Numerical methods for non-linear Black-Scholes equations

DOI10.1080/13504860903075670MaRDI QIDQ3565099zbMATH OpenOpenAlexFDO

Authors Pascal Heider

Publication date 27 May 2010

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860903075670

zbMATH Keywords

viscosity solutionBDF methodsfully implicitnon-linear Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• Finite element solution of diffusion problems with irregular data
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Market volatility and feedback effects from dynamic hedging
• Newton and Quasi-Newton Methods for a Class of Nonsmooth Equations and Related Problems
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Numerical initial value problems in ordinary differential equations.
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Optimization and nonsmooth analysis
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Perfect option hedging for a large trader
• The Feedback Effect of Hedging in Illiquid Markets
• The pricing of options and corporate liabilities
• Tools for computational finance.
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation

Cited in

(28)

• High order method for Black-Scholes PDE
• Qualitatively stable nonstandard finite difference scheme for numerical solution of the nonlinear Black-Scholes equation
• Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models
• An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
• scientific article; zbMATH DE number 1453365 (Why is no real title available?)
• Modulus of continuity of Nemytskii operators with application to the problem of option pricing
• Numerical methods for nonlinear PDEs in finance
• Newton-based solvers for nonlinear PDEs in finance
• Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
• Affine processes under parameter uncertainty
• Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE
• The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
• A numerical scheme for pricing American options with transaction costs under a jump diffusion process
• A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
• Nonlinearities in financial engineering
• A second-order positivity preserving numerical method for gamma equation
• Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
• A unified numerical approach for a large class of nonlinear Black-Scholes models
• Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
• On the numerical solution of nonlinear option pricing equation in illiquid markets
• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Positivity Preserving Numerical Method for Non-linear Black-Scholes Models

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