Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing

DOI10.1016/J.CAM.2013.07.033MaRDI QIDQ2348959zbMATH OpenOpenAlexFDO

Authors Luca Vincenzo Ballestra

Publication date 16 June 2015

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.2013.07.033

zbMATH Keywords

Black-Scholes modelfinite differencehigh-order accuracyoption pricingspatial extrapolation

Mathematics Subject Classification ID

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

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Cited in

(18)

• A comparative analysis of local meshless formulation for multi-asset option models
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• A high-order finite difference method for option valuation
• Fast and accurate calculation of American option prices
• Extrapolation of difference methods in option valuation
• Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
• A computational method to price with transaction costs under the nonlinear Black-Scholes model
• Digital barrier options pricing: an improved Monte Carlo algorithm
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• Reconstruction of local volatility surface from American options
• High-order exponential spline method for pricing European options
• An integration preconditioning method for solving option pricing problems
• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
• An accurate and stable numerical method for pricing Asian options
• A novel higher-order efficient computational method for pricing European and Asian options

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