Lattice Boltzmann methods for solving partial differential equations of exotic option pricing

DOI10.1007/S11464-015-0500-0zbMATH Open1335.91112OpenAlexW2187370399MaRDI QIDQ256532FDOQ256532

Authors: Zhiqiang Zhou, Jingtang Ma 

Publication date: 9 March 2016

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-015-0500-0

Recommendations

• Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
• An Eulerian-Lagrangian method for option pricing in finance
• High-order compact finite difference method for Black-Scholes PDE
• Chapman-Kolmogorov lattice method for derivatives pricing
• A high-order finite difference method for option valuation

zbMATH Keywords

computational complexitystabilityChapman-Enskog multi-scale expansionexotic option pricinglattice Boltzmann method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Particle methods and lattice-gas methods (76M28) Rarefied gas flows, Boltzmann equation in fluid mechanics (76P05) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• A new lattice Boltzmann model for solving the coupled viscous Burgers' equation
• Stochastic calculus for finance. I: The binomial asset pricing model.
• The lattice Boltzmann equation. For fluid dynamics and beyond
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Model for Collision Processes in Gases. I. Small Amplitude Processes in Charged and Neutral One-Component Systems
• Pricing exotic options under regime switching

Cited In (3)

• Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
• Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
• Chapman-Kolmogorov lattice method for derivatives pricing

This page was built for publication: Lattice Boltzmann methods for solving partial differential equations of exotic option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q256532)