scientific article; zbMATH DE number 6746630

DOI10.13413/J.CNKI.JDXBLXB.2016.06.21MaRDI QIDQ5276979zbMATH OpenFDO

Authors Xiao-Ting Gan, Nanxing Guan, Kun Zhang

Publication date 14 July 2017

Full work available at URL https://doi.org/10.13413/J.CNKI.JDXBLXB.2016.06.21

zbMATH Keywords

European options pricingfinite volume methodnumerical experiment

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(17)

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• Finite volume schemes for solving nonlinear partial differential equations in financial mathematics
• On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities
• Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models
• Finite volume element method for pricing European option
• Finite volume method of option pricing model under uncertain volatility
• Finite difference and element methods for pricing options with stochastic volatility
• Pricing European options on zero-coupon bonds with a fitted finite volume method
• A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
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• Solving generalized linear model of Black-Scholes with classical finite volume method
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• A spectral element approximation to price European options with one asset and stochastic volatility
• DG framework for pricing European options under one-factor stochastic volatility models

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