Search Results

• An ADI Sparse Grid Method for Pricing Efficiently American Options under the Heston Model

  A. Clevenhaus, M. Ehrhardt, M. Günther

  2021-11-17

  49626 4119 Pages:1384-1397

• An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation

  Xiaowei Pang, Haiming Song, Xiaoshen Wang, Kai Zhang

  2020-06-01

  50904 3466 Pages:902-919

• Fitted Finite Volume Method for Pricing American Options under Regime-Switching Jump-Diffusion Models Based on Penalty Method

  Xiaoting Gan, Jun-Feng Yin, Rui Li

  2020-04-10

  45242 3402 Pages:748-773

• Valuation of American Call Option Considering Uncertain Volatility

  I. Hlaváček

  2010-02-01

  39823 3759 Pages:211-221