Efficient and accurate finite difference method for the four underlying asset ELS

DOI10.7468/JKSMEB.2021.28.4.329MaRDI QIDQ5039647zbMATH OpenFDO

Authors Hyeongseok Hwang, Yongho Choi, Soobin Kwak, Y. Hwang, Sangkwon Kim, Junseok Kim

Publication date 30 September 2022

Full work available at URL https://doi.org/10.7468/JKSMEB.2021.28.4.329

zbMATH Keywords

Black-Scholes equationequity-linked securitiesfinite difference schemefour underlying asset ELS

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
• A comparison study of ADI and operator splitting methods on option pricing models
• A comparison study of explicit and implicit numerical methods for the equity-linked securities
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A practical finite difference method for the three-dimensional Black-Scholes equation
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• An operator splitting method for pricing the ELS option
• Error analysis of finite difference and Markov chain approximations for option pricing
• FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
• High-order computational methods for option valuation under multifactor models
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
• On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options
• Operator splitting methods for American option pricing.
• Option pricing and Greeks via a moving least square meshfree method

Cited in

(3)

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• scientific article; zbMATH DE number 7673130 (Why is no real title available?)

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