Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation

DOI10.1155/2012/796814MaRDI QIDQ411091zbMATHOpenAlexWikidataFDO

Authors Zhongdi Cen, Anbo Le, Aimin Xu

Publication date 4 April 2012

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/796814

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for boundary value problems involving PDEs (65N06)

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Cites work

• scientific article; zbMATH DE number 3921884 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• A Survey onM-Matrices
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• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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• A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
• An upwind approach for an American and European option pricing model
• Compact finite difference method for American option pricing
• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
• Estimation of local volatilities in a generalized Black-Scholes model
• Exponential time differencing for stiff systems
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
• Exponential time integration for fast finite element solutions of some financial engineering problems
• Numerical pricing of options using high-order compact finite difference schemes
• Numerical techniques for a parabolic equation subject to an overspecified boundary condition
• Penalty methods for American options with stochastic volatility
• The pricing of options and corporate liabilities

Cited in

(7)

• A high-order finite difference method for option valuation
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
• A stochastic delay model for pricing debt and equity: numerical techniques and applications
• Generalized trapezoidal formulas for the black–scholes equation of option pricing
• Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation
• On two kinds of \(q\)-analogues of generalized Stirling numbers
• Exponential Rosenbrock integrators for option pricing

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