A mixed derivative terms removing method in multi-asset option pricing problems
DOI10.1016/J.AML.2016.04.011zbMATH Open1342.35400OpenAlexW2342566231MaRDI QIDQ289274FDOQ289274
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
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\(LDL^T\) factorizationBunch-Kaufman factorizationmixed derivative termsmultiasset option pricingmultidimensional partial differential equations
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)
Cites Work
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Cited In (11)
- American-type basket option pricing: a simple two-dimensional partial differential equation
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
- 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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