Selected applications of differential equations in vanilla options valuation.

DOI10.14708/MA.V46I2.6352MaRDI QIDQ5135652zbMATH OpenOpenAlexWikidataFDO

Authors Grzegorz Krzyżanowski

Publication date 23 November 2020

Published in Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14708/ma.v46i2.6352

zbMATH Keywords

American optionBlack-Scholes modelEuropean optionfinite difference methodfree boundary problemnumerical methods

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

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Cited in

(4)

• A weighted finite difference method for subdiffusive Black-Scholes model
• A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
• A tempered subdiffusive Black-Scholes model
• About subordinated generalizations of 3 classical models of option pricing

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