7 search results - page 1 / 2 » Pricing American options using a space-time adaptive finite ... |
MCS
2010
Springer
13 years 5 months ago
2010
Springer
IJPP
2010
13 years 5 months ago
2010
Abstract. We show how computations such as those involved in American or European-style option price valuations with the explicit finite difference method can be performed in par...
SIAMSC
2008
13 years 7 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...
ADBIS
2006
Springer
14 years 1 months ago
2006
Springer
Computational database technology spans the two research fields data-base technology and scientific computing. It involves development of database capabilities that support compu...
WSC
2004
13 years 8 months ago
2004
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...