Numerical analysis of novel finite difference methods

DOI10.1007/978-3-319-61282-9_10MaRDI QIDQ4626501zbMATH OpenOpenAlexFDO

Authors R. Company, Mohamed El Fakharany, Fazlollah Soleymani, V. N. Egorova, L. Jódar

Publication date 28 February 2019

Published in Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-61282-9_10

zbMATH Keywords

option pricingsemidiscretizationfinite difference methodspartial integro-differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(2)

• Computation of the unknown volatility from integral option price observations in jump-diffusion models
• New finite difference formulas for numerical differentiation

Describes a project that uses

Uses Software

• mctoolbox

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