HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs

DOI10.1142/S0219024915500314zbMath1337.65116arXiv1403.1804OpenAlexW2953332066MaRDI QIDQ2947344

Andrey Itkin

Publication date: 22 September 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.1804

zbMATH Keywords

PDEfinite-difference methodforward Kolmogorov equationhigh-order splitting schemePIDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (4)

Isogeometric analysis in option pricing ⋮ Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps ⋮ Efficient exposure computation by risk factor decomposition ⋮ LSV models with stochastic interest rates and correlated jumps

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