On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs

DOI10.1016/J.CAMWA.2023.05.008OpenAlexW4378175993MaRDI QIDQ6104881

Malik Zaka Ullah, Yan-Lai Song

Publication date: 28 June 2023

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2023.05.008

zbMATH Keywords

stableoption pricinggraded meshesfourth order of convergencemulti-asset PDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

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