The integration preconditioning method improves both the accuracy and stability when compared with the traditional direct differential methods. Besides, while combining with the integral operator, the RBFs are more free to select the value of shape parameters.
The integration preconditioning method improves both the accuracy and stability when compared with the traditional direct differential methods. Besides, while ...
The integration preconditioning method improves both the accuracy and stability when compared with the traditional direct differential methods. Besides, while ...
This integration preconditioning technique helps transform the partial differential equations into integral equations and contribute to a well-conditioned ...
Dive into the research topics of 'An integration preconditioning method for solving option pricing problems'. Together they form a unique fingerprint. Sort by ...
Oct 22, 2024 · In the present paper, we convert the usual n-step backward recursion that arises in option pricing into a set of independent integral ...
Option pricing models provide a theoretical framework for estimating the value of an options contract by calculating the probability of the prices of underlying ...
Dec 31, 2023 · For solving the option pricing problem with regime-switching Lévy processes, a number of different numerical methods are studied in [8,12–18].
An integration preconditioning method for solving option pricing problems · Y. LiC. N. SamB. HonK. Ng. Mathematics, Business. Int. J. Comput. Math. 2021. TLDR.
An efficient solution of the pricing problem for an Asian put option was implemented on small, moderate, and large grid sizes using both MATLAB's stiff ...