Numerical option pricing without oscillations using flux limiters

DOI10.1016/J.CAMWA.2015.04.003MaRDI QIDQ2007187zbMATH OpenOpenAlexFDO

Authors Lina von Sydow, Per Lötstedt

Publication date 12 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2015.04.003

zbMATH Keywords

option pricingBlack-Scholes equationflux limitersdiscontinuities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3045283 (Why is no real title available?)
• Finite Volume Methods for Hyperbolic Problems
• Finite element solution of diffusion problems with irregular data
• Fractional step methods applied to a chemotaxis model
• On the Construction and Comparison of Difference Schemes
• TVD, WENO and blended BDF discretizations for Asian options
• The pricing of options and corporate liabilities
• Towards the ultimate conservative difference scheme. II: Monotonicity and conservation combined in a second-order scheme

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