Derivative securities and difference methods.
zbMATH Open1061.91036MaRDI QIDQ1881815FDOQ1881815
Authors: You-lan Zhu, Xiaonan Wu, I-Liang Chern 
Publication date: 15 October 2004
Published in: Springer Finance (Search for Journal in Brave)
Recommendations
European optionsinterest rate modelsfree boundary problemspartial differential equationsswapsAmerican optionsBlack-Scholes modelcapsfloorsmulti-asset optionsswaptionsAsian optionsbarrier optionsinterest rate derivativesfutures contractsforward contractslookback optionscollars
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Research exposition (monographs, survey articles) pertaining to partial differential equations (35-02) Parabolic equations and parabolic systems (35K99) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
Cited In (37)
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
- Limitations and improvements of standard spectral methods for pricing standard options
- Portfolio optimization model with and without options under additional constraints
- Numerical pricing of options using high-order compact finite difference schemes
- Derivative securities and difference methods
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics
- Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems
- Fast orthogonal transforms and generation of Brownian paths
- The Mathematics of Financial Derivatives
- A fast high-order finite difference algorithm for pricing American options
- On the multidimensional Black-Scholes partial differential equation
- Hat Derivatives
- With or without replacement? Sampling uncertainty in Shepp’s urn scheme
- Richardson extrapolation technique for generalized Black-Scholes PDEs for European options
- Mathematical models of financial derivatives
- High order approximation of derivatives with applications to pricing of financial derivatives
- Valuing executive stock options: a quadratic approximation
- A numerical analysis of American options with regime switching
- On the numerical solution of nonlinear Black-Scholes equations
- Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
- An artificial boundary method for the Hull-White model of American interest rate derivatives
- Rational spectral collocation method for pricing American vanilla and butterfly spread options
- Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
- Efficient finite difference method for optimal portfolio in a power utility regime-switching model
- Pricing of margin call stock loan based on the FMLS
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Pricing futures by deterministic methods
- Convergence of a difference scheme for the heat equation in a long strip by artificial boundary conditions
- Semi-implicit integration factor methods on sparse grids for high-dimensional systems
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
- On coordinate transformation and grid stretching for sparse grid pricing of basket options
- An introduction to Black-Scholes modeling and numerical methods in derivatives pricing
- Iterative speedup by utilizing symmetric data in pricing options with two risky assets
- A robust finite difference scheme for pricing American put options with singularity-separating method
- A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing
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