A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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Publication:3527432
DOI10.1142/S0219024908004890zbMATH Open1185.91175MaRDI QIDQ3527432FDOQ3527432
Authors: Matthias Ehrhardt, Ronald E. Mickens 
Publication date: 29 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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option pricingAmerican optionfinite difference methodfree boundary problemartificial boundary conditionBlack-Scholes equationcomputational finance
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)
Cites Work
- The pricing of options and corporate liabilities
- Option pricing with Mellin transforms
- Far field boundary conditions for Black-Scholes equations
- Quadratic convergence for valuing American options using a penalty method
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- Discrete transparent boundary conditions for the Schrödinger equation: fast calculation, approximation, and stability
- A class of artificial boundary conditions for heat equation in unbounded domains
- Convergence of difference scheme for heat equation in unbounded domains using artificial boundary conditions
- Tools for computational finance.
- Compact finite difference method for American option pricing
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Fast calculation of energy and mass preserving solutions of Schrödinger-Poisson systems on unbounded domains
- Discrete artificial boundary conditions for nonlinear Schrödinger equations
- The numerical solution of second-order boundary value problems on nonuniform meshes
- Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
- A new direct method for solving the Black-Scholes equation
- Discrete transparent boundary conditions for parabolic systems
- A two-step simulation procedure to analyze the exercise features of American options
Cited In (37)
- American option pricing problem transformed on finite interval
- Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
- A high-order compact method for nonlinear Black-Scholes option pricing equations of American options
- Robust and accurate method for the Black-Scholes equations with payoff-consistent extrapolation
- Fast reconstruction of time-dependent market volatility for European options
- A high-order finite difference method for option valuation
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
- A fixed point method for the linear complementarity problem arising from American option pricing
- An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Positive finite difference schemes for a partial integro-differential option pricing model
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- SelectNet: self-paced learning for high-dimensional partial differential equations
- Option pricing with a direct adaptive sparse grid approach
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- Numerical analysis of novel finite difference methods
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
- Perfectly matched layers for the heat and advection-diffusion equations
- On a constant related to American type options
- An accurate and stable numerical method for option hedge parameters
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- On the numerical solution of nonlinear Black-Scholes equations
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Friedrichs Learning: Weak Solutions of Partial Differential Equations via Deep Learning
- A highly parallel Black--Scholes solver based on adaptive sparse grids
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- Removing the correlation term in option pricing Heston model: numerical analysis and computing
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
- Perfectly matched layers for the heat and advection-diffusion equations
- A fast numerical method to price American options under the Bates model
- A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
- A Fast Numerical Method for the Black--Scholes Equation of American Options
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