Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (Q878048): Difference between revisions

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Language	Label	Description	Also known as
English	Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing	scientific article

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scholarly article

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title

Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing (English)

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Numerische Mathematik

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publication date

26 April 2007

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00211-006-0057-7

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cites work

An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options

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Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation

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Error estimates for the finite-element solution of an elliptic singularly perturbed problem

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Three-dimensional exponentially fitted conforming tetrahedral finite elements for the semiconductor continuity equations

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Q4356582

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CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY

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Q3935745

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A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence

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The Pricing of Options and Corporate Liabilities

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Option pricing: A simplified approach

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Quadratic Convergence for Valuing American Options Using a Penalty Method

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Q3321366

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A Fast Numerical Method for the Black--Scholes Equation of American Options

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Finite element method for hemivariational inequalities. Theory, methods and applications

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B‐Spline‐Based Monotone Multigrid Methods

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Q4226819

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Variational inequalities and the pricing of American options

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Q3905599

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Q3683006

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A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem

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An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems

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On multigrid for linear complementarity problems with application to American-style options

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Q5652137

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An upwind approach for an American and European option pricing model

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A novel fitted finite volume method for the Black-Scholes equation governing option pricing

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Power penalty method for a linear complementarity problem arising from American option valuation

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Q4863379

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Penalty methods for American options with stochastic volatility

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Identifiers

zbMATH Open document ID

1131.65301

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Mathematics Subject Classification ID

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10.1007/S00211-006-0057-7

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Sitelinks

Mathematics(1 entry)

mardi Publication:878048

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+An Inverse Problem for a Parabolic Variational Inequality Arising in Volatility Calibration with American Options
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@@ Property / cites work @@
+Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
+Normal rank
@@ Property / cites work @@
+Error estimates for the finite-element solution of an elliptic singularly perturbed problem
+Normal rank
@@ Property / cites work @@
+Three-dimensional exponentially fitted conforming tetrahedral finite elements for the semiconductor continuity equations
+Normal rank
@@ Property / cites work @@
+Q4356582
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+CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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+Q3935745
@@ Property / cites work: Q3935745 / rank @@
+Normal rank
@@ Property / cites work @@
+A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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@@ Property / cites work @@
+Q3321366
@@ Property / cites work: Q3321366 / rank @@
+Normal rank
@@ Property / cites work @@
+A Fast Numerical Method for the Black--Scholes Equation of American Options
+Normal rank
@@ Property / cites work @@
+Finite element method for hemivariational inequalities. Theory, methods and applications
+Normal rank
@@ Property / cites work @@
+B‐Spline‐Based Monotone Multigrid Methods
@@ Property / cites work: B‐Spline‐Based Monotone Multigrid Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226819
@@ Property / cites work: Q4226819 / rank @@
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@@ Property / cites work @@
+Variational inequalities and the pricing of American options
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@@ Property / cites work @@
+Q3905599
@@ Property / cites work: Q3905599 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3683006
@@ Property / cites work: Q3683006 / rank @@
+Normal rank
@@ Property / cites work @@
+A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
+Normal rank
@@ Property / cites work @@
+An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems
+Normal rank
@@ Property / cites work @@
+On multigrid for linear complementarity problems with application to American-style options
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@@ Property / cites work @@
+Q5652137
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@@ Property / cites work @@
+An upwind approach for an American and European option pricing model
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+Normal rank
@@ Property / cites work @@
+Q4863379
@@ Property / cites work: Q4863379 / rank @@
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@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
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