Stabilized explicit Runge-Kutta methods for multi-asset American options

DOI10.1016/j.camwa.2014.01.018zbMath1386.91165MaRDI QIDQ316630

B. Kleefeld, Jesús Martín-Vaquero, Abdul 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

zbMATH Keywords

American options; stabilized explicit Runge-Kutta methods; multi-asset options; non-smooth payoffs

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

65M20: Method of lines for initial value and initial-boundary value problems involving PDEs

Uses Software

• Mathematica
• RKC
• RODAS
• SERK2
• S-ROCK