Financial Applications of Symbolically Generated Compact Finite Difference Formulae

DOI10.1007/978-3-7643-7984-1_22MaRDI QIDQ3447192zbMATH OpenOpenAlexFDO

Authors Jichao Zhao, Robert M. Corless, Matt Davison

Publication date 28 June 2007

Published in Trends in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7643-7984-1_22

Mathematics Subject Classification ID

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)

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Cited in

(14)

• Numerical pricing of options using high-order compact finite difference schemes
• Mini-symposium on automatic differentiation and its applications in the financial industry
• A numerical study of Asian option with high-order compact finite difference scheme
• Convergence of the compact finite difference method for second-order elliptic equations
• A fast high-order finite difference algorithm for pricing American options
• A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
• A simple equation solver and its application to financial modelling
• Numerical solution of generalized Black-Scholes model
• scientific article; zbMATH DE number 2104089 (Why is no real title available?)
• A new predictor-corrector scheme for valuing American puts
• Application of the finite difference algorithm to pricing of compound options
• Highly accurate compact mixed methods for two point boundary value problems
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition
• Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.

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