Analysis of Quantization Error in Financial Pricing via Finite Difference Methods

DOI10.1137/17M1139655zbMATH Open1407.65099OpenAlexW2811119235WikidataQ129630493 ScholiaQ129630493MaRDI QIDQ4572020FDOQ4572020

Authors: Christina C. Christara, Nat Chun-Ho Leung 

Publication date: 4 July 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1139655

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zbMATH Keywords

numerical solutionoption pricingconvection-diffusion equationsfinite difference methodsFourier analysispartial differential equationBlack-Scholes equationGreeksnonsmooth initial conditions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Cites Work

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• Convergence analysis of the Modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with nonsmooth initial data
• Convergence Rates of Parabolic Difference Schemes for Non-Smooth Data
• The impact of a natural time change on the convergence of the Crank-Nicolson scheme
• Sharp error estimates for discretizations of the 1D convection–diffusion equation with Dirac initial data

Cited In (4)

• A priori error estimates for reduced order models in finance
• A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
• Title not available (Why is that?)

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