High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing

DOI10.1002/num.20228zbMath1130.91338OpenAlexW2025917535MaRDI QIDQ5433235

Muhammad Irfan Yousuf, Abdul Q. M. Khaliq, Bruce A. Wade, Jesus Vigo Aguiar

Publication date: 8 January 2008

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.20228

zbMATH Keywords

positivitynonsmooth dataparabolic problemBlack-Scholes PDEPadé schemenonsmooth pay-off

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Parabolic equations and parabolic systems (35K99)

Related Items (15)

An integration preconditioning method for solving option pricing problems ⋮ A class of fourth-order Padé schemes for fractional exotic options pricing model ⋮ Smoothing of Crank-Nicolson scheme for the two-dimensional diffusion with an integral condition ⋮ On the class of high order time stepping schemes based on Padé approximations for the numerical solution of Burgers' equation ⋮ An ETD Crank-Nicolson method for reaction-diffusion systems ⋮ A comparative analysis of local meshless formulation for multi-asset option models ⋮ On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options ⋮ A second-order exponential time differencing scheme for non-linear reaction-diffusion systems with dimensional splitting ⋮ Predictor-corrector schemes for nonlinear space-fractional parabolic PDEs with time-dependent boundary conditions ⋮ Smoothing schemes for reaction-diffusion systems with nonsmooth data ⋮ Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option ⋮ A variable-\(\theta\) method for parabolic problems of nonsmooth data ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion ⋮ A fourth-order smoothing scheme for pricing barrier options under stochastic volatility ⋮ Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility

Cites Work

• Unnamed Item
• Semigroups of linear operators and applications to partial differential equations
• The Mathematics of Financial Derivatives
• An Introduction to Financial Option Valuation

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