High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep (Q6143260): Difference between revisions

Latest revision as of 20:10, 23 August 2024

scientific article; zbMATH DE number 7793808

Language	Label	Description	Also known as
English	High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep	scientific article; zbMATH DE number 7793808

Statements

instance of

scholarly article

0 references

title

High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep (English)

0 references

0 references

0 references

International Journal of Numerical Analysis and Modeling

0 references

publication date

23 January 2024

0 references

zbMATH Keywords

Schur polynomials

0 references

implicit-explicit schemes

0 references

partial integro-differential equations

0 references

jump-diffusion models

0 references

option pricing

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.4208/ijnam2023-1023

0 references

cites work

The Pricing of Options and Corporate Liabilities

0 references

Option pricing when underlying stock returns are discontinuous

0 references

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

0 references

Robust numerical methods for contingent claims under jump diffusion processes

0 references

A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models

0 references

A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

0 references

High order difference schemes for unsteady one-dimensional diffusion- convection problems

0 references

High‐order compact scheme for the steady stream‐function vorticity equations

0 references

Q4117332

0 references

The operator compact implicit method for parabolic equations

0 references

A hermitian finite difference method for the solution of parabolic equations

0 references

Algorithm 986

0 references

Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation

0 references

A new family of (5,5)CC-4OC schemes applicable for unsteady Navier-Stokes equations

0 references

High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions

0 references

Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients

0 references

Fourth order compact schemes for variable coefficient parabolic problems with mixed derivatives

0 references

Stability Analysis of Finite Difference Schemes for the Advection-Diffusion Equation

0 references

Numerical pricing of options using high-order compact finite difference schemes

0 references

Smoothing of initial data and rates of convergence for parabolic difference equations

0 references

Compact finite difference schemes with spectral-like resolution

0 references

A higher order compact finite difference algorithm for solving the incompressible Navier-Stokes equations

0 references

A numerical study of Asian option with high-order compact finite difference scheme

0 references

Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance

0 references

Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models

0 references

FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS

0 references

Q4002473

0 references

High-order compact finite difference scheme for pricing Asian option with moving boundary condition

0 references

Operator splitting methods for American option pricing.

0 references

Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model

0 references

Stability of an implicit method to evaluate option prices under local volatility with jumps

0 references

An adaptive algorithm for solving stochastic multi-point boundary value problems

0 references

Transform Analysis and Asset Pricing for Affine Jump-diffusions

0 references

Identifiers

DOI

10.4208/ijnam2023-1023

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6143260

@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
+Normal rank
@@ Property / cites work @@
+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
+Normal rank
@@ Property / cites work @@
+High order difference schemes for unsteady one-dimensional diffusion- convection problems
+Normal rank
@@ Property / cites work @@
+High‐order compact scheme for the steady stream‐function vorticity equations
+Normal rank
@@ Property / cites work @@
+Q4117332
@@ Property / cites work: Q4117332 / rank @@
+Normal rank
@@ Property / cites work @@
+The operator compact implicit method for parabolic equations
+Normal rank
@@ Property / cites work @@
+A hermitian finite difference method for the solution of parabolic equations
+Normal rank
@@ Property / cites work @@
+Algorithm 986
@@ Property / cites work: Algorithm 986 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+A new family of (5,5)CC-4OC schemes applicable for unsteady Navier-Stokes equations
+Normal rank
@@ Property / cites work @@
+High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
+Normal rank
@@ Property / cites work @@
+Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients
+Normal rank
@@ Property / cites work @@
+Fourth order compact schemes for variable coefficient parabolic problems with mixed derivatives
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Finite Difference Schemes for the Advection-Diffusion Equation
+Normal rank
@@ Property / cites work @@
+Numerical pricing of options using high-order compact finite difference schemes
+Normal rank
@@ Property / cites work @@
+Smoothing of initial data and rates of convergence for parabolic difference equations
+Normal rank
@@ Property / cites work @@
+Compact finite difference schemes with spectral-like resolution
+Normal rank
@@ Property / cites work @@
+A higher order compact finite difference algorithm for solving the incompressible Navier-Stokes equations
+Normal rank
@@ Property / cites work @@
+A numerical study of Asian option with high-order compact finite difference scheme
+Normal rank
@@ Property / cites work @@
+Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
+Normal rank
@@ Property / cites work @@
+Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
+Normal rank
@@ Property / cites work @@
+FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS
+Normal rank
@@ Property / cites work @@
+Q4002473
@@ Property / cites work: Q4002473 / rank @@
+Normal rank
@@ Property / cites work @@
+High-order compact finite difference scheme for pricing Asian option with moving boundary condition
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Stability of an implicit method to evaluate option prices under local volatility with jumps
+Normal rank
@@ Property / cites work @@
+An adaptive algorithm for solving stochastic multi-point boundary value problems
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank