Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
DOI10.1016/J.CAMWA.2018.08.011zbMATH Open1442.65155OpenAlexW2889428656WikidataQ115359502 ScholiaQ115359502MaRDI QIDQ2202986FDOQ2202986
Authors: Yanyan Li 
Publication date: 1 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.2018.08.011
Recommendations
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
- Using kernel-based collocation methods to solve a delay partial differential equation with application to finance
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- Pricing European call options under a hard-to-borrow stock model
Laplace transformfinite difference methodsEuropean call optionnumerical methods for PDEshard-to-borrow model
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Numerical Methods for Elliptic and Parabolic Partial Differential Equations
- Parabolic and hyperbolic contours for computing the Bromwich integral
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- Fast numerical valuation of options with jump under Merton's model
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
Cited In (7)
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
- Using kernel-based collocation methods to solve a delay partial differential equation with application to finance
- Pricing European call options under a hard-to-borrow stock model
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
- On a hypercycle equation with infinitely many members
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