Nonstandard finite difference schemes with application to finance: option pricing
option pricingCrank-Nicolson schemefinite difference schemesM-matrixBlack-Scholes equationJacobi matrixpositivity-preservingnonsmooth initial conditions
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)
- 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
- A family of positive nonstandard numerical methods with application to Black-Scholes equation
- Financial Applications of Symbolically Generated Compact Finite Difference Formulae
- Efficient implicit scheme with positivity preserving and smoothing properties
- Positive finite difference schemes for a partial integro-differential option pricing model
- A robust nonstandard finite difference scheme for pricing real estate index options
- Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
- scientific article; zbMATH DE number 5656751 (Why is no real title available?)
- Radial basis functions with application to finance: American put option under jump diffusion
- Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
- Low volatility options and numerical diffusion of finite difference schemes
- On the consistency of finite difference approximations of the Black-Scholes equation on nonuniform grids
- scientific article; zbMATH DE number 5732372 (Why is no real title available?)
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