Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) 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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite difference methods for boundary value problems involving PDEs (65N06) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- A practical finite difference method for the three-dimensional Black-Scholes equation
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Cites work
- A comparison study of ADI and operator splitting methods on option pricing models
- A general formulation of alternating direction methods. I: Parabolic and hyperbolic problems
- A high-order front-tracking finite difference method for pricing American options under jump-diffusion models
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- Adaptive \(\theta \)-methods for pricing American options
- Comparison of numerical schemes on multi-dimensional Black-Scholes equations
- Computational Methods for Option Pricing
- Computational techniques for basic affine models of portfolio credit risk
- Elliptic problems in nonsmooth domains
- Error Estimates for Semidiscrete Finite Element Approximations of Linear and Semilinear Parabolic Equations Under Minimal Regularity Assumptions
- Far field boundary conditions for Black-Scholes equations
- Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
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- Numerical treatment of the Black-Scholes variational inequality in computational finance.
- Optimal $H^{p,{p/2}} $ Error Estimates for a Parabolic Galerkin Method
- Optimal error estimates for linear parabolic problems under minimal regularity assumptions
- Option pricing with a direct adaptive sparse grid approach
- The finite element methods for elliptic problems.
- The Numerical Solution of Parabolic and Elliptic Differential Equations
- The pricing of options and corporate liabilities
Cited in
(13)- A new kind of parallel finite difference method for the quanto option pricing model
- A comparison study of ADI and operator splitting methods on option pricing models
- A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Iterative speedup by utilizing symmetric data in pricing options with two risky assets
- An operator splitting method for multi-asset options with the Feynman-Kac formula
- Comparison of numerical schemes on multi-dimensional Black-Scholes equations
- Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models
- scientific article; zbMATH DE number 1453365 (Why is no real title available?)
- A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
- Option pricing under multifactor Black-Scholes model using orthogonal spline wavelets
- The elastoplastic large deformation analysis based on meshless radial basis reproducing kernel particle method
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