An Eulerian-Lagrangian method for option pricing in finance

DOI10.1002/num.20176zbMath1284.91577OpenAlexW2059227460MaRDI QIDQ3428897

Mohamed Al-Lawatia, Hong Wang, Zheng 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 pricingEulerian-Lagrangian methodsBlack-Scholes equationsefficient simulation of option pricing

Mathematics Subject Classification ID

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