Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options

DOI10.1016/j.rinam.2021.100229zbMath1485.91247OpenAlexW4200617788MaRDI QIDQ2668184

David Sena Attipoe, Antoine Tambue

Publication date: 3 March 2022

Published in: Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.rinam.2021.100229

zbMATH Keywords

option pricingAmerican optionEuropean optionmimetic finite difference methodfitted scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• MRST

Cites Work

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