Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models

DOI10.1007/978-3-319-61282-9_19MaRDI QIDQ4626512zbMATH OpenOpenAlexFDO

Authors

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_19

zbMATH Keywords

alternating direction explicit methodsBlack-Scholes pricing modelEuropean options

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Alternating direction explicit methods for convection diffusion equations
• Conservation properties of convection difference schemes
• Convective Difference Schemes
• Extinction for a discrete competition system with the effect of toxic substances
• scientific article; zbMATH DE number 3131402 (Why is no real title available?)
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• scientific article; zbMATH DE number 1795849 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• On the stability of alternating‐direction explicit methods for advection‐diffusion equations
• Some Stable Explicit Difference Approximations to the Diffusion Equation

Cited in

(2)

• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
• Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models

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