A comparison study of ADI and operator splitting methods on option pricing models

DOI10.1016/J.CAM.2013.01.008zbMath1270.91096OpenAlexW2148090065MaRDI QIDQ1946200

Junseok Kim, Darae Jeong

Publication date: 18 April 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.01.008

zbMATH Keywords

finite difference methodoption pricingalternating direction implicit methodBlack-Scholes equationoperator splitting methodcomparison study

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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