On splitting-based numerical methods for nonlinear models of European options

DOI10.1080/00207160.2014.884713zbMath1386.91163OpenAlexW2011726062MaRDI QIDQ5739578

Miglena N. Koleva, Lubin G. Vulkov

Publication date: 19 July 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2014.884713

zbMATH Keywords

monotonicityoption pricingdifference schemeoperator splittingpositivity preservingnonlinear Black-Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Positive solutions to PDEs (35B09)

Related Items (5)

Fast computational approach to the delta Greek of non-linear Black-Scholes equations ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Operator splitting kernel based numerical method for a generalized Leland's model ⋮ A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models ⋮ Computation of Delta Greek for Non-linear Models in Mathematical Finance

Cites Work

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• Time-interior gradient estimates for quasilinear parabolic equations
• European Option Pricing with Transaction Costs
• ANALYTIC SOLUTION OF A NONLINEAR BLACK-SCHOLES EQUATION

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