Milovanović, Slobodan; von Sydow, Lina A high order method for pricing of financial derivatives using radial basis function generated finite differences. (English) Zbl 1453.91108 Math. Comput. Simul. 174, 205-217 (2020). MSC: 91G60 65D12 65M06 91G20 PDFBibTeX XMLCite \textit{S. Milovanović} and \textit{L. von Sydow}, Math. Comput. Simul. 174, 205--217 (2020; Zbl 1453.91108) Full Text: DOI arXiv
Milovanović, Slobodan; von Sydow, Lina Radial basis function generated finite differences for option pricing problems. (English) Zbl 1409.91279 Comput. Math. Appl. 75, No. 4, 1462-1481 (2018). MSC: 91G60 65M70 65M06 91G20 PDFBibTeX XMLCite \textit{S. Milovanović} and \textit{L. von Sydow}, Comput. Math. Appl. 75, No. 4, 1462--1481 (2018; Zbl 1409.91279) Full Text: DOI
von Sydow, Lina; Ghafari, Paria; Lehto, Erik; Wångersjö, Mats 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). MSC: 91G60 91G20 65M06 65M60 PDFBibTeX XMLCite \textit{L. von Sydow} et al., Lect. Notes Comput. Sci. Eng. 112, 607--615 (2016; Zbl 1414.91417) Full Text: DOI
von Sydow, L.; Toivanen, J.; Zhang, C. Adaptive finite differences and IMEX time-stepping to price options under Bates model. (English) Zbl 1386.91170 Int. J. Comput. Math. 92, No. 12, 2515-2529 (2015). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{L. von Sydow} et al., Int. J. Comput. Math. 92, No. 12, 2515--2529 (2015; Zbl 1386.91170) Full Text: DOI Link
Ramage, Alison; von Sydow, Lina A multigrid preconditioner for an adaptive Black-Scholes solver. (English) Zbl 1211.91251 BIT 51, No. 1, 217-233 (2011). MSC: 91G60 65M06 65F08 65M55 PDFBibTeX XMLCite \textit{A. Ramage} and \textit{L. von Sydow}, BIT 51, No. 1, 217--233 (2011; Zbl 1211.91251) Full Text: DOI