Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model

DOI10.1016/J.CAMWA.2018.08.011MaRDI QIDQ2202986zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Laplace transformfinite difference methodsEuropean call optionnumerical methods for PDEshard-to-borrow model

Mathematics Subject Classification ID

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)

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

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
• Fast numerical valuation of options with jump under Merton's model
• Hybrid Laplace transform and finite difference methods for pricing American options under complex models
• 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
• The pricing of options and corporate liabilities

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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