Numerical option pricing without oscillations using flux limiters

DOI10.1016/j.camwa.2015.04.003zbMath1443.91332OpenAlexW316351683MaRDI QIDQ2007187

Lina von Sydow, Per Loetstedt

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 pricingflux limitersdiscontinuitiesBlack-Scholes equation

Mathematics Subject Classification ID

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

Cites Work

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• The Pricing of Options and Corporate Liabilities
• TVD, WENO and blended BDF discretizations for Asian options
• Finite element solution of diffusion problems with irregular data
• Towards the ultimate conservative difference scheme. II: Monotonicity and conservation combined in a second-order scheme
• Finite Volume Methods for Hyperbolic Problems
• On the Construction and Comparison of Difference Schemes
• Fractional step methods applied to a chemotaxis model

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