The Citing articles tool gives a list of articles citing the current article. The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program . You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).
Cited article:
Ana-Maria Matache , Tobias von Petersdorff , Christoph Schwab
ESAIM: M2AN, 38 1 (2004) 37-71
Published online: 2004-02-15
This article has been cited by the following article(s):
89 articles
High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
Wansheng Wang, Mengli Mao, Xiao Jiang and Lehan Wang ESAIM: Mathematical Modelling and Numerical Analysis 59 (2) 643 (2025) https://doi.org/10.1051/m2an/2025003
Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
Deepak Kumar Yadav, Akanksha Bhardwaj and Alpesh Kumar Computational and Applied Mathematics 43 (1) (2024) https://doi.org/10.1007/s40314-023-02510-8
Closed-form option pricing for exponential Lévy models: a residue approach
Jean-Philippe Aguilar and Justin Lars Kirkby Quantitative Finance 23 (2) 251 (2023) https://doi.org/10.1080/14697688.2022.2152365
A finite elements approach for spread contract valuation via associated two-dimensional PIDE
Olivares Pablo and Diaz Ciro Computational and Applied Mathematics 42 (1) (2023) https://doi.org/10.1007/s40314-022-02149-x
A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
Komal Deswal and Devendra Kumar Mathematical Methods in the Applied Sciences 45 (16) 9456 (2022) https://doi.org/10.1002/mma.8318
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance and Finance
Rüdiger Frey and Verena Köck Computation 10 (11) 201 (2022) https://doi.org/10.3390/computation10110201
Option Pricing by the Legendre Wavelets Method
Reza Doostaki and Mohammad Mehdi Hosseini Computational Economics 59 (2) 749 (2022) https://doi.org/10.1007/s10614-021-10100-1
Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
Devendra Kumar and Komal Deswal Numerical Methods for Partial Differential Equations 38 (5) 1195 (2022) https://doi.org/10.1002/num.22729
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Lukas Gonon and Christoph Schwab Finance and Stochastics 25 (4) 615 (2021) https://doi.org/10.1007/s00780-021-00462-7
An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
Wansheng Wang, Mengli Mao and Zheng Wang ESAIM: Mathematical Modelling and Numerical Analysis 55 (3) 913 (2021) https://doi.org/10.1051/m2an/2021012
Closed-form option pricing for exponential Lévy models: a residue approach
Jean-Philippe Aguilar and Justin Kirkby SSRN Electronic Journal (2021) https://doi.org/10.2139/ssrn.3823337
Finite element approximation of an obstacle problem for a class of integro–differential operators
Andrea Bonito, Wenyu Lei and Abner J. Salgado ESAIM: Mathematical Modelling and Numerical Analysis 54 (1) 229 (2020) https://doi.org/10.1051/m2an/2019058
Implied stopping rules for American basket options from Markovian projection
Christian Bayer, Juho Häppölä and Raúl Tempone Quantitative Finance 19 (3) 371 (2019) https://doi.org/10.1080/14697688.2018.1481290
An Efficient Algorithm for Options Under Merton’s Jump-Diffusion Model on Nonuniform Grids
Yingzi Chen, Wansheng Wang and Aiguo Xiao Computational Economics 53 (4) 1565 (2019) https://doi.org/10.1007/s10614-018-9823-8
Finite Element Methods for Partial Differential Equations for Option Pricing
Silke Prohl SSRN Electronic Journal (2019) https://doi.org/10.2139/ssrn.3312203
The valuation of American options in a multidimensional exponential Lévy model
Tomasz Klimsiak and Andrzej Rozkosz Mathematical Finance 28 (4) 1107 (2018) https://doi.org/10.1111/mafi.12163
Dirichlet Forms and Finite Element Methods for the SABR Model
Blanka Horvath and Oleg Reichmann SIAM Journal on Financial Mathematics 9 (2) 716 (2018) https://doi.org/10.1137/16M1066117
Finite element based Monte Carlo simulation of options on Lévy driven assets
Patrik Karlsson International Journal of Financial Engineering 05 (01) 1850013 (2018) https://doi.org/10.1142/S2424786318500135
Fast numerical valuation of options with jump under Merton’s model
Wansheng Wang and Yingzi Chen Journal of Computational and Applied Mathematics 318 79 (2017) https://doi.org/10.1016/j.cam.2016.11.038
A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model
Leila Khodayari and Mojtaba Ranjbar Computational Economics 50 (2) 189 (2017) https://doi.org/10.1007/s10614-016-9605-0
