic evolution problems is uniformly \(L^\infty\)-stable. (English) Zbl 1415.65230
Numerical analysis and computational solution of integro-differential equations. (English) Zbl 1405.65165
Dick, Josef (ed.) et al., Contemporary computational mathematics – a celebration of the 80th birthday of Ian Sloan. In 2 volumes. Cham: Springer (ISBN 978-3-319-72455-3/hbk; 978-3-319-72456-0/ebook). 205-231 (2018).
Two dimensional wavelets collocation scheme for linear and nonlinear Volterra weakly singular partial integro-differential equations. (English) Zbl 1401.35306
American-style options in jump-diffusion models: estimation and evaluation. (English) Zbl 1400.91578
Pricing of basket options using dimension reduction and adaptive finite differences in space, and discontinuous Galerkin in time. (English) Zbl 1414.91417
Karasözen, Bülent (ed.) et al., Numerical mathematics and advanced applications – ENUMATH 2015. Selected papers based on the presentations at the European conference, Ankara, Turkey, September 14–18, 2015. Cham: Springer. Lect. Notes Comput. Sci. Eng. 112, 607-615 (2016).
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. (English) Zbl 1355.60060
Reviewer: Marius Iosifescu (Bucureşti)
Classification of Lévy processes with parabolic Kolmogorov backward equations. (English) Zbl 1443.60045
Theory Probab. Appl. 60, No. 3, 383-406 (2016) and Teor. Veroyatn. Primen. 60, No. 3, 525-552 (2016).
A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process. (English) Zbl 1351.91024
Variational solutions of the pricing PIDEs for European options in Lévy models. (English) Zbl 1395.91497
A radial basis function scheme for option pricing in exponential Lévy models. (English) Zbl 1395.91433
Water wave propagation in unbounded domains. II: Numerical methods for fractional PDEs. (English) Zbl 1349.76343
The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models. (English) Zbl 1339.65191
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (English) Zbl 1303.91189
Option pricing under risk-minimization criterion in an incomplete market with the finite difference method. (English) Zbl 1296.91285
Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models. (English) Zbl 1256.91063
Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models. (English) Zbl 1255.91410
Circulant preconditioners for pricing options. (English) Zbl 1233.91317
Reviewer: Reinhold Kainhofer (Wien)
Wavelet solution of variable order pseudodifferential equations. (English) Zbl 1202.65013
Reviewer: Adrian Carabineanu (Bucureşti)
A posteriori error estimation for \(hp\)-version time-stepping methods for parabolic partial differential equations. (English) Zbl 1191.65124
Reviewer: Marius Ghergu (Dublin)
A componentwise splitting method for pricing American options under the Bates model. (English) Zbl 1201.91207
Fitzgibbon, William (ed.) et al., Applied and numerical partial differential equations. Scientific computing in simulation, optimization and control in a multidisciplinary context. Dordrecht: Springer (ISBN 978-90-481-3238-6/hbk; 978-90-481-3239-3/ebook). Computational Methods in Applied Sciences 15, 213-227 (2010).
Numerical solution of two asset jump diffusion models for option valuation. (English) Zbl 1136.91422
Implicit-explicit numerical schemes for jump-diffusion processes. (English) Zbl 1150.65033
Reviewer: Etienne Emmrich (Berlin)
Linear complexity solution of parabolic integro-differential equations. (English) Zbl 1102.65139
Reviewer: Neville Ford (Chester)
Exotic options under Lévy models: an overview. (English) Zbl 1089.91029
MSC:
91B28
91B26
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