Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
zbMath1292.91187MaRDI QIDQ2450049
Kailash C. Patidar, Edgard Ngounda, Edson Pindza
Publication date: 14 May 2014
Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: http://www.emis.de/journals/ETNA/volumes/2011-2020/vol40/abstract_vol40_pp268-293.html
Black-Scholes equation; European options; barycentric interpolation; digital options; butterfly spread options; implicit-explicit predictor-corrector methods
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
65C30: Numerical solutions to stochastic differential and integral equations
