Chen, Feng; Shen, Jie Stability and error analysis of operator splitting methods for American options under the Black-Scholes model. (English) Zbl 1433.91173 J. Sci. Comput. 82, No. 2, Paper No. 33, 17 p. (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{F. Chen} and \textit{J. Shen}, J. Sci. Comput. 82, No. 2, Paper No. 33, 17 p. (2020; Zbl 1433.91173) Full Text: DOI
Li, Limei; Lapin, Alexander; Zhang, Shuhua Alternating direction implicit finite element method for multi-dimensional Black-Scholes models. (English) Zbl 1488.65435 Adv. Appl. Math. Mech. 11, No. 2, 535-558 (2019). MSC: 65M60 65N06 65N30 65M12 65M15 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{L. Li} et al., Adv. Appl. Math. Mech. 11, No. 2, 535--558 (2019; Zbl 1488.65435) Full Text: DOI
Chen, Chris; Wang, Zeqi; Yang, Yue A new operator splitting method for American options under fractional Black-Scholes models. (English) Zbl 1442.65151 Comput. Math. Appl. 77, No. 8, 2130-2144 (2019). MSC: 65M06 35R11 91G60 PDFBibTeX XMLCite \textit{C. Chen} et al., Comput. Math. Appl. 77, No. 8, 2130--2144 (2019; Zbl 1442.65151) Full Text: DOI
Heo, Youngjin; Han, Hyunsoo; Jang, Hanbyeol; Choi, Yongho; Kim, Junseok Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. (English) Zbl 1431.91434 J. Korean Soc. Ind. Appl. Math. 23, No. 1, 19-30 (2019). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{Y. Heo} et al., J. Korean Soc. Ind. Appl. Math. 23, No. 1, 19--30 (2019; Zbl 1431.91434) Full Text: DOI
Gan, Xiao-Ting; Yin, Jun-Feng; Guo, Yun-Xiang Finite volume method for pricing European and American options under jump-diffusion models. (English) Zbl 1375.91241 East Asian J. Appl. Math. 7, No. 2, 227-247 (2017). MSC: 91G60 91G20 65M08 65M12 65M60 65N40 35Q91 PDFBibTeX XMLCite \textit{X.-T. Gan} et al., East Asian J. Appl. Math. 7, No. 2, 227--247 (2017; Zbl 1375.91241) Full Text: DOI
Ballestra, Luca Vincenzo; Cecere, Liliana A fast numerical method to price American options under the Bates model. (English) Zbl 1357.91051 Comput. Math. Appl. 72, No. 5, 1305-1319 (2016). MSC: 91G60 65M70 91G20 60G40 PDFBibTeX XMLCite \textit{L. V. Ballestra} and \textit{L. Cecere}, Comput. Math. Appl. 72, No. 5, 1305--1319 (2016; Zbl 1357.91051) Full Text: DOI
Zhou, Shengwu; Han, Lei; Li, Wei; Zhang, Yan; Han, Miao A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process. (English) Zbl 1351.91024 Comput. Appl. Math. 34, No. 3, 881-900 (2015). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{S. Zhou} et al., Comput. Appl. Math. 34, No. 3, 881--900 (2015; Zbl 1351.91024) Full Text: DOI
Xi, Jun; Chen, Yanqing; Cao, Jianwen Algorithms of finite difference for pricing American options under fractional diffusion models. (English) Zbl 1407.91277 Math. Probl. Eng. 2014, Article ID 364868, 8 p. (2014). MSC: 91G60 45K05 35R11 65M06 91G20 PDFBibTeX XMLCite \textit{J. Xi} et al., Math. Probl. Eng. 2014, Article ID 364868, 8 p. (2014; Zbl 1407.91277) Full Text: DOI
Calvo-Garrido, M. Carmen; Vázquez, Carlos Pricing pension plans under jump-diffusion models for the salary. (English) Zbl 1369.91190 Comput. Math. Appl. 68, No. 12, Part A, 1933-1944 (2014). MSC: 91G60 65M60 91G20 PDFBibTeX XMLCite \textit{M. C. Calvo-Garrido} and \textit{C. Vázquez}, Comput. Math. Appl. 68, No. 12, Part A, 1933--1944 (2014; Zbl 1369.91190) Full Text: DOI
Huang, Jian; Cen, Zhongdi; Le, Anbo A finite difference scheme for pricing American put options under Kou’s jump-diffusion model. (English) Zbl 1264.91138 J. Funct. Spaces Appl. 2013, Article ID 651573, 11 p. (2013). MSC: 91G60 91G20 65N06 PDFBibTeX XMLCite \textit{J. Huang} et al., J. Funct. Spaces Appl. 2013, Article ID 651573, 11 p. (2013; Zbl 1264.91138) Full Text: DOI
Kim, Beom Jin; Ahn, Cheonghee; Choe, Hi Jun Direct computation for American put option and free boundary using finite difference method. (English) Zbl 1258.91219 Japan J. Ind. Appl. Math. 30, No. 1, 21-37 (2013). MSC: 91G60 PDFBibTeX XMLCite \textit{B. J. Kim} et al., Japan J. Ind. Appl. Math. 30, No. 1, 21--37 (2013; Zbl 1258.91219) Full Text: DOI
Lee, Spike T.; Liu, Xin; Sun, Hai-Wei Fast exponential time integration scheme for option pricing with jumps. (English) Zbl 1274.91481 Numer. Linear Algebra Appl. 19, No. 1, 87-101 (2012). Reviewer: Paolo Novati (Padova) MSC: 91G60 65F10 65F60 65L99 91G20 PDFBibTeX XMLCite \textit{S. T. Lee} et al., Numer. Linear Algebra Appl. 19, No. 1, 87--101 (2012; Zbl 1274.91481) Full Text: DOI
Heinecke, Alexander; Schraufstetter, Stefanie; Bungartz, Hans-Joachim A highly parallel Black–Scholes solver based on adaptive sparse grids. (English) Zbl 1255.91448 Int. J. Comput. Math. 89, No. 9, 1212-1238 (2012). MSC: 91G80 35Q68 65N30 65M50 PDFBibTeX XMLCite \textit{A. Heinecke} et al., Int. J. Comput. Math. 89, No. 9, 1212--1238 (2012; Zbl 1255.91448) Full Text: DOI
Salmi, Santtu; Toivanen, Jari Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models. (English) Zbl 1255.91410 Int. J. Comput. Math. 89, No. 9, 1112-1134 (2012). MSC: 91G20 35K85 65M06 65Y20 91G60 PDFBibTeX XMLCite \textit{S. Salmi} and \textit{J. Toivanen}, Int. J. Comput. Math. 89, No. 9, 1112--1134 (2012; Zbl 1255.91410) Full Text: DOI
Chen, Feng; Shen, Jie; Yu, Haijun A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models. (English) Zbl 1254.91745 J. Sci. Comput. 52, No. 3, 499-518 (2012). MSC: 91G60 65M70 91G20 PDFBibTeX XMLCite \textit{F. Chen} et al., J. Sci. Comput. 52, No. 3, 499--518 (2012; Zbl 1254.91745) Full Text: DOI
Salmi, Santtu; Toivanen, Jari An iterative method for pricing American options under jump-diffusion models. (English) Zbl 1213.91164 Appl. Numer. Math. 61, No. 7, 821-831 (2011). MSC: 91G60 65N06 90C33 91G20 PDFBibTeX XMLCite \textit{S. Salmi} and \textit{J. Toivanen}, Appl. Numer. Math. 61, No. 7, 821--831 (2011; Zbl 1213.91164) Full Text: DOI