A high-order finite difference method for option valuation
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nonlinear Black-Scholes equationhigh-order schemelocal mesh refinementexponential time integrationMerton's jump-diffusion modelHeston's stochastic volatility model
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) 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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Cites work
- scientific article; zbMATH DE number 1795849 (Why is no real title available?)
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A fast numerical method to price American options under the Bates model
- A novel pricing method for European options based on Fourier-cosine series expansions
- A penalty method for American options with jump diffusion processes
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- A spectral element approximation to price European options with one asset and stochastic volatility
- A two-factor jump-diffusion model for pricing convertible bonds with default risk
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- Derivative formulae and errors for non-uniformly spaced points
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- Exponential time integration for fast finite element solutions of some financial engineering problems
- Extension of high-order compact schemes to time-dependent problems
- Far field boundary conditions for Black-Scholes equations
- Fast numerical valuation of options with jump under Merton's model
- Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk
- High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
- Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
- Mathematical models of financial derivatives
- Multigrid for American option pricing with stochastic volatility
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
- Numerical pricing of options using high-order compact finite difference schemes
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Numerical valuation of options with jumps in the underlying
- On the Early Exercise Boundary of the American Put Option
- On the numerical solution of nonlinear Black-Scholes equations
- On the numerical solution of nonlinear option pricing equation in illiquid markets
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- Option pricing when underlying stock returns are discontinuous
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Penalty methods for American options with stochastic volatility
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Quadratic convergence for valuing American options using a penalty method
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- Stability of central finite difference schemes for the Heston PDE
- Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
- Talbot quadratures and rational approximations
- The Scaling and Squaring Method for the Matrix Exponential Revisited
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- The evaluation of barrier option prices under stochastic volatility
- The pricing of options and corporate liabilities
Cited in
(25)- High-accuracy finite-difference methods for the valuation of options
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- scientific article; zbMATH DE number 6453876 (Why is no real title available?)
- Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
- A new method for solving Kolmogorov equations in mathematical finance
- Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
- High-order computational methods for option valuation under multifactor models
- A spectral element method for option pricing under regime-switching with jumps
- The trade-offs between alternative finite difference techniques used to price derivative securities.
- Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
- Numerical valuation of European and American options under Merton's model
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- High order approximation of derivatives with applications to pricing of financial derivatives
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing
- An efficient method for option pricing with finite elements: an endogenous element length approach
- High-order exponential spline method for pricing European options
- Option valuation by using discrete singular convolution
- scientific article; zbMATH DE number 5235557 (Why is no real title available?)
- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
- Optimal non-uniform finite difference grids for the Black-Scholes equations
- High-order compact finite difference method for Black-Scholes PDE
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