Alternating direction implicit method for approximation solution of the HCIR model, including transaction costs in a Jump-Diffusion model

Volume 13, Issue 1, January 2025, Pages 339-356

10.22034/cmde.2024.58794.2490

Elham Mashayekhi; Javad Damirchi; Ahmad Reza Yazdanian

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A generalized adaptive Monte Carlo algorithm based on a two-step iterative method for linear systems and its application to option pricing

Volume 12, Issue 4, October 2024, Pages 687-702

10.22034/cmde.2024.51747.2159

Mahboubeh Aalaei

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Haar wavelet-based valuation method for pricing European options

Volume 11, Issue 2, April 2023, Pages 281-290

10.22034/cmde.2022.52027.2177

Saeed Vahdati; Mohammad Reza Ahmadi darani; Mohammad Reza Ghanei

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Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation

Volume 10, Issue 2, April 2022, Pages 419-430

10.22034/cmde.2021.38468.1692

Reza Hejazi; Elham Dastranj; Noora Habibi; Azadeh Naderifard

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A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options

Volume 9, Issue 2, April 2021, Pages 523-552

10.22034/cmde.2020.36000.1623

Maryam Rezaei Mirarkolaei; Ahmadreza Yazdanian; Seyed Mahdi Mahmoudi; Ali Ashrafi

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European and American put valuation via a high-order semi-discretization scheme

Volume 6, Issue 1, January 2018, Pages 63-79

Farshad Kiyoumarsi

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