Exponential time integration for fast finite element solutions of some financial engineering problems
DOI10.1016/J.CAM.2008.05.047zbMATH Open1154.91472OpenAlexW1970756300MaRDI QIDQ1002209FDOQ1002209
Authors: Nisha Rambeerich, Désiré Yannick Tangman, A. Gopaul, Muddun Bhuruth 
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
Recommendations
- Fast exponential time integration scheme for option pricing with jumps.
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
jump-diffusion modelpartial integro-differential equationexponential time integrationfinite element discretisations
Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Theoretical approximation in context of PDEs (35A35)
Cites Work
- The pricing of options and corporate liabilities
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Option pricing when underlying stock returns are discontinuous
- Exponential time differencing for stiff systems
- On the numerical solution of differential equations by the finite element method. I: An introduction to the finite element method (The Ritz models)
- A Restarted Krylov Subspace Method for the Evaluation of Matrix Functions
- Evaluating matrix functions for exponential integrators via Carathéodory-Fejér approximation and contour integrals
- 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
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Implicit-explicit numerical schemes for jump-diffusion processes
- Fast deterministic pricing of options on Lévy driven assets
- Numerical pricing of options using high-order compact finite difference schemes
- Comparison of methods for evaluating functions of a matrix exponential
Cited In (20)
- High-order time stepping scheme for pricing American option under bates model
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- Exponential Rosenbrock integrators for option pricing
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- A high-order finite difference method for option valuation
- Using vector divisions in solving the linear complementarity problem
- Equivalence between the DPG method and the exponential integrators for linear parabolic problems
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- An efficient numerical method for pricing option under jump diffusion model
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- 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.
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Rational Krylov methods in exponential integrators for European option pricing.
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Cubic spline method for a generalized Black-Scholes equation
This page was built for publication: Exponential time integration for fast finite element solutions of some financial engineering problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1002209)
