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