The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
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Publication:4903545
DOI10.1080/00207160.2012.688115zbMATH Open1255.91434OpenAlexW2035253283MaRDI QIDQ4903545FDOQ4903545
A. Q. M. Khaliq, B. Kleefeld, M. Yousuf
Publication date: 22 January 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2012.688115
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)
Cites Work
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Cited In (26)
- 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
- 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
- A hybrid fourth order time stepping method for space distributed order nonlinear reaction-diffusion 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
- 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 efficientL-stable numerical method for space fractional reaction–diffusion equations
- 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
- Fourth-order methods for space fractional reaction–diffusion equations with non-smooth data
- Fourier spectral exponential time differencing methods for multi-dimensional space-fractional reaction-diffusion equations
- High-order time stepping scheme for pricing American option under Bates model
- 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
- Efficient time discretization scheme for nonlinear space fractional reaction–diffusion equations
- Pricing American options under multi-state regime switching with an efficientL- stable method
- Decentralized Time-Constrained Scheduling for Sensor Network in Identification of Distributed Parameter Systems
- An efficient finite element method for pricing American multi-asset put options
- Exponential time differencing schemes for the 3-coupled nonlinear fractional Schrödinger equation
- A real distinct poles exponential time differencing scheme for reaction-diffusion systems
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