Optimal non-uniform finite difference grids for the Black-Scholes equations

DOI10.1016/J.MATCOM.2020.12.002MaRDI QIDQ1998418zbMATH OpenOpenAlexWikidataFDO

Authors Jisang Lyu, Eunchae Park, Sangkwon Kim, Wonjin Lee, Chaeyoung Lee, Sungha Yoon, Jintae Park, Junseok Kim

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2020.12.002

zbMATH Keywords

Black-Scholes equationsequity-linked securitiesfinite difference methodoptimal non-uniform grid

Mathematics Subject Classification ID

Numerical methods for ordinary differential equations (65Lxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Actuarial science and mathematical finance (91Gxx)

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Cites work

• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
• A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme
• A computational method to price with transaction costs under the nonlinear Black-Scholes model
• A computationally efficient numerical approach for multi-asset option pricing
• A high order method for pricing of financial derivatives using radial basis function generated finite differences
• A high-order finite difference method for option valuation
• A practical finite difference method for the three-dimensional Black-Scholes equation
• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
• An operator splitting method for pricing the ELS option
• Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
• Block-centred finite difference methods on rectangular composite grids with refinement in space for parabolic equation
• Continuously monitored barrier options under Markov processes
• Far field boundary conditions for Black-Scholes equations
• High order method for Black-Scholes PDE
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system
• Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
• Pricing options under stochastic volatility jump model: a stable adaptive scheme
• Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
• Radial basis function generated finite differences for option pricing problems
• Radial-basis-function-based finite difference operator splitting method for pricing American options
• Robust and accurate method for the Black-Scholes equations with payoff-consistent extrapolation

Cited in

(5)

• scientific article; zbMATH DE number 1453365 (Why is no real title available?)
• Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models
• A partition of unity finite element method for valuation American option under Black-Scholes model
• An efficient numerical scheme on nonuniform grids for a normalized time-fractional Black-Scholes equation
• A finite difference method for reverse step-down equity-linked securities

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