Selected applications of differential equations in Vanilla Options valuation.

DOI10.14708/ma.v46i2.6352zbMath1463.91200OpenAlexW2920656399WikidataQ128290322 ScholiaQ128290322MaRDI QIDQ5135652

Grzegorz Krzyżanowski

Publication date: 23 November 2020

Published in: Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14708/ma.v46i2.6352

zbMATH Keywords

finite difference methodfree boundary problemnumerical methodsBlack-Scholes modelAmerican optionEuropean option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ A weighted finite difference method for subdiffusive Black-Scholes model

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