Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation
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Publication:2804501
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
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Cites work
- scientific article; zbMATH DE number 5656751 (Why is no real title available?)
- scientific article; zbMATH DE number 3381785 (Why is no real title available?)
- A computational scheme for uncertain volatility model in option pricing
- A finite volume scheme for nonlinear parabolic equations derived from one-dimensional local Dirichlet problems
- B-convergence of the implicit midpoint rule and the trapezoidal rule
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- High order strong stability preserving time discretizations
- Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
- Numerical convergence properties of option pricing PDEs with uncertain volatility
- Recent developments in numerical methods for fully nonlinear second order partial differential equations
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Stepsize Conditions for Boundedness in Numerical Initial Value Problems
- Strong stability-preserving high-order time discretization methods
- The COS method for pricing options under uncertain volatility
Cited in
(8)- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Computation of Delta Greek for Non-linear Models in Mathematical Finance
- Discretization of the Black-Scholes operator with a natural left-hand side boundary condition
- Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options
- Fast computational approach to the delta Greek of non-linear Black-Scholes equations
- On the derivation and numerical solution of the Black Scholes Barenblatt equation for jump diffusion
- Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
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