The STRIKE computational finance toolbox

DOI10.1007/978-3-319-61282-9_30MaRDI QIDQ4626527zbMATH 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_30

zbMATH Keywords

computational finance toolboxnumerical schemesoption pricingSTRIKE

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Novel methods in computational finance
• Tools for computational finance.
• An Introduction to Computational Finance
• Tools for computational finance.
• Tools for computational finance

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternating direction explicit methods for convection diffusion equations
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Smoothing of initial data and rates of convergence for parabolic difference equations
• The pricing of options and corporate liabilities
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

Describes a project that uses

Uses Software

• Matlab
• CFT

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