A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates
Kathrin Glau Finance and Stochastics 20 (4) 1021 (2016) https://doi.org/10.1007/s00780-016-0301-7
Asymptotically compatible schemes for the approximation of fractional Laplacian and related nonlocal diffusion problems on bounded domains
Xiaochuan Tian, Qiang Du and Max Gunzburger Advances in Computational Mathematics 42 (6) 1363 (2016) https://doi.org/10.1007/s10444-016-9466-z
Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations
K. Glau Theory of Probability & Its Applications 60 (3) 383 (2016) https://doi.org/10.1137/S0040585X97T987776
The obstacle problem for semilinear parabolic partial integro-differential equations
Anis Matoussi, Wissal Sabbagh and Chao Zhou Stochastics and Dynamics 15 (01) 1550007 (2015) https://doi.org/10.1142/S0219493715500070
Second Order Accurate IMEX Methods for Option Pricing Under Merton and Kou Jump-Diffusion Models
Mohan K. Kadalbajoo, Lok Pati Tripathi and Alpesh Kumar Journal of Scientific Computing 65 (3) 979 (2015) https://doi.org/10.1007/s10915-015-0001-z
Finite Element Based Monte Carlo Simulation of Option Prices on LLvy Driven Assets
Patrik Karlsson SSRN Electronic Journal (2015) https://doi.org/10.2139/ssrn.2721095
A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process
Shengwu Zhou, Lei Han, Wei Li, Yan Zhang and Miao Han Computational and Applied Mathematics 34 (3) 881 (2015) https://doi.org/10.1007/s40314-014-0156-5
Classification of Lévy processes with parabolic Kolmogorov backward equations
Kathrin Glau Теория вероятностей и ее применения 60 (3) 525 (2015) https://doi.org/10.4213/tvp4636
Unconditional Positive Stable Numerical Solution of Partial Integrodifferential Option Pricing Problems
M. Fakharany, R. Company and L. Jódar Journal of Applied Mathematics 2015 1 (2015) https://doi.org/10.1155/2015/960728
Numerical Analysis and Optimization
Leonhard Frerick, Ekkehard W. Sachs and Lukas A. Zimmer Springer Proceedings in Mathematics & Statistics, Numerical Analysis and Optimization 134 77 (2015) https://doi.org/10.1007/978-3-319-17689-5_4
Variational Solutions of the Pricing PIDEs for European Options in Lévy Models
Ernst Eberlein and Kathrin Glau Applied Mathematical Finance 21 (5) 417 (2014) https://doi.org/10.1080/1350486X.2014.886817
Inspired by Finance
Peter Hepperger Inspired by Finance 331 (2014) https://doi.org/10.1007/978-3-319-02069-3_15
Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
Jonas Kiessling and Raúl Tempone BIT Numerical Mathematics 54 (4) 1023 (2014) https://doi.org/10.1007/s10543-014-0490-4
Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter 159 (2013) https://doi.org/10.1007/978-3-642-35401-4_12
A priorierror estimates for reduced order models in finance
Ekkehard W. Sachs and Matthias Schu ESAIM: Mathematical Modelling and Numerical Analysis 47 (2) 449 (2013) https://doi.org/10.1051/m2an/2012039
Robust Pricing of European Options with Wavelets and the Characteristic Function
Luis Ortiz-Gracia and Cornelis W. Oosterlee SSRN Electronic Journal (2013) https://doi.org/10.2139/ssrn.2206342
Positive Solutions of European Option Pricing with CGMY Process Models Using Double Discretization Difference Schemes
R. Company, L. Jódar and M. Fakharany Abstract and Applied Analysis 2013 1 (2013) https://doi.org/10.1155/2013/517480
Financial Modeling
Stéphane Crépey Springer Finance, Financial Modeling 213 (2013) https://doi.org/10.1007/978-3-642-37113-4_8
Robust Pricing of European Options with Wavelets and the Characteristic Function
Luis Ortiz-Gracia and Cornelis W. Oosterlee SIAM Journal on Scientific Computing 35 (5) B1055 (2013) https://doi.org/10.1137/130907288
Libor Market Models
Silke Prohl SSRN Electronic Journal (2012) https://doi.org/10.2139/ssrn.2772858
A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models
Santtu Salmi and Jari Toivanen SSRN Electronic Journal (2012) https://doi.org/10.2139/ssrn.2013918
Hedging electricity swaptions using partial integro-differential equations
Peter Hepperger Stochastic Processes and their Applications 122 (2) 600 (2012) https://doi.org/10.1016/j.spa.2011.09.005
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Claudio Albanese, Harry Lo and Stathis Tompaidis European Journal of Operational Research 222 (2) 361 (2012) https://doi.org/10.1016/j.ejor.2012.04.030
Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
Santtu Salmi and Jari Toivanen International Journal of Computer Mathematics 89 (9) 1112 (2012) https://doi.org/10.1080/00207160.2012.669475
Optimal space–time adaptive wavelet methods for degenerate parabolic PDEs
O. Reichmann Numerische Mathematik 121 (2) 337 (2012) https://doi.org/10.1007/s00211-011-0432-x
hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES
DANIELE MARAZZINA, OLEG REICHMANN and CHRISTOPH SCHWAB Mathematical Models and Methods in Applied Sciences 22 (01) (2012) https://doi.org/10.1142/S0218202512005897
Double Discretization Difference Schemes for Partial Integrodifferential Option Pricing Jump Diffusion Models
M.-C. Casabán, R. Company, L. Jódar, J.-V. Romero and Carlos Vazquez Abstract and Applied Analysis 2012 (1) (2012) https://doi.org/10.1155/2012/120358
A Reduced Basis for Option Pricing
Rama Cont, Nicolas Lantos and Olivier Pironneau SIAM Journal on Financial Mathematics 2 (1) 287 (2011) https://doi.org/10.1137/10079851X
A finite element discretization method for option pricing with the Bates model
E. Miglio and C. Sgarra SeMA Journal 55 (1) 23 (2011) https://doi.org/10.1007/BF03322591
Two-scale finite element discretizations for integro- differential equations
Huajie Chen, Fang Liu, Nils Reich, Christoph Winter and Aihui Zhou Journal of Integral Equations and Applications 23 (3) (2011) https://doi.org/10.1216/JIE-2011-23-3-351
Numerical pricing of American options under infinite activity Lévy processes
Nisha Rambeerich, Desire Yannick Tangman and Muddun Bhuruth Journal of Futures Markets 31 (9) 809 (2011) https://doi.org/10.1002/fut.20497
Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces
Nils Reich ESAIM: Mathematical Modelling and Numerical Analysis 44 (1) 33 (2010) https://doi.org/10.1051/m2an/2009039
Norbert Hilber, Nils Reich and Christoph Winter (2010) https://doi.org/10.1002/9780470061602.eqf12014
A posteriori error analysis for a class of integral equations and variational inequalities
Ricardo H. Nochetto, Tobias von Petersdorff and Chen-Song Zhang Numerische Mathematik 116 (3) 519 (2010) https://doi.org/10.1007/s00211-010-0310-y
Wavelet solution of variable order pseudodifferential equations
R. Schneider, O. Reichmann and C. Schwab Calcolo 47 (2) 65 (2010) https://doi.org/10.1007/s10092-009-0012-y
Leveraged Lévy processes as models for stock prices
Dilip B. Madan and Yue Xiao Quantitative Finance 10 (7) 735 (2010) https://doi.org/10.1080/14697680903067138
Justin W.L. Wan (2010) https://doi.org/10.1002/9780470061602.eqf12005
Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using Partial Integro-Differential Equations
Peter Hepperger SIAM Journal on Financial Mathematics 1 (1) 454 (2010) https://doi.org/10.1137/09077271X
Ekaterina Voltchkova (2010) https://doi.org/10.1002/9780470061602.eqf12020
On Kolmogorov equations for anisotropic multivariate Lévy processes
N. Reich, C. Schwab and C. Winter Finance and Stochastics 14 (4) 527 (2010) https://doi.org/10.1007/s00780-009-0108-x
Meshfree Approximation for Multi-Asset Options
Emmanuel Hanert and Aanand Venkatramanan SSRN Electronic Journal (2009) https://doi.org/10.2139/ssrn.1424987
Option Pricing Using Fourier Space Time-Stepping Framework
Vladimir Surkov SSRN Electronic Journal (2009) https://doi.org/10.2139/ssrn.1479738
Numerical methods for Lévy processes
N. Hilber, N. Reich, C. Schwab and C. Winter Finance and Stochastics 13 (4) 471 (2009) https://doi.org/10.1007/s00780-009-0100-5
A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations
Fabio Camilli and Espen R. Jakobsen SIAM Journal on Numerical Analysis 47 (4) 2407 (2009) https://doi.org/10.1137/080723144
Special Volume: Mathematical Modeling and Numerical Methods in Finance
Olivier Pironneau and Yves Achdou Handbook of Numerical Analysis, Special Volume: Mathematical Modeling and Numerical Methods in Finance 15 369 (2009) https://doi.org/10.1016/S1570-8659(08)00011-2
Numerical Study of Small-Jump Regularization on Exotic Contracts in Levy Markets
Lisa Powers SSRN Electronic Journal (2009) https://doi.org/10.2139/ssrn.1354661
Smart expansion and fast calibration for jump diffusions
