Exponential time integration for fast finite element solutions of some financial engineering problems

DOI10.1016/j.cam.2008.05.047zbMath1154.91472OpenAlexW1970756300MaRDI QIDQ1002209

Nisha Rambeerich, Muddun Bhuruth, Ashvin Gopaul, Désiré Yannick Tangman

Publication date: 25 February 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.05.047

zbMATH Keywords

jump-diffusion modelexponential time integrationpartial integro-differential equationfinite element discretisations

Mathematics Subject Classification ID

Related Items (17)

High-order time stepping scheme for pricing American option under Bates model ⋮ Equivalence between the DPG method and the exponential integrators for linear parabolic problems ⋮ European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation ⋮ Using vector divisions in solving the linear complementarity problem ⋮ A high-order finite difference method for option valuation ⋮ Cubic spline method for a generalized Black-Scholes equation ⋮ An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes ⋮ Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models ⋮ A new radial basis functions method for pricing American options under Merton's jump-diffusion model ⋮ Fast exponential time integration scheme for option pricing with jumps ⋮ Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model ⋮ An efficient numerical method for pricing option under jump diffusion model ⋮ Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models ⋮ A high order finite element scheme for pricing options under regime switching jump diffusion processes ⋮ An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs ⋮ A second-order efficientL-stable numerical method for space fractional reaction–diffusion equations

Cites Work

• The Pricing of Options and Corporate Liabilities
• Exponential time differencing for stiff systems
• Evaluating matrix functions for exponential integrators via Carathéodory-Fejér approximation and contour integrals
• Numerical pricing of options using high-order compact finite difference schemes
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
• Implicit-explicit numerical schemes for jump-diffusion processes
• Comparison of methods for evaluating functions of a matrix exponential
• On the numerical solution of differential equations by the finite element method. I: An introduction to the finite element method (The Ritz models)
• Operator splitting methods for American option pricing.
• Numerical valuation of options with jumps in the underlying
• A penalty method for American options with jump diffusion processes
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Fast deterministic pricing of options on Lévy driven assets
• A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
• Option pricing when underlying stock returns are discontinuous

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