Numerical convergence properties of option pricing PDEs with uncertain volatility
From MaRDI portal
Publication:4807709
DOI10.1093/imanum/23.2.241zbMath1040.91053OpenAlexW2115163964MaRDI QIDQ4807709
D. M. Pooley, Peter A. I. Forsyth, Kenneth Vetzal
Publication date: 2003
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imanum/23.2.241
Numerical methods (including Monte Carlo methods) (91G60) Second-order nonlinear hyperbolic equations (35L70) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS, A penalty method for American options with jump diffusion processes, Penalty and penalty-like methods for nonlinear HJB PDEs, Computational approaches to solving equations arising from wound healing, Fast computational approach to the delta Greek of non-linear Black-Scholes equations, Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation, Numerical methods for dynamic Bertrand oligopoly and American options under regime switching, The COS Method for Pricing Options Under Uncertain Volatility, Hedging with a correlated asset: Solution of a nonlinear pricing PDE, On the Fourier cosine series expansion method for stochastic control problems, Pricing double volatility barriers option under stochastic volatility, High-order filtered schemes for time-dependent second order HJB equations, Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method, Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem, Unnamed Item, An ENO-based method for second-order equations and application to the control of dike levels, The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options, An efficient numerical method for the robust optimal investment problem with general utility functions, Optimal investment-consumption problem: post-retirement with minimum guarantee, Iterative methods for the solution of a singular control formulation of a GMWB pricing problem, An efficient alternating direction explicit method for solving a nonlinear partial differential equation, Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization, Spatial approximation of nondivergent type parabolic PDEs with unbounded coefficients related to finance, Numerical Analysis of Novel Finite Difference Methods, Numerical solution of two asset jump diffusion models for option valuation, A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models, Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options, Infinite reload options: pricing and analysis, Computation and analysis for a constrained entropy optimization problem in finance, Numerical Methods for Non-Linear Black–Scholes Equations, On the numerical solution of nonlinear option pricing equation in illiquid markets, Tractable hedging: An implementation of robust hedging strategies, Numerical methods for Lévy processes, A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets, Moving boundary transformation for American call options with transaction cost: finite difference methods and computing, A semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion, Numerical methods for two person games arising from transboundary pollution with emission permit trading, Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff, Implications of a regime-switching model on natural gas storage valuation and optimal operation, Numerical analysis and simulation of option pricing problems modeling illiquid markets, A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty, Robust numerical algorithm to the European option with illiquid markets, Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations, Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation, Some non monotone schemes for Hamilton-Jacobi-Bellman equations, A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem, Vulnerable options pricing under uncertain volatility model, Optimal investment strategy post retirement without ruin possibility: a numerical algorithm, THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING, Semi-Lagrangian schemes for linear and fully non-linear diffusion equations, A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE, Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals, Numerical Methods and Volatility Models for Valuing Cliquet Options, A Numerical Scheme for the Quantile Hedging Problem, PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME, Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
