Pricing European and American Options by SPH Method

DOI10.1142/S0219876219500439OpenAlexW2943982390WikidataQ127911687 ScholiaQ127911687MaRDI QIDQ4985141FDOQ4985141

Authors: Boujemâa Achchab, A. Cheikh Maloum, Abdelmjid Qadi El Idrissi 

Publication date: 22 April 2021

Published in: International Journal of Computational Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219876219500439

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zbMATH Keywords

Black-Scholes equationSPH methodEuropean and American options

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Fluid mechanics (76-XX)

Cites Work

• The pricing of options and corporate liabilities
• Smoothed particle hydrodynamics: theory and application to non-spherical stars
• Title not available (Why is that?)
• Smoothed particle hydrodynamics (SPH): an overview and recent developments
• A quasi-radial basis functions method for American options pricing.
• Smoothed Particle Hydrodynamics
• Computational Methods for Option Pricing
• Title not available (Why is that?)
• Error estimation in smoothed particle hydrodynamics and a new scheme for second derivatives
• An analysis of 1-D smoothed particle hydrodynamics kernels

Cited In (2)

• On a high-order Gaussian radial basis function generated Hermite finite difference method and its application
• An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance

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