An Eulerian-Lagrangian method for option pricing in finance

DOI10.1002/NUM.20176zbMATH Open1284.91577OpenAlexW2059227460MaRDI QIDQ3428897FDOQ3428897

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

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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)

Cites Work

• The Mathematics of Financial Derivatives

Cited In (3)

• Lattice Boltzmann methods for solving partial differential equations of exotic option pricing
• Title not available (Why is that?)
• A CFL-free explicit characteristic interior penalty scheme for linear advection-reaction equations

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