E. Benhamou, E. Gobet and M. Miri Finance and Stochastics 13 (4) 563 (2009) https://doi.org/10.1007/s00780-009-0102-3
Exponential time integration for fast finite element solutions of some financial engineering problems
N. Rambeerich, D.Y. Tangman, A. Gopaul and M. Bhuruth Journal of Computational and Applied Mathematics 224 (2) 668 (2009) https://doi.org/10.1016/j.cam.2008.05.047
Numerical solution of two asset jump diffusion models for option valuation
Simon S. Clift and Peter A. Forsyth Applied Numerical Mathematics 58 (6) 743 (2008) https://doi.org/10.1016/j.apnum.2007.02.005
Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
Espen R. Jakobsen, Kenneth H. Karlsen and Claudia La Chioma Numerische Mathematik 110 (2) 221 (2008) https://doi.org/10.1007/s00211-008-0160-z
Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
Jari Toivanen SIAM Journal on Scientific Computing 30 (4) 1949 (2008) https://doi.org/10.1137/060674697
Partial Differential Equations
Yves Achdou Computational Methods in Applied Sciences, Partial Differential Equations 16 259 (2008) https://doi.org/10.1007/978-1-4020-8758-5_15
Peter Tankov and Ekaterina Voltchkova 129 (2008) https://doi.org/10.1002/9781118266915.ch5
Identification of the Local Speed Function in a Levy Model for Option Pricing
S. Kindermann, P. Mayer, H. Albrecher and H. Engl Journal of Integral Equations and Applications 20 (2) (2008) https://doi.org/10.1216/JIE-2008-20-2-161
Adaptive Weak Approximation of Diffusions with Jumps
E. Mordecki, A. Szepessy, R. Tempone and G. E. Zouraris SIAM Journal on Numerical Analysis 46 (4) 1732 (2008) https://doi.org/10.1137/060669632
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
Liming Feng and Vadim Linetsky Operations Research 56 (2) 304 (2008) https://doi.org/10.1287/opre.1070.0419
Exponential time integration and Chebychev discretisation schemes for fast pricing of options
D.Y. Tangman, A. Gopaul and M. Bhuruth Applied Numerical Mathematics 58 (9) 1309 (2008) https://doi.org/10.1016/j.apnum.2007.07.005
Smart Expansion and Fast Calibration for Jump Diffusion
Eric Benhamou, Emmanuel Gobet and Mohammed Miri SSRN Electronic Journal (2008) https://doi.org/10.2139/ssrn.1079627
Efficient solution of a partial integro-differential equation in finance
E.W. Sachs and A.K. Strauss Applied Numerical Mathematics 58 (11) 1687 (2008) https://doi.org/10.1016/j.apnum.2007.11.002
An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
Yves Achdou SIAM Journal on Control and Optimization 47 (2) 733 (2008) https://doi.org/10.1137/060660692
Financial Engineering
Liming Feng, Pavlo Kovalov, Vadim Linetsky and Michael Marcozzi Handbooks in Operations Research and Management Science, Financial Engineering 15 301 (2007) https://doi.org/10.1016/S0927-0507(07)15007-6
Option pricing using multivariate Lévy processes
Christoph Winter and Nils Reich PAMM 7 (1) 1081201 (2007) https://doi.org/10.1002/pamm.200700389
ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
WALTER FARKAS, NILS REICH and CHRISTOPH SCHWAB Mathematical Models and Methods in Applied Sciences 17 (09) 1405 (2007) https://doi.org/10.1142/S0218202507002327
Linear Complexity Solution of Parabolic Integro-differential Equations
A. -M. Matache, C. Schwab and T. P. Wihler Numerische Mathematik 104 (1) 69 (2006) https://doi.org/10.1007/s00211-006-0006-5
PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
OLEG KUDRYAVTSEV and SERGEI LEVENDORSKIǏ International Journal of Theoretical and Applied Finance 09 (06) 915 (2006) https://doi.org/10.1142/S0219024906003834
Anisotropic Stable Levy Copula Processes - Analysis and Numerical Pricing Methods
Walter Farkas and Christoph Schwab SSRN Electronic Journal (2006) https://doi.org/10.2139/ssrn.901740
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
Rama Cont and Ekaterina Voltchkova SIAM Journal on Numerical Analysis 43 (4) 1596 (2005) https://doi.org/10.1137/S0036142903436186
Wavelet Galerkin pricing of American options on Lévy driven assets
A.-M. Matache *, P.-A. Nitsche and C. Schwab Quantitative Finance 5 (4) 403 (2005) https://doi.org/10.1080/14697680500244478
A Finite Difference Scheme for Option Pricing in Jump-diffusion and Exponential Levy Models
Rama Cont and Ekaterina Voltchkova SSRN Electronic Journal (2003) https://doi.org/10.2139/ssrn.458200