Space-time adaptive finite difference method for European multi-asset options

DOI10.1016/j.camwa.2006.09.014zbMath1154.91462MaRDI QIDQ2468901

Lina von Sydow, Johan Tysk, Per Loetstedt, Jonas Persson

Publication date: 30 January 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2006.09.014

zbMATH Keywords

maximum principle; finite difference method; Black-Scholes equation; time adaptation; space adaptation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

A highly accurate adaptive finite difference solver for the Black–Scholes equation, Improved radial basis function methods for multi-dimensional option pricing

Uses Software

• TOMS659

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Monte Carlo methods for security pricing
• Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
• On multigrid for linear complementarity problems with application to American-style options
• Solving finite difference schemes arising in trivariate option pricing.
• Operator splitting methods for American option pricing.
• Solving Ordinary Differential Equations I
• An optimal control approach to a posteriori error estimation in finite element methods
• GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems
• The Numerical Solution of Second-Order Boundary Value Problems on Nonuniform Meshes
• Algorithm 659
• Generating Quasi-Random Paths for Stochastic Processes
• Quasi-Monte Carlo Methods in Numerical Finance
• Multigrid for American option pricing with stochastic volatility
• Sparse grids
• Computational Methods for Option Pricing
• On the distribution of points in a cube and the approximate evaluation of integrals