Conservative and Finite Volume Methods for the Convection-Dominated Pricing Problem

DOI10.4208/AAMM.12-M1216MaRDI QIDQ5498616zbMATH OpenOpenAlexFDO

Authors

Publication date 10 February 2015

Published in Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/aamm.12-m1216

zbMATH Keywords

Black-Scholes equationconvection-dominated caseexponential fitting methodsfitted finite volume methodKurganov-Tadmor schememinmod limiter

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(8)

• Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
• Conservative third-order central-upwind schemes for option pricing problems
• Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
• From Navier-Stokes to Black-Scholes: numerical methods in computational finance
• Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
• Biological population management based on a Hamilton–Jacobi–Bellman equation with boundary blow up
• Efficient finite difference method for optimal portfolio in a power utility regime-switching model
• Corrected linear-Galerkin schemes to preserve second-order accuracy for cell-centered unstructured finite volume methods

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