Positivity Preserving Numerical Method for Non-linear Black-Scholes Models

DOI10.1007/978-3-642-41515-9_40MaRDI QIDQ2859171zbMATH OpenOpenAlexFDO

Authors Miglena N. Koleva

Publication date 6 November 2013

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41515-9_40

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(10)

• Fast computational approach to the delta Greek of non-linear Black-Scholes equations
• A positivity-preserving numerical scheme for nonlinear option pricing models
• A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
• A unified numerical approach for a large class of nonlinear Black-Scholes models
• A splitting numerical scheme for non-linear models of mathematical finance
• Computation of Delta Greek for Non-linear Models in Mathematical Finance
• Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations
• An efficient numerical approach for solving three-dimensional Black-Scholes equation with stochastic volatility
• A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
• A second-order positivity preserving numerical method for gamma equation

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