Newton-based solvers for nonlinear PDEs in finance

DOI10.1007/978-3-319-61282-9_12MaRDI QIDQ4626503zbMATH OpenOpenAlexFDO

Authors Shih-Hau Tan, C. H. Lai

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_12

zbMATH Keywords

Newton solversnonlinear PDE

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• Broyden updating, the good and the bad!
• Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
• scientific article; zbMATH DE number 5656751 (Why is no real title available?)
• scientific article; zbMATH DE number 1795849 (Why is no real title available?)
• Inexact Newton Methods
• Jacobian-free Newton-Krylov methods: a survey of approaches and applications.
• Modification of a Quasi-Newton Method for Nonlinear Equations with a Sparse Jacobian
• Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
• Nonlinear option pricing
• Numerical methods for non-linear Black-Scholes equations
• On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Periodic steady state analysis using shooting and wave‐form‐newton
• Practical quasi-Newton methods for solving nonlinear systems
• The pricing of options and corporate liabilities

Cited in

(4)

• Choice of an initial guess for Newton's method to solve nonlinear differential equations
• A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
• A simple equation solver and its application to financial modelling
• Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps

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