A finite difference method for reverse step-down equity-linked securities

DOI10.12941/JKSIAM.2026.30.255MaRDI QIDQ7324730zbMATH OpenFDO

Authors Minjoon Bang, Hyunho Shin, Yunjae Nam

Publication date 4 September 2026

Published in Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12941/JKSIAM.2026.30.255

Mathematics Subject Classification ID

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

Cites work

• A comparison study of explicit and implicit numerical methods for the equity-linked securities
• An operator splitting method for pricing the ELS option
• Estimating Security Price Derivatives Using Simulation
• Far field boundary conditions for Black-Scholes equations
• Finite element solution of diffusion problems with irregular data
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• On the Construction and Comparison of Difference Schemes
• Operator splitting methods for American option pricing.
• Optimal non-uniform finite difference grids for the Black-Scholes equations
• PDE methods for pricing barrier options
• Quadratic convergence for valuing American options using a penalty method
• Reconstructing piecewise constant local volatility surfaces
• The pricing of options and corporate liabilities

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