FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION (Q5213111): Difference between revisions

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scientific article; zbMATH DE number 7161365

Language	Label	Description	Also known as
English	FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION	scientific article; zbMATH DE number 7161365

Statements

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31 January 2020

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zbMATH Keywords

option pricing

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Black-Scholes equation

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finite difference method

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greeks

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boundary condition

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describes a project that uses

Matlab

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MaRDI profile type

Publication

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full work available at URL

http://koreascience.or.kr:80/article/JAKO201913457809092.pdf

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title

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION (English)

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cites work

Tools for computational finance

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Computational Methods for Option Pricing

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On calibration of stochastic and fractional stochastic volatility models

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Pricing the American options using the Black-Scholes pricing formula

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Valuing options in shot noise market

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The pricing of European options on two underlying assets with delays

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The Pricing of Options and Corporate Liabilities

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Computational techniques for basic affine models of portfolio credit risk

0 references

Monte Carlo methods for security pricing

0 references

Q3842627

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Optimal search for parameters in Monte Carlo simulation for derivative pricing

0 references

A robust and accurate finite difference method for a generalized Black-Scholes equation

0 references

Q3433874

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A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

0 references

ADI finite difference schemes for option pricing in the Heston model with correlation

0 references

A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility

0 references

Operator splitting methods for American option pricing.

0 references

Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing

0 references

Laplace transform method for pricing American CEV strangles option with two free boundaries

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ACCURATE AND EFFICIENT COMPUTATIONS FOR THE GREEKS OF EUROPEAN MULTI-ASSET OPTIONS

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Identifiers

zbMATH Open document ID

1431.91434

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DOI

10.12941/jksiam.2019.23.019

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5213111

@@ Property / cites work @@
+Tools for computational finance
@@ Property / cites work: Tools for computational finance / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+On calibration of stochastic and fractional stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Pricing the American options using the Black-Scholes pricing formula
+Normal rank
@@ Property / cites work @@
+Valuing options in shot noise market
@@ Property / cites work: Valuing options in shot noise market / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of European options on two underlying assets with delays
+Normal rank
@@ 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 @@
+Computational techniques for basic affine models of portfolio credit risk
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q3842627
@@ Property / cites work: Q3842627 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal search for parameters in Monte Carlo simulation for derivative pricing
+Normal rank
@@ Property / cites work @@
+A robust and accurate finite difference method for a generalized Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Q3433874
@@ Property / cites work: Q3433874 / rank @@
+Normal rank
@@ Property / cites work @@
+A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+ADI finite difference schemes for option pricing in the Heston model with correlation
+Normal rank
@@ Property / cites work @@
+A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
+Normal rank
@@ Property / cites work @@
+Laplace transform method for pricing American CEV strangles option with two free boundaries
+Normal rank
@@ Property / cites work @@
+ACCURATE AND EFFICIENT COMPUTATIONS FOR THE GREEKS OF EUROPEAN MULTI-ASSET OPTIONS
+Normal rank