Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30)

Book review:

Interfaces

A Spectral Element Method to Price European Options. I. Single Asset with and without Jump Diffusion

Journal of Scientific Computing

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Proceedings of the 2nd Workshop on High Performance Computational Finance

A Spectral Element Approximation to Price European Options with One Asset and Stochastic Volatility

Journal of Scientific Computing

Pricing American options using a space-time adaptive finite difference method

Mathematics and Computers in Simulation

An Inverse Problem in American Options as a Mathematical Program with Equilibrium Constraints: C-Stationarity and an Active-Set-Newton Solver

SIAM Journal on Control and Optimization

A Posteriori Error Estimator for Obstacle Problems

SIAM Journal on Scientific Computing

An iterative method for pricing American options under jump-diffusion models

Applied Numerical Mathematics

Parameter identification in financial market models with a feasible point SQP algorithm

Computational Optimization and Applications

Option pricing with a direct adaptive sparse grid approach

Journal of Computational and Applied Mathematics

Distributed Optimal Control of the Cahn-Hilliard System Including the Case of a Double-Obstacle Homogeneous Free Energy Density

SIAM Journal on Control and Optimization

First-Order Optimality Conditions for Elliptic Mathematical Programs with Equilibrium Constraints via Variational Analysis

SIAM Journal on Optimization

A Reduced Basis for Option Pricing

SIAM Journal on Financial Mathematics

Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

SIAM Journal on Financial Mathematics

A comparison study of ADI and operator splitting methods on option pricing models

Journal of Computational and Applied Mathematics

Fitted finite volume method for a generalized Black---Scholes equation transformed on finite interval

Numerical Algorithms