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Variance  6 times
Finite difference method  3 times
Stochastic volatility  2 times
Monte Carlo method  2 times
Integro-differential equation  2 times
Black people  2 times
Algorithm  2 times
Stochastic process  1 time
Reference model  1 time
Partial differential equation  1 time
Ordinary differential equation  1 time
Numerical integration  1 time
Numerical analysis  1 time
Markov chain  1 time
Laplace transform  1 time
Integral transform  1 time
Game theory  1 time
Expectation–maximization algorithm  1 time
Dependent and independent variables  1 time
Boundary value problem  1 time
Asymptotic expansion  1 time
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Publications tagged with this subject: 13

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1. Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility

2. Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching

3. Model uncertainty, recalibration, and the emergence of delta–vega hedging

4. A new method to explore the structure of effective dimensions for functions

5. Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models

6. Valuation of European option under uncertain volatility model

7. Hybrid scheme for Brownian semistationary processes

8. A Hybrid Monte Carlo and Finite Difference Method for Option Pricing

9. Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models

10. Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

11. Numerical Analysis of Novel Finite Difference Methods

12. Negative Rates: New Market Practice

13. Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations


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