New optimal adaptive stepsize algorithm for solving Black-Scholes equation
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Stability of solutions to ordinary differential equations (34D20) Control problems involving ordinary differential equations (34H05) Stabilization of solutions to ordinary differential equations (34H15) Risk models (general) (91B05) Stabilization of systems by feedback (93D15) Adaptive or robust stabilization (93D21)
Cites work
- A distributed algorithm for European options with nonlinear volatility
- Adaptive time-stepping and computational stability
- Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials
- Arbitrage-free approximation of call price surfaces and input data risk
- Efficient adaptive step size control for exponential integrators
- Efficient pricing of options in jump-diffusion models: novel implicit-explicit methods for numerical valuation
- Error estimation and control for ODEs
- Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition
- Global Error Estimation with Runge--Kutta Methods
- scientific article; zbMATH DE number 6375878 (Why is no real title available?)
- scientific article; zbMATH DE number 1414604 (Why is no real title available?)
- Numerical Approximation of Black-Scholes Equation
- On the zero-stability of multistep methods on smooth nonuniform grids
- Robust pole assignment in linear state feedback
- Robust pole assignment via reflection coefficients of polynomials
- The finite element method: A high‐performing approach for computing the probability of ruin and solving other ruin‐related problems
- The pricing of options and corporate liabilities
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