Numerical solution of systems of partial integral differential equations with application to pricing options
DOI10.1002/NUM.22244zbMATH Open1407.91279OpenAlexW2792761221MaRDI QIDQ4623366FDOQ4623366
Authors: M. Yousuf 
Publication date: 15 February 2019
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.22244
Recommendations
- scientific article; zbMATH DE number 2094611
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
- Existence, uniqueness and numerical approximation of solutions to a nonlinear integro-differential equation which arises in option pricing theory
- Numerical solution via transformation methods of nonlinear models in option pricing
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- Numerical methods for pricing American options with time-fractional PDE models
- scientific article; zbMATH DE number 2134189
- Partial Differential Equations for Option Pricing
regime switchingjump diffusionAmerican optionsstrongly stableexponential time differencingnonsmooth initial datapartial integral differential equations
Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
Cited In (17)
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- A novel approach to solving system of integral partial differential equations based on hybrid modified block-pulse functions
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Partial differential integral equation model for pricing American option under multi state regime switching with jumps
- Solving a nonlinear PDE that prices real options using utility based pricing methods
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Numerical valuation of Bermudan basket options via partial differential equations
- Approximate solution to solve singular variable-order fractional Volterra–Fredholm integral partial differential equations type defined using hybrid functions
- Positive finite difference schemes for a partial integro-differential option pricing model
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- Two approximated techniques for solving of system of two-dimensional partial integral differential equations with weakly singular kernels
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Probabilistic numerical approach for PDE and its application in the valuation of European options
- SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)
- Leader Authenticity in Intercultural School Contexts
This page was built for publication: Numerical solution of systems of partial integral differential equations with application to pricing options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4623366)
