A practical finite difference method for the three-dimensional Black-Scholes equation
DOI10.1016/J.EJOR.2015.12.012zbMATH Open1346.91258OpenAlexW2196471905MaRDI QIDQ322864FDOQ322864
Authors: Junseok Kim, Taekkeun Kim, Jaehyun Jo, Yongho Choi, Hyeongseok Hwang, Minhyun Yoo, Darae Jeong, Seunggyu Lee 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.12.012
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- scientific article; zbMATH DE number 2104089
option pricingoperator splitting methodBlack-Scholes partial differential equationequity-linked securitiesnon-uniform grid
Derivative securities (option pricing, hedging, etc.) (91G20) 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)
Cites Work
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- Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes
- An operator splitting method for pricing the ELS option
- Option pricing and Greeks via a moving least square meshfree method
- An accurate and efficient numerical method for Black-Scholes equations
Cited In (14)
- Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
- Efficient and accurate finite difference method for the four underlying asset ELS
- CDS pricing with fractional Hawkes processes
- Optimal non-uniform finite difference grids for the Black-Scholes equations
- The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
- An operator splitting method for multi-asset options with the Feynman-Kac formula
- An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation
- An adaptive finite difference method using far-field boundary conditions for the Black-Scholes equation
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
- Solving finite difference schemes arising in trivariate option pricing.
- Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models
- An accurate and stable numerical method for option hedge parameters
- Comparison of numerical schemes on multi-dimensional Black-Scholes equations
- An accurate and efficient numerical method for Black-Scholes equations
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