A mixed derivative terms removing method in multi-asset option pricing problems

DOI10.1016/J.AML.2016.04.011MaRDI QIDQ289274zbMATH OpenOpenAlexFDO

Authors R. Company, Fazlollah Soleymani, V. N. Egorova, L. Jódar

Publication date 30 May 2016

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2016.04.011

zbMATH Keywords

\(LDL^T\) factorizationBunch-Kaufman factorizationmixed derivative termsmultiasset option pricingmultidimensional partial differential equations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 3936413 (Why is no real title available?)
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• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
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• Accuracy and Stability of Numerical Algorithms
• Computing the nearest correlation matrix--a problem from finance
• Direct Methods for Solving Symmetric Indefinite Systems of Linear Equations
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
• High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
• Numerical solution of two asset jump diffusion models for option valuation
• Operator splitting methods for pricing American options under stochastic volatility
• Positive finite difference schemes for a partial integro-differential option pricing model
• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• Some Stable Methods for Calculating Inertia and Solving Symmetric Linear Systems
• Stability of the Diagonal Pivoting Method with Partial Pivoting
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES

Cited in

(11)

• American-type basket option pricing: a simple two-dimensional partial differential equation
• Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
• An ETD method for multi‐asset American option pricing under jump‐diffusion model
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
• Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
• An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
• A local radial basis function method for high-dimensional American option pricing problems
• Numerical analysis of novel finite difference methods
• A quick operator splitting method for option pricing
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• On five-point equidistant stencils based on Gaussian function with application in numerical multi-dimensional option pricing

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