Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
DOI10.1155/2012/796814zbMATH Open1235.91171OpenAlexW1998586337WikidataQ58907367 ScholiaQ58907367MaRDI QIDQ411091FDOQ411091
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
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Cites Work
- The pricing of options and corporate liabilities
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- Exponential time differencing for stiff systems
- A Survey onM-Matrices
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- Penalty methods for American options with stochastic volatility
- A finite volume approach for contingent claims valuation
- A high-order exponential scheme for solving 1D unsteady convection-diffusion equations
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- Numerical pricing of options using high-order compact finite difference schemes
- An upwind approach for an American and European option pricing model
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Exponential time integration for fast finite element solutions of some financial engineering problems
- 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
- Numerical techniques for a parabolic equation subject to an overspecified boundary condition
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
- Compact finite difference method for American option pricing
Cited In (7)
- Exponential Rosenbrock integrators for option pricing
- A high-order finite difference method for option valuation
- On two kinds of \(q\)-analogues of generalized Stirling numbers
- 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
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