A quick operator splitting method for option pricing

DOI10.1016/j.cam.2021.113949zbMath1485.91253OpenAlexW4200518845WikidataQ114201945 ScholiaQ114201945MaRDI QIDQ2074881

Chan Liu, Cheng-long Xu, Bihao Su

Publication date: 11 February 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113949

zbMATH Keywords

preservation of convexityADI operator-splittingfinite difference method for partial differential equationremoving of cross derivative term

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model

Cites Work

• A mixed derivative terms removing method in multi-asset option pricing problems
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• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
• Multigrid for American option pricing with stochastic volatility
• IMPROVED ACCURACY FOR LOCALLY ONE-DIMENSIONAL METHODS FOR PARABOLIC EQUATIONS
• A Componentwise Splitting Method for Pricing American Options Under the Bates Model
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

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