The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
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transaction costexponential time differencingdiscrete barrier optionbutterfly spreadnonlinear Black-Scholes model
Parallel numerical computation (65Y05) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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Cites work
- scientific article; zbMATH DE number 50395 (Why is no real title available?)
- scientific article; zbMATH DE number 1077323 (Why is no real title available?)
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- A Fast Numerical Method for the Black--Scholes Equation of American Options
- A high-order compact method for nonlinear Black-Scholes option pricing equations of American options
- A new computational tool for analysing dynamic hedging under transaction costs
- A nonlinear approach to absorbing boundary conditions for the semilinear wave equation
- Absorbing boundary conditions for reaction-diffusion equations
- An ETD Crank-Nicolson method for reaction-diffusion systems
- Analysis of the free boundary for the pricing of an American call option
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Evaluation of American strangles
- Existence and stability of solutions for semi-linear parabolic systems, and applications to some diffusion reaction equations
- Exponential time differencing for stiff systems
- High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
- High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Numerical methods for non-linear Black-Scholes equations
- On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
- On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options
- On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- Quadratic convergence for valuing American options using a penalty method
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Semigroups of linear operators and applications to partial differential equations
- Smoothing properties and approximation of time derivatives for parabolic equations: constant time steps
- The pricing of options and corporate liabilities
Cited in
(29)- A real distinct poles exponential time differencing scheme for reaction-diffusion systems
- Fourth-order methods for space fractional reaction-diffusion equations with non-smooth data
- A note on the numerical approximation of Greeks for American-style options
- High-order time stepping scheme for pricing American option under bates model
- A fourth-order exponential time differencing scheme with dimensional splitting for non-linear reaction-diffusion systems
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- Numerical simulations of multilingual competition dynamics with nonlocal derivative
- Efficient time discretization scheme for nonlinear space fractional reaction-diffusion equations
- Exponential integrator methods for systems of non-linear space-fractional models with super-diffusion processes in pattern formation
- A fourth-order implicit-explicit scheme for the space fractional nonlinear Schrödinger equations
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- A hybrid fourth order time stepping method for space distributed order nonlinear reaction-diffusion equations
- Exponential time differencing Crank-Nicolson method with a quartic spline approximation for nonlinear Schrödinger equations
- Penalty and penalty-like methods for nonlinear HJB PDEs
- PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
- A second-order exponential time differencing scheme for non-linear reaction-diffusion systems with dimensional splitting
- A new method for evaluating options based on multiquadric RBF-FD method
- High-order time-stepping methods for two-dimensional Riesz fractional nonlinear reaction-diffusion equations
- Pricing European and American options by radial basis point interpolation
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A fourth-order exponential time differencing scheme with real and distinct poles rational approximation for solving non-linear reaction-diffusion systems
- Decentralized time-constrained scheduling for sensor network in identification of distributed parameter systems
- Fourier spectral exponential time differencing methods for multi-dimensional space-fractional reaction-diffusion equations
- High-order time stepping Fourier spectral method for multi-dimensional space-fractional reaction-diffusion equations
- A positivity-preserving numerical scheme for nonlinear option pricing models
- An efficient finite element method for pricing American multi-asset put options
- A second-order efficient \(L\)-stable numerical method for space fractional reaction-diffusion equations
- Exponential time differencing schemes for the 3-coupled nonlinear fractional Schrödinger equation
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