An Eulerian-Lagrangian method for option pricing in finance

DOI10.1002/NUM.20176MaRDI QIDQ3428897zbMATH OpenOpenAlexFDO

Authors Zheng Wang, Mohamed Al-Lawatia, Hong Wang

Publication date 30 March 2007

Published in Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/num.20176

zbMATH Keywords

option pricingBlack-Scholes equationsEulerian-Lagrangian methodsefficient simulation of option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

• The Mathematics of Financial Derivatives

Cited in

(3)

• Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
• scientific article; zbMATH DE number 6001326 (Why is no real title available?)
• A CFL-free explicit characteristic interior penalty scheme for linear advection-reaction equations

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