Add to ORKGIn this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of contingent claims for one?dimensional price models.First, we present the POD in the context of an abstract Hilbert space and we givean application for the numerical pricing of Double Barrier Options. In a finitedimension setting, we show the model reduction method for Finite Differenceschemes of implicit type. In particular, we construct the reduced version of theCrank?Nicolson scheme and some numerical examples are give
In this thesis we develop an adaptive finite elementmethod for pricing of several path-dependent opt...
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propo...
In this paper we study both analytic and numerical solutions of option pricing equations using syste...
In this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of cont...
In this paper, we present a reduced basis method for pricing European and Amer-ican options based on...
Abstract. In this paper, we present a reduced basis method for pricing European and Amer-ican option...
AbstractAmerican options can be priced by solving linear complementary problems (LCPs) with paraboli...
We present a reduced basis method for the simulation of American option pricing. To tackle this mode...
In this thesis we focus mainly on special finite differences and finite volume methods and apply the...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
European options can be priced by solving parabolic partial(-integro) differential equations under s...
The paper deals with the option pricing problem in jump-diffusion models numerically. In the first p...
American options can be priced by solving linear complementary problems (LCPs) with parabolic parti...
We introduce a reduced basis method for the efficient numerical solution of partial integro-differen...
Mathematical models for option pricing often result in partial differential equations. Rec...
In this thesis we develop an adaptive finite elementmethod for pricing of several path-dependent opt...
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propo...
In this paper we study both analytic and numerical solutions of option pricing equations using syste...
In this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of cont...
In this paper, we present a reduced basis method for pricing European and Amer-ican options based on...
Abstract. In this paper, we present a reduced basis method for pricing European and Amer-ican option...
AbstractAmerican options can be priced by solving linear complementary problems (LCPs) with paraboli...
We present a reduced basis method for the simulation of American option pricing. To tackle this mode...
In this thesis we focus mainly on special finite differences and finite volume methods and apply the...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
European options can be priced by solving parabolic partial(-integro) differential equations under s...
The paper deals with the option pricing problem in jump-diffusion models numerically. In the first p...
American options can be priced by solving linear complementary problems (LCPs) with parabolic parti...
We introduce a reduced basis method for the efficient numerical solution of partial integro-differen...
Mathematical models for option pricing often result in partial differential equations. Rec...
In this thesis we develop an adaptive finite elementmethod for pricing of several path-dependent opt...
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propo...
In this paper we study both analytic and numerical solutions of option pricing equations using syste...