A unified numerical approach for a large class of nonlinear Black-Scholes models

DOI10.1007/978-3-319-73441-5_64MaRDI QIDQ3297465zbMATH OpenOpenAlexFDO

Authors Miglena N. Koleva, Lubin G. Vulkov

Publication date 20 July 2020

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-73441-5_64

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) 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)

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Cites work

• scientific article; zbMATH DE number 5656751 (Why is no real title available?)
• scientific article; zbMATH DE number 1069620 (Why is no real title available?)
• scientific article; zbMATH DE number 3215568 (Why is no real title available?)
• A generalized Newton method for absolute value equations
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• Nonlinear Parabolic Equations Arising in Mathematical Finance
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• On generalized Traub's method for absolute value equations
• On splitting-based numerical methods for nonlinear models of European options

Cited in

(6)

• Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models
• Numerical methods for non-linear Black-Scholes equations
• Fast computational approach to the delta Greek of non-linear Black-Scholes equations
• A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
• Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models

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