An efficient computational algorithm for pricing European, barrier and American options
From MaRDI portal
Publication:1993476
Black-Scholes equationdomain decomposition methodoption pricingpredictor-corrector methodspectral collocation technique
Free boundary problems for PDEs (35R35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- A fully spectral collocation method for pricing European style standard and nonstandard options
- Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
- Spectral methods for the Black-Scholes model of American options valuation
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- Nonconforming least-squares spectral element method for European options
Cites work
- A Fourier transform method for spread option pricing
- A modified Chebyshev pseudospectral DD algorithm for the GBH equation
- A new domain decomposition algorithm for generalized Burgers-Huxley equation based on Chebyshev polynomials and preconditioning
- A new predictor-corrector scheme for valuing American puts
- A note on variable step-size formulation of a Simpson's-type second derivative block method for solving stiff systems
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- A power penalty approach to numerical solutions of two-asset American options
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- A variable step implicit block multistep method for solving first-order ODEs
- A variable step-size implementation of a variational method for stiff differential equations
- Adaptive \(\theta \)-methods for pricing American options
- Chebyshev spectral collocation methods for nonlinear isothermal magnetostatic atmospheres
- Compact finite difference method for American option pricing
- Continuous block implicit hybrid one-step methods for ordinary and delay differential equations
- Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
- Finite difference schemes for a nonlinear Black-Scholes model with transaction cost and volatility risk
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Highly stable implicit-explicit Runge-Kutta methods
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Option pricing: A simplified approach
- Penalty methods for the numerical solution of American multi-asset option problems
- Pricing American bond options using a penalty method
- Pricing European and American options by radial basis point interpolation
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- Radial basis function partition of unity methods for pricing vanilla basket options
- Spectral collocation method for the solution of the generalized Burgers-Fisher equation
- Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- Standard Galerkin formulation with high order Lagrange finite elements for option markets pricing
- The pricing of options and corporate liabilities
Cited in
(12)- Very fast algorithms for implied barriers and moving-barrier options pricing
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
- Using computational methodology to price European options with actual payoff distributions
- Rational spectral collocation method for pricing American vanilla and butterfly spread options
- A fully spectral collocation method for pricing European style standard and nonstandard options
- Efficient willow tree method for European-style and American-style moving average barrier options pricing
- An Efficient, and Fast Convergent Algorithm for Barrier Options
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- On some generalized American style derivatives
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions
- A lattice algorithm for pricing moving average barrier options
This page was built for publication: An efficient computational algorithm for pricing European, barrier and American options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1993476)
