Option pricing by transform methods: extensions, unification and error control

Roger Lee

doi:10.21314/jcf.2004.121

Option pricing by transform methods: extensions, unification and error control

The Journal of Computational Finance ◽

10.21314/jcf.2004.121 ◽

2004 ◽

Vol 7 (3) ◽

pp. 51-86 ◽

Cited By ~ 228

Author(s):

Roger Lee

Keyword(s):

Option Pricing ◽

Error Control ◽

Transform Methods

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Convergence Analysis of Iterative Laplace Transform Methods for the Coupled PDEs from Regime-Switching Option Pricing

Journal of Scientific Computing ◽

10.1007/s10915-017-0604-7 ◽

2017 ◽

Vol 75 (3) ◽

pp. 1656-1674 ◽

Cited By ~ 6

Author(s):

Jingtang Ma ◽

Zhiqiang Zhou

Keyword(s):

Laplace Transform ◽

Option Pricing ◽

Convergence Analysis ◽

Regime Switching ◽

Transform Methods

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Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing

Science China Mathematics ◽

10.1007/s11425-020-1777-1 ◽

2021 ◽

Author(s):

Jingtang Ma ◽

Zhiqiang Zhou

Keyword(s):

Laplace Transform ◽

Option Pricing ◽

Transform Methods

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Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing

East Asian Journal on Applied Mathematics ◽

10.4208/eajam.130218.290618 ◽

2018 ◽

Vol 8 (4) ◽

pp. 782-808 ◽

Cited By ~ 3

Author(s):

Zhiqiang Zhou

Keyword(s):

Laplace Transform ◽

Option Pricing ◽

Transform Methods ◽

Fractional Pdes

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Fourier Transform Methods for Option Pricing

Fourier Transform Applications ◽

10.5772/35535 ◽

2012 ◽

Cited By ~ 2

Author(s):

Deng Ding

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Transform Methods ◽

Fourier Transform Methods

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EUROPEAN OPTION PRICING WITH STOCHASTIC VOLATILITY AND JUMPS: COMPARISON OF MONTE CARLO AND FAST FOURIER TRANSFORM METHODS

2018 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2018.8632313 ◽

2018 ◽

Author(s):

Uro Lyi ◽

Michael C. Fu

Keyword(s):

Monte Carlo ◽

Fourier Transform ◽

Option Pricing ◽

Fast Fourier Transform ◽

Stochastic Volatility ◽

European Option ◽

Transform Methods ◽

European Option Pricing ◽

Fourier Transform Methods

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Reliable Methods for Computer Simulation - Error Control and A Posteriori Estimates

10.1016/s0168-2024(04)x8001-2 ◽

2004 ◽

Keyword(s):

Computer Simulation ◽

Error Control ◽

A Posteriori ◽

A Posteriori Estimates ◽

Simulation Error ◽

Reliable Methods

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Evaluation of hybrid error control systems

IEE Proceedings F Communications Radar and Signal Processing ◽

10.1049/ip-f-1.1984.0031 ◽

1984 ◽

Vol 131 (2) ◽

pp. 183

Author(s):

D. Drajić ◽

B. Vučetić

Keyword(s):

Control Systems ◽

Error Control

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Valuation of Default Risks in Percentage Leases in Option Pricing Framework

10.15396/eres2003_157 ◽

2003 ◽

Keyword(s):

Option Pricing ◽

Default Risks ◽

Pricing Framework

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ADAPTIVE WAVELET ALGORITHM FOR SOLVING NONLINEAR INITIAL–BOUNDARY VALUE PROBLEMS WITH ERROR CONTROL

International Journal for Multiscale Computational Engineering ◽

10.1615/intjmultcompeng.2018024915 ◽

2018 ◽

Vol 16 (1) ◽

pp. 19-43 ◽

Cited By ~ 2

Author(s):

C. Harnish ◽

Karel Matous ◽

D. Livescu

Keyword(s):

Boundary Value Problems ◽

Error Control ◽

Boundary Value ◽

Initial Boundary ◽

Initial Boundary Value Problems ◽

Adaptive Wavelet ◽

Initial Boundary Value ◽

Wavelet Algorithm

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Error Control for Molecular Statics Problems

International Journal for Multiscale Computational Engineering ◽

10.1615/intjmultcompeng.v4.i5-6.60 ◽

2006 ◽

Vol 4 (5-6) ◽

pp. 647-662 ◽

Cited By ~ 43

Author(s):

Serge Prudhomme ◽

Paul T. Bauman ◽

J. Tinsley Oden, Professor

Keyword(s):

Error Control ◽

Molecular Statics

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