PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME

DOI10.1142/S0219024921500187zbMath1470.91327arXiv2106.12049OpenAlexW3157534343MaRDI QIDQ5010071

Fabien Le Floc'h

Publication date: 24 August 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.12049

zbMATH Keywords

finite difference methodstochastic volatilityAmerican optionspricingquantitative financeRunge-Kutta-Chebyshevuncertain volatilityRunge-Kutta-Legendre

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• RKC

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• RELAXATION METHODS APPLIED TO DETERMINE THE MOTION, IN TWO DIMENSIONS, OF A VISCOUS FLUID PAST A FIXED CYLINDER
• ADI finite difference schemes for option pricing in the Heston model with correlation

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