Stabilized explicit Runge-Kutta methods for multi-asset American options
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Publication:316630
DOI10.1016/J.CAMWA.2014.01.018zbMATH Open1386.91165OpenAlexW2034568860MaRDI QIDQ316630FDOQ316630
B. Kleefeld, J. Martín-Vaquero, A. Q. M. Khaliq
Publication date: 27 September 2016
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2014.01.018
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
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Cited In (23)
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- A two-grid penalty method for American options
- Solving nonlinear parabolic PDEs in several dimensions: parallelized ESERK codes
- The locally extrapolated exponential time differencing LOD scheme for multidimensional reaction-diffusion systems
- A robust numerical solution to a time-fractional Black-Scholes equation
- SERK2v3: Solving mildly stiff nonlinear partial differential equations
- A second-order exponential time differencing scheme for non-linear reaction-diffusion systems with dimensional splitting
- Improved Runge-Kutta-Chebyshev methods
- Extrapolated stabilized explicit Runge-Kutta methods
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- Numerical simulation of partial differential equations via local meshless method
- Variable step length algorithms with high-order extrapolated non-standard finite difference schemes for a SEIR model
- Asymptotics and discretization of a weakly singular kernel: application to viscous flows in a network of thin tubes
- Time discretization and stability regions for dissipative-dispersive Kuramoto-Sivashinsky equation arising in turbulent gas flow over laminar liquid
- ESERK5: a fifth-order extrapolated stabilized explicit Runge-Kutta method
- A class of high-order Runge-Kutta-Chebyshev stability polynomials
- Title not available (Why is that?)
- An efficient computational algorithm for pricing European, barrier and American options
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- A fast numerical method to price American options under the Bates model
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
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