A mixed derivative terms removing method in multi-asset option pricing problems

DOI10.1016/J.AML.2016.04.011MaRDI QIDQ289274zbMATH OpenOpenAlexFDO

Authors R. Company, Fazlollah Soleymani, V. N. Egorova, L. Jódar

Publication date 30 May 2016

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2016.04.011

zbMATH Keywords

\(LDL^T\) factorizationBunch-Kaufman factorizationmixed derivative termsmultiasset option pricingmultidimensional partial differential equations

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Brownian motion (60J65) Direct numerical methods for linear systems and matrix inversion (65F05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• On the multidimensional Black-Scholes partial differential equation
• A numerical study of RBFs-DQ method for multi-asset option pricing problems
• Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
• A computationally efficient numerical approach for multi-asset option pricing

Cites work

• Accuracy and Stability of Numerical Algorithms
• ADI schemes for higher-order nonlinear diffusion equations.
• Computing the nearest correlation matrix--a problem from finance
• Direct Methods for Solving Symmetric Indefinite Systems of Linear Equations
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
• scientific article; zbMATH DE number 3936413 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
• Numerical solution of two asset jump diffusion models for option valuation
• Operator splitting methods for pricing American options under stochastic volatility
• Positive finite difference schemes for a partial integro-differential option pricing model
• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• Some Stable Methods for Calculating Inertia and Solving Symmetric Linear Systems
• Stability of the Diagonal Pivoting Method with Partial Pivoting
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES

Cited in

(11)

• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
• A quick operator splitting method for option pricing
• Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
• Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• Numerical analysis of novel finite difference methods
• A local radial basis function method for high-dimensional American option pricing problems
• American-type basket option pricing: a simple two-dimensional partial differential equation
• An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
• An ETD method for multi‐asset American option pricing under jump‐diffusion model
• On five-point equidistant stencils based on Gaussian function with application in numerical multi-dimensional option pricing

Describes a project that uses

Uses Software

• mctoolbox

This page was built for publication: A mixed derivative terms removing method in multi-asset option pricing problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q289274)