Nonstandard finite difference schemes with application to finance: option pricing

zbMATH Open1224.65205MaRDI QIDQ3000764FDOQ3000764

Authors: Mariyan Milev, Aldo Tagliani 

Publication date: 30 May 2011

Recommendations

• Low volatility options and numerical diffusion of finite difference schemes
• scientific article; zbMATH DE number 6672872
• A family of positive nonstandard numerical methods with application to Black-Scholes equation
• Nonstandard finite difference schemes for the Black-Scholes equation
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation

zbMATH Keywords

option pricingCrank-Nicolson schemefinite difference schemesM-matrixBlack-Scholes equationJacobi matrixpositivity-preservingnonsmooth initial conditions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (11)

• Title not available (Why is that?)
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
• Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
• Financial Applications of Symbolically Generated Compact Finite Difference Formulae
• On the consistency of finite difference approximations of the Black-Scholes equation on nonuniform grids
• Positive finite difference schemes for a partial integro-differential option pricing model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Low volatility options and numerical diffusion of finite difference schemes
• Efficient implicit scheme with positivity preserving and smoothing properties
• Radial basis functions with application to finance: American put option under jump diffusion

This page was built for publication: Nonstandard finite difference schemes with application to finance: option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3000764)