9 citations · 11 across the 5 of their papers we have counts for
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q-fin.CP2016
Calibration to American Options: Numerical Investigation of the de-Americanization
Olena Burkovska, Maximilian Gaß, Kathrin Glau +3
American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is in…
q-fin.CP2016
A Flexible Galerkin Scheme for Option Pricing in Lévy Models
Maximilian Gaß, Kathrin Glau
One popular approach to option pricing in Lévy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powe…