Low volatility options and numerical diffusion of finite difference schemes
zbMATH Open1224.65206MaRDI QIDQ3000773FDOQ3000773
Authors: Mariyan Milev, Aldo Tagliani 
Publication date: 30 May 2011
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option pricingfinite difference schemesexponential fittingBlack-Scholes equationCrank-Nicolson methodnumerical diffusionspurious oscillationsnon-smooth initial conditionsdiscounted payoff optionslow volatility optionsMilev-Tagliani method
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 (5)
- Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
- Title not available (Why is that?)
- Nonstandard finite difference schemes with application to finance: option pricing
- Efficient implicit scheme with positivity preserving and smoothing properties
- Radial basis functions with application to finance: American put option under jump diffusion
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