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The adaptive mesh model: a new approach to efficient option pricing

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Author Info
Figlewski, Stephen
Gao, Bin

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 53 (1999)
Issue (Month): 3 (September)
Pages: 313-351
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Handle: RePEc:eee:jfinec:v:53:y:1999:i:3:p:313-351

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Benjamin Jourdain & Antonino Zanette, 2008. "A moments and strike matching binomial algorithm for pricing American Put options," Decisions in Economics and Finance, Springer, vol. 31(1), pages 33-49, May. [Downloadable!] (restricted)
  2. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September. [Downloadable!] (restricted)
  3. Ben R. Craig & Joachim G. Keller, 2003. "The empirical performance of option-based densities of foreign exchange," Working Paper 0313, Federal Reserve Bank of Cleveland. [Downloadable!]
  4. Simona Sanfelici, 2004. "Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff," Decisions in Economics and Finance, Springer, vol. 27(2), pages 125-151, December. [Downloadable!] (restricted)
  5. Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei, 2008. "Adaptive placement method on pricing arithmetic average options," Review of Derivatives Research, Springer, vol. 11(1), pages 83-118, March. [Downloadable!] (restricted)
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