Numerical solutions of Black-Scholes integro-differential equations with convergence analysis

DOI10.3906/MAT-1812-89MaRDI QIDQ5229826zbMATH OpenOpenAlexWikidataFDO

Authors M. Mohseni Moghadam, Samaneh Bani Asadi, Azim Rivaz

Publication date 19 August 2019

Published in Turkish Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3906/mat-1812-89

zbMATH Keywords

tau methodHermitian polynomialEuropean option pricing problemstochastic integro-differential Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A high order finite element scheme for pricing options under regime switching jump diffusion processes
• A note on Wick products and the fractional Black-Scholes model
• An operational approach to the Tau method for the numerical solution of non-linear differential equations
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Error estimation of Hermite spectral method for nonlinear partial differential equations
• European Option Pricing with Transaction Costs
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
• Fast deterministic pricing of options on Lévy driven assets
• Fractional model and solution for the Black-Scholes equation
• Novel simulations to the time-fractional Fisher's equation
• Numerical simulation and solutions of the two-component second order KdV evolutionary system
• Optimal error estimates of the Legendre tau method for second-order differential equations
• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
• Option pricing when underlying stock returns are discontinuous
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• The Jacobi stochastic volatility model
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(7)

• On analytical solution of the Black-Scholes equation by the first integral method
• scientific article; zbMATH DE number 5652616 (Why is no real title available?)
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE
• Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
• A Contour Integral Method for the Black–Scholes and Heston Equations
• Approximate solution of stochastic Volterra integro-differential equations by using moving least squares scheme and spectral collocation method
• A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

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