Numerical solutions of Black-Scholes integro-differential equations with convergence analysis
DOI10.3906/MAT-1812-89zbMATH Open1418.65202OpenAlexW2946939443WikidataQ127760485 ScholiaQ127760485MaRDI QIDQ5229826FDOQ5229826
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
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Cites Work
- Option pricing when underlying stock returns are discontinuous
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- An operational approach to the Tau method for the numerical solution of non-linear differential equations
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- European Option Pricing with Transaction Costs
- A note on Wick products and the fractional Black-Scholes model
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Fast deterministic pricing of options on Lévy driven assets
- Error estimation of Hermite spectral method for nonlinear partial differential equations
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
- Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
- Optimal error estimates of the Legendre tau method for second-order differential equations
- Fractional model and solution for the Black-Scholes equation
- The Jacobi stochastic volatility model
- Novel simulations to the time-fractional Fisher's equation
- Numerical simulation and solutions of the two-component second order KdV evolutionary system
Cited In (7)
- On analytical solution of the Black-Scholes equation by the first integral method
- Title not available (Why is that?)
- 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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