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Journal of Computational and Applied Mathematics （JACM） - Volume 222, Issue 1 论文列表

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卷期号： Volume 222, Issue 1
发布时间： 1 December 2008
卷期年份： 2008
卷期官网： https://www.sciencedirect.com/journal/journal-of-computational-and-applied-mathematics/vol/222/issue/1
本期论文列表
Editorial Board

Special issue: Numerical PDE methods in finance: Guest editors’ foreword

Penalty methods for the numerical solution of American multi-asset option problems

A fast high-order finite difference algorithm for pricing American options

Solutions of two-factor models with variable interest rates

First exit time probability for multidimensional diffusions: A PDE-based approach

Infinite reload options: Pricing and analysis

Improved radial basis function methods for multi-dimensional option pricing

An irregular grid approach for pricing high-dimensional American options

Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management

Methods for the rapid solution of the pricing PIDEs in exponential and Merton models

Valuing Asian options using the finite element method and duality techniques

Computation and analysis for a constrained entropy optimization problem in finance

Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform

On coordinate transformation and grid stretching for sparse grid pricing of basket options

Adaptive θ-methods for pricing